FYI, I'm a certified fitness instructor & personal trainer.
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TBH, there isn't much evidence on this. The bulk of the research out there was done by Dr. Clapp & is summarized in his fascinating book, "Exercising through your pregnancy." It was published like late '90s, early '00s or so. He started his research around 1980 because he said, at the time, no one knew! No research previously existed!
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He also didn't study resistance training much (weight lifting - whether muscular endurance focused (low weight, high reps) or muscular strength training (heavier weights/fewer reps.) His study participants were runners or "aerobic dance" instructors (hehe - think Jazzercise in the 1980s!)
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I'm fairly certain he didn't study people who BEGAN exercise after getting pregnant.
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So if your HCP tells you, "NO, DON'T START an exercise program now!" Then I'd be really wary of said HCP, because that's simply not evidence based advice.
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All that being said - here's what I recommend.
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Dr. Clapp's research shows exercise is not only NOT the least bit harmful to the reproductive process, it's very beneficial for BOTH mama & baby! (I mention "reproductive process" because he also examined miscarriages & infertility - again, exercise had no negative effects here either.)
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You were NOT previously totally "sedentary" - i.e. bed-ridden. You've been up & about, so it's not as though physical exertion of any kind is a TOTAL shock to your system.
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Listen to your body! Be CAREFUL you have good form! Actually, I'd steer clear of pilates unless you take a class with a very VERY good instructor. Quite a few of those exercises have the potential to injure you if done incorrectly. & there are LOTS of lousy fitness instructors out there, so chose carefully (PM me if you want tips there. But someone who's also certified as a personal trainer is likely to have a greater depth of knowledge.)
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Also, the vast majority pilates mat exercises (as opposed to those with the "reformer" machine) are done either flat on your belly or flat on your back. The former is likely to be uncomfortable around the 4th / 5th month, & you're not supposed to lay supine (flat on back) at all past the 5th month. (I personally disobey this, but I have a huge & complex variety of reasons. I would NEVER recommend others disobey this rule.)
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As for what sort of activity to do - something you enjoyis really crucial. I find yoga somewhat boring (even though I'm certified to teach it) & dislike pilates, so if those were my primary options, I probably wouldn't do any exercise. Try lots of different things.
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Ease into it. Work at a "moderate" intensity - as I tell my cardio classes, "It shouldn't feel like a leisurely stroll through the park, but you don't want to feel as though you are sprinting through the park for your life." Gradually increase both intensity & duration (total length of workout). Be sure to warm up with each workout & cool down properly & stretch at the end. Also be sure there is balance in your workout i.e. if you do some bicep curls, work triceps, if you work abs by doing crunches, work lower back too. Make sure opposing muscle groups are worked equally.
if any of that above paragraph wasn't clear (i.e. you don't know what warm-up should be, you don't know what muscles & how to stretch them post-workout), definitely line up some sessions with a personal trainer or get some books or videos so you know some general basics. Or maybe see if you have a knowledgable friend to help.
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Again, listen to your body. But get moving! :D It does two bodies good.