S&P 500 - 19th June 2024 | @ 37 Days
'B' class signal detected in the S&P 500. Running at an average wavelength of 37 days over 10 iterations since June 2023. Currently peaking
ΣL Cycle Summary
Another look here at the excellent short term wave that is punctuating the overall bullish move in the S&P 500 over the last year or so. Running at around 37 days average wavelength from the sample, this wave is notionally the Hurst 40 day nominal wave and is exceptionally stationary, considering the underlying influence of larger components. The US indices have been divergent from world indices in terms of the larger cycles recently, the move down from this imminent peak of the 40 day component could redress the balance.
Time Frequency Analysis
Time frequency charts (learn more) below will typically show the cycle of interest against price, the bandpass output alone and the bandwidth of the component in the time frequency heatmap, framed in white. If a second chart is displayed it will usually show high-passed price with the extracted signal overlaid for visual clarity.
High-Pass Filtered Price
Our high-pass filter isolates the component of interest from underlying trend and presents buy and sell threshold envelopes (green and red). The envelopes are based upon the amplitude envelope of the bandpass filter +- 2 standard deviations. Breaches of either by high-passed price is a strong reversal action signal.
Current Signal Detail & Targets
Here we give more detail on the signal relative to speculative price, given the detected attributes of the component. In most cases the time target to hold a trade for is more important, given we focus on cycles in financial markets. Forthcoming trough and peak ranges are based upon the frequency modulation in the sample (learn more).
Detected Signal Class: B - learn more
Average Wavelength: 36.67 Days
Completed Iterations: 10
Component Yield Over Sample: 40.26% - learn morePhase: Peaking / Peaked
FM: +- 6 Days
AM: 20.63893
Next Trough Range: 1st - 13th July, 2024
Next Peak Range: 18th - 30th July, 2024
Sigma-L Recommendation: Sell
Time Target: ~ 7th July, 2024
Current Signal Phase
This is ‘how far along’ the cycle is in it’s period at now time and is related to the predicted price action direction.
Current Signal Frequency Modulation (FM)
This is how much, on average, the signal detected varies in frequency (or wavelength) over the whole sample. A lower variance is better and implies better profitability for the component. Frequency usually modulates relatively slowly and over several iterations.
Current Signal Amplitude Modulation (AM)
This is how much the component gains or loses power (price influence) across the sample, on average. Amplitude modulation can happen quite quickly and certainly is more evident than frequency modulation in financial markets. The more stable the modulation the better.