ΣL US Stock Market Composite - 13th December 2023 | @ 76 Days | + 13.60%
Last trade: + 13.60% | 'B' class signal in Sigma-L US stock market composite (Russell 2000, Dow Jones Industrial Average, S&P 500). Average wavelength of 76 days since October 2020. Currently peaking.
ΣL Cycle Summary
The move up from October’s low, the previous trough iteration of this component, has been quite spectacular so far in most global markets. Almost linear in it’s path with minimal pullbacks from higher frequency components, the wave is in the process of peaking at the time of writing. Amongst our composite the Russell 2000 slightly outperformed (+14.98%) but variance has been minimal, reflected in the acceptable frequency stationarity shown in the time frequency plot below. The next trough of this component is due mid January 2024.
Trade Update
See also: Live ΣL Portfolio & History
Summary of the most recent trade enacted with this signal and according to the time prediction detailed in the previous post for this instrument, linked below.
Type: Buy - ΣL US Stock Market Composite 27th October 2023
Entry: 27th October 2023
Exit: 13th December 2023
For a composite analysis, each constituent’s respective gain over the period is displayed, in descending order. The average of the constituent gain is also shown.
Constituent Gain:
Russell 2000 (14.98%)
S&P 500 (13.01%)
DJIA (12.83%)
Composite Average Gain:
13.60%
Current Signal Status
Defining characteristics of the component detected over the sample period.
Detected Signal Class: B - learn more
Average Wavelength: 75.78 Days
Completed Iterations: 16
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.
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).
Phase: Peaking / Peaked
FM: +- 15 Days
AM: N/A (Composite)
Next Trough Range: 1st January - 30th January, 2024
Next Peak Range: 8th February - 7th March, 2024
Sigma-L Recommendation: Sell
Time Target: ~ 15th January, 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.