Covering trade reports posted in January 2024 on Sigma-L.
View the full trade list and details in Google Sheets

Headline Numbers

Sigma-L Nominal vs Benchmarks - January 2024

vs. S&P 500 (1.49%): 29.72%
vs. Gold (-1.15%): 32.36%
vs. WTI Crude Oil (5.69%): 25.52%
vs. Bitcoin (0.01%): 31.20%

Monthly Breakdown

Total Nominal Gain: 31.21%
Total Normalised Gain: 10.76%
Total Trades: 20
Win:Loss Ratio: 1.5:1 (12:8)
Average Gain Per Trade: 1.56%
Win Percentage: 60%
Average Win: 3.98% / Average Loss: -2.07%
Average Duration: 45 Days

Breakdown by Direction & ΣL Category

Sell Side (Nominal)
Total Gain: 7.63% / Trade Count: 12 / Win:Loss Ratio: 2:1 (8:4)
Average Gain Per Trade: 0.64%
Win Percentage: 67%
Average Win: 1.6% / Average Loss: -1.29%
Average Duration: 37 Days
Biggest Win: 3.32% → Sell - ΣL Japanese Yen Composite 30th November 2023
Biggest Loss: -2.99% → Sell - S&P 500 8th December 2023

Buy Side (Nominal)
Total Gain: 23.58% / Trade Count: 8 / Win:Loss Ratio: 1:1 (4:4)
Average Gain Per Trade: 2.95%
Win Percentage: 50%
Average Win: 8.73% / Average Loss: -2.84%
Average Duration: 57 Days
Biggest Win: 10.96% → Buy - CBOE Volatility Index 1st December 2023
Biggest Loss: -6.32% → Late Buy - Silver 4th December 2023

Nominal / Normalised Gain By ΣL Category (Trade Count)
Stock Markets: 11.16% / 2.23% (5)
Metals: 10.48% / 1.50% (7)
Cryptocurrency: 8.06% / 8.06% (1)
Forex: 5.56% / 1.19% (5)
Energy: -4.45% / -2.23% (2)
Commodities: no trades

Dates for your Diary - February 2024

January 2024 Recap

January was fairly quiet in the grand scheme of things, recording a relatively small nominal gain of 31.21% over the period. Stock markets led the way with a mild correction via the ubiquitous 80 day nominal wave being slightly profitable, most notably via it’s inversion in the VIX. Following the large cycle trough in late October stock markets are now pushing toward what should be a highly anticipated peak of the nominal 40 week wave (~ 250 days) mid-late February. The 80 day nominal wave (~ 75 days at current phasing) should provide guidance. Our schedule above outlines the reporting dates to be aware of for individual measures.

Metals were subdued, Copper being once again the highlight with a small gain on a sell trade into the most recent 79 day low. Forex outperformed, the Dollar Index is currently exhibiting an outstanding stationarity at what might be termed the 20 week nominal wave, currently around 180 days. Energy was mixed, the current phasing in Oil is somewhat tricky at the shorter scale but we should be approaching a trough of the component around 80 days very soon. Over the last few iterations it has lost amplitude, causing the phase uncertainty. There is good news for crypto followers as the component around 180 days (previously retired) has resurfaced quite nicely from an analysis with our time frequency toolset. We will be reporting on that at the next projected low, currently scheduled for the end of February.

Don’t Miss..

Wednesday 8th February - ΣL Oil Composite 82 Days

The amplitude of this wave, as mentioned above, has been recently diminished. This generally happens for two reasons - suppression in a larger up or downtrend by a lower frequency component OR extra volatility (amplitude) via a higher frequency wave. In this case it is likely the latter. Subscribers should be aware of the highly stationary longer term wave in Oil, which is currently hard down.

Monday 12th February - Dollar Index 599 Days

This long term cyclical component in the Dollar Index is highly stationary and we should be starting to approach the next peak iteration mid-late February. Traders should be aware of the relatively large frequency modulation intrinsic for this kind of long term wave, currently around 52 days. However, this is a highly significant incoming peak for the Dollar and world currencies in general.

Wednesday 14th February - CBOE Volatility Index 77 Days

Currently one of the best signals featured on Sigma-L, options traders will be anticipating an explosion of volatility around this date as this periodic component approaches it’s latest trough. The current iteration has been characterised by sideways price action and the oscillations of a smaller component.

Thursday 22nd February - S&P 500 77 Days

Inverted to the VIX but with a slightly less discernible signal, this peak has been hotly anticipated for some time now with a plethora of furus(!) on fintwit proclaiming that price can not possibly move any higher. Well, timing is key and this wave has been known to subscribers since our launch, and to Hurst cycles aficionados for much longer. What is also known to subscribers is that the incoming peak is also likely a phase clustered peak of the 40 week wave, currently measured at around 250 days. We will be adding an analysis of the 40 week wave in US Stock Markets around the peak later this month.

Saturday 24th February - Copper 79 Days

The latest move up in copper from this component was anticipated to be weak due to the downward pressure of the larger wave around 160 days. This has, thus far, proved to be the case. A peak of the smaller wave is due around the 24th and could be a further chance to profit from the downside.

Monday 26th February - ΣL Uranium Composite 153 Days

Uranium fever has reached almost cryptocurrency levels of mania recently on fintwit. This is sometimes a rather esoteric measure of over exuberance but one which tends to repeat in a fascinating manner on social media. The peak of this prominent wave is due toward the end of February. Subscribers should also be aware of the smaller component around 77 days in uranium, which is currently also peaking.

DISCLAIMER: This website/newsletter and the charts/projections contained within it are intended for educational purposes only. Results and projections are hypothetical. We accept no liability for any losses incurred as a result of assertions made due to the information contained within Sigma-L. This report is not intended to instruct investment or purchase of any financial instrument, derivative or asset connected to the information conveyed in the report. Trade and invest at your own risk.

Covering trade reports posted in December 2023 on Sigma-L.
View the full trade list and details in Google Sheets

Headline Numbers

Sigma-L Nominal vs Benchmarks - December 2023

S&P 500 (4.46%): 129.94%
Gold (-0.47%): 134.87%
WTI Crude Oil (-6.06%): 140.46%
Bitcoin (12.58%): 121.82%

Monthly Breakdown

Total Nominal Gain: 134.40%
Total Normalised Gain: 17.74%
Total Trades: 35
Win:Loss Ratio: 1.5:1 (21:14)
Average Gain Per Trade: 3.84%
Win Percentage: 67%
Average Win: 9.41% / Average Loss: -4.51%
Average Duration: 45 Days

Breakdown by Direction & ΣL Category

Sell Side (Nominal)
Total Gain: 25.43% / Trade Count: 13 / Win:Loss Ratio: 1.2:1 (7:6)
Average Gain Per Trade: 1.96%
Win Percentage: 54%
Average Win: 12.62% / Average Loss: -7.19%
Average Duration: 54 Days
Biggest Win: 36.62% → Sell - CBOE Volatility Index 1st December 2023
Biggest Loss: -24.36% → Late Sell - GDXJ 1st December 2023

Buy Side (Nominal)
Total Gain: 108.97% / Trade Count: 22 / Win:Loss Ratio: 2.1:1 (15:7)
Average Gain Per Trade: 4.95%
Win Percentage: 68%
Average Win: 8.12% / Average Loss: -1.83%
Average Duration: 40 Days
Biggest Win: 13.60% → Buy - ΣL US Stock Market Composite 13th December 2023
Biggest Loss: -4.55% → Buy - XLE 27th October 2023

Nominal / Normalised Gain By ΣL Category (Trade Count)
Stock Markets: 127.85% / 10.65% (12)
Energy: 13.35% / 3.34% (4)
Commodities: 4.10% / 4.10% (1)
Forex: 3.99% / 0.80% (5)
Metals: -14.89% / -1.15% (13)
Cryptocurrency: no trades

Dates for your Diary - January 2024

December 2023 Recap

A busy December was dominated by the move up in stock markets, from which subscribers would have benefited via the excellent 80 day nominal wave, shown here for the S&P 500 in late October. This wave, easily discerned on a time frequency analysis, likely troughed in late October / early November, in synchrony with larger components, most notably the 20 and 40 week nominal waves. The move from the incoming trough (~ 77 days) of the aforementioned shorter wave will be interesting to watch in January.

We begin 2024 with a streamlined list of instruments/assets, from which the vast majority of markets derive their price action and which should provide some excellent opportunities as the year unfolds. If you have not already, please join us for the duration and support this kind of unique analysis - you will be most welcome.

Don’t Miss..

Tuesday 9th January - S&P 500 77 Days

After the tremendous up leg of this component from late October, price has started, in recent days, the move to the next trough. Highly likely to be a higher low than the trough in late October, the subsequent move up will be one to watch for. Amongst our list of stock markets we report on, the S&P 500 is the first of the month.

Monday 15th January - US Dollar Index 78 Days

The Dollar Index is on it’s way down but of course price never moves in a linear fashion (well, unless it’s the stock market through November/December 2023!). Following a trough of this component recently we will be looking at the peak mid January. Clearly the USD affects many other instruments so this will be key to note.

Friday 19th January - Copper 165 Days

Subscribers are likely familiar with the shorter wave in Copper, a superb signal around 78 days average wavelength. It’s longer brother, however, is equally superb, last troughing in October and nearing a peak mid - late January. Watch out for an update on this one.

Wednesday 24th January - ΣL Gold Composite 56 Days

The beacon signal in gold over the last couple of years has encountered a brief period of modulation in the last few iterations. Peaking recently and due a trough mid-late January, subscribers will be keen to get in on a potential long for the coveted metal.

DISCLAIMER: This website/newsletter and the charts/projections contained within it are intended for educational purposes only. Results and projections are hypothetical. We accept no liability for any losses incurred as a result of assertions made due to the information contained within Sigma-L. This report is not intended to instruct investment or purchase of any financial instrument, derivative or asset connected to the information conveyed in the report. Trade and invest at your own risk.

Covering trade reports posted in November 2023 on Sigma-L.
View the full trade list and details in Google Sheets

Headline Numbers

Sigma-L Nominal vs Benchmarks - November 2023

S&P 500 (7.65%): 46.18%
Gold (2.69%): 51.14%
WTI Crude Oil (-7.19%): 61.02%
Bitcoin (6.82%): 47.01%

Monthly Breakdown

Total Nominal Gain: 53.83%
Total Normalised Gain: -19.57%
Total Trades: 42
Win:Loss Ratio: 1.3:1 (24:18)
Average Gain Per Trade: 1.28%
Win Percentage: 57%
Average Win: 5.89% / Average Loss: -4.87%
Average Duration: 61 Days

Breakdown by Direction & ΣL Category

Sell Side (Nominal)
Total Gain: 3.52% / Trade Count: 22 / Win:Loss Ratio: 1.2:1 (12:10)
Average Gain Per Trade: 0.16%
Win Percentage: 55%
Average Win: 5.55% / Average Loss: -6.31%
Average Duration: 57 Days
Biggest Win: 14.43% → Sell - ΣL Oil Composite 8th November 2023
Biggest Loss: -35.06% → Sell - ΣL Bitcoin Composite 27th November 2023

Buy Side (Nominal)
Total Gain: 50.31% / Trade Count: 20 / Win:Loss Ratio: 1.5:1 (12:8)
Average Gain Per Trade: 2.52%
Win Percentage: 60%
Average Win: 6.23% / Average Loss: -3.06%
Average Duration: 75 Days
Biggest Win: 10.87% → Early Buy - VanEck SLX 3rd November 2023
Biggest Loss: -8.97% → Buy - KRE 1st November 2023

Nominal / Normalised Gain By ΣL Category (Trade Count)
Metals: 52.5% / 3.09% (17)
Energy: 20.7% / 10.35% (2)
Stock Markets: 11.14% / 0.93% (12)
Commodities: 4.35% / 1.09% (4)
Forex: 0.2% / 0.03% (6)
Cryptocurrency: -35.06% / -35.06% (1)

Dates for your Diary - December 2023

November 2023 Recap

November was steady on Sigma-L, notable for the performance of utility metals over several reports. Skewing the data was a large loss in cryptocurrency, the amplitude of which is generally much higher, outweighing significantly when only a single trade is reported. The timing of the prominent wave in Bitcoin is still very valid with minimal frequency modulation, only amplitude was unexpected in the reported trade. Stock markets were steady as was energy, the 80 day nominal wave in WTI Crude a particular highlight.

We have a busy December coming up and we will be working up until Christmas Day to bring you results, updated time-frequency reports and comment as per the schedule above.

Over the UK winter period I will be working on a new app, hopefully for use by subscribers by mid 2024. This will be browser based and include many signal processing tools, bespoke configured for financial markets and building on knowledge gained in development of current and previous tools. I look forward to sharing the progress of this unique approach with you.

Finally I would like to wish you all a very happy Christmas and a wonderful 2024 to come!

David

Don’t Miss..

Today - VIX 76 Days

Due for an update today (as it is scheduled for tomorrow, a Saturday), the VIX has caused a stir on fintwit over the last few months amongst those who have not identified the excellent periodicity. It has collapsed after the peak in late October and a trough is now imminent.

Sunday 3rd December - Copper (HG) 79 Days

We can’t not mention this excellent wave in Copper, troughing back in late October and approaching a peak early December. This needs no introduction as an excellent periodic feature.

Friday 8th December - ΣL US Dollar Composite 77 Days

The dollar has weakened against major currencies since late October, this component being the most prominent driver of price. In this update we will examine the incoming peak.

Sunday 10th December - S&P 500 77 Days

Throughout the early part of the month we will be reporting on the peak of this prominent wave in stock markets worldwide, that, of course, includes the S&P 500. Price has moved up in an extraordinary linear fashion from the low in late October. Also watch out for the US Stockmarket Composite, due on the 13th December, for a more smoothed rendition of the wave.

Thursday 14th December - Natural Gas 104 Days

Energy traders will want to keep a very close eye on Natural Gas futures in early to mid December. We have a trough of the prominent wave around 104 days which is still relatively attenuated. If we do get an increase in amplitude it could happen quickly.

Saturday 23 December - ΣL Oil Composite 82 Days

After moving serenely southward for the down leg of this wave through October and early November, price has made a relatively muted consolidation so far. The peak of the wave should arrive by mid late December and is possibly a good short if the generally sideways price action continues.

DISCLAIMER: This website/newsletter and the charts/projections contained within it are intended for educational purposes only. Results and projections are hypothetical. We accept no liability for any losses incurred as a result of assertions made due to the information contained within Sigma-L. This report is not intended to instruct investment or purchase of any financial instrument, derivative or asset connected to the information conveyed in the report. Trade and invest at your own risk.

Covering trade reports posted in October 2023 on Sigma-L.
View the full trade list and details in Google Sheets

Headline Numbers

Sigma-L Nominal vs Benchmarks - October 2023

S&P 500 (-2.47%): 130.06%
Gold (8.55%): 119.04%
WTI Crude Oil (-7.52%): 135.11%
Bitcoin (27.79%): 99.8%

Monthly Breakdown

Total Nominal Gain: 127.59%
Total Normalised Gain: 23.42%
Total Trades: 44
Win:Loss Ratio: 1.75:1 (28:16)
Average Gain Per Trade: 2.90%
Win Percentage: 64%
Average Win: 8.40% / Average Loss: -6.73%
Average Duration: 59 Days

Breakdown by Direction & ΣL Category

Sell Side (Nominal)
Total Gain: 45.73% / Trade Count: 18 / Win:Loss Ratio: 8:1 (16:2)
Average Gain Per Trade: 2.54%
Win Percentage: 89%
Average Win: 4.85% / Average Loss: -15.95%
Average Duration: 52 Days
Biggest Win: 12.64% → Early Sell - PepsiCo 18th July 2023
Biggest Loss: -31.35% → Sell - Geiger Counter Ltd 4th August 2023

Buy Side (Nominal)
Total Gain: 81.86% / Trade Count: 26 / Win:Loss Ratio: 0.86:1 (12:14)
Average Gain Per Trade: 3.15%
Win Percentage: 86%
Average Win: 13.13% / Average Loss: -5.41%
Average Duration: 63 Days
Biggest Win: 64.18% → Buy - CBOE Volatility Index 15th September 2023
Biggest Loss: -17.79% → Buy - VanEck Junior Gold Miners ETF 25th July 2023

Nominal / Normalised Gain By ΣL Category (Trade Count)
Stock Markets: 92.23% / 5.76% (16)
Energy: 78.92% / 19.73% (4)
Cryptocurrency: 8.58% / 4.29% (2)
Forex: -0.55% / -0.14% (4)
Commodities: -10.46% / -3.49% (3)
Metals: -41.13% / -2.74% (15)

Dates for your Diary - November 2023

October 2023 Recap

Stock markets, energy and their derivatives dominated in October, being the main gainers in an overall steady month which yielded a 127.59% nominal gain. The ‘80 day nominal’ component has been highly profitable, not least in it’s inverted form via the CBOE volatility index, which is a superb signal. Metals dragged down the return, mostly due the hangover from Uranium via Geiger Counter Ltd, although this was offset with the beacon in Gold (and related) at around 55 days. No doubt once we lock back into the quite decent periodic wave in Uranium we will see excellent positive yields. I invite you to, once again, have a look at the ‘trade by trade’ Google sheets document linked in this article to explore the figures at your convenience.

Don’t Miss..

Wednesday 1st November - USDCAD 77 Days

Due for an update today, this is one of the best periodic signals in any market and a member of the wow! signals top 10. Superbly stationary and due a peak imminently.

Wednesday 1st November - Wisdom Tree ZINC 77 Days

Zinc has shown excellent periodicity via the proxy of this ETF. Due a bottom soon and due an update today, this is one to watch for metal investors.

Sunday 5th November - VanEck Steel ETF 77 Days

Rounding off the triad of 77 day waves listed here (!) is the excellent component in this steel proxy, SLX. Analysis also suggest a low is due in this wave.

Wednesday 8th November - ΣL Gold Composite 55 Days

The rocket ship move up from the low in early October was highly predictable with knowledge of this excellent wave around 55 days. All good things must come to an end though and this wave will look to peak in the next week or two. If amplitude is also maintained to the downside it could be a lucrative short. A flatter down-leg will suggest the larger waves are really starting to push up.

Thursday 9th November - ΣL Oil Composite 80 Days

Another excellent component which caught the majority of fintwit macro enthusiasts off guard in late September, with an easily discerned peak in price. Due to make it’s next low quite soon, it will be interesting to see how much power remains to the upside in the oil market whilst the larger wave (@ ~ 16.4 months) is peaking.

DISCLAIMER: This website/newsletter and the charts/projections contained within it are intended for educational purposes only. Results and projections are hypothetical. We accept no liability for any losses incurred as a result of assertions made due to the information contained within Sigma-L. This report is not intended to instruct investment or purchase of any financial instrument, derivative or asset connected to the information conveyed in the report. Trade and invest at your own risk.

Covering trade reports posted in September 2023 on Sigma-L.
View the full trade list and details in Google Sheets

Headline Numbers

Sigma-L Nominal vs Benchmarks - September 2023

S&P 500 (-4.84%): -190.65%
Gold (-4.70%): -190.79%
WTI Crude Oil (8.80%): -204.29%
Bitcoin (4.62%): -200.11%

Monthly Breakdown

Total Nominal Gain: -195.49%
Total Normalised Gain: -31.84%
Total Trades: 49
Win:Loss Ratio: 0.36:1 (13:36)
Average Gain Per Trade: -3.99%
Win Percentage: 27%
Average Win: 5.48% / Average Loss: -7.41%
Average Duration: 55 Days

Breakdown by Direction & ΣL Category

Sell Side (Nominal)
Total Gain: -136.12% / Trade Count: 20 / Win:Loss Ratio: 0.33:1 (5:15)
Average Gain Per Trade: -6.81%
Win Percentage: 25%
Average Win: 8.59% / Average Loss: -11.94%
Average Duration: 64 Days
Biggest Win: 20.11% → Sell - CBOE Volatility Index 9th August 2023
Biggest Loss: -42.25% → Sell - URNM 17th July 2023

Buy Side (Nominal)
Total Gain: -59.37% / Trade Count: 29 / Win:Loss Ratio: 0.38:1 (8:21)
Average Gain Per Trade: - 2.05%
Win Percentage: 28%
Average Win: 3.54% / Average Loss: -4.18%
Average Duration: 48.1 Days
Biggest Win: 10.28% → Buy - ΣL Oil Composite 14th August 2023
Biggest Loss: -12.80% → Late Buy - ΣL Bitcoin Composite 3rd July 2023

Nominal / Normalised Gain By ΣL Category (Trade Count)
Commodities: -12.12% / -6.06% (2)
Forex: -12.47% / -1.78 (7)
Cryptocurrency: -12.8% / -12.8 (1)
Energy: -15.77% / -3.15% (5)
Stock Markets: -43.21% / -3.09 (14)
Metals: -99.12% / -4.96% (20)

Dates for your Diary - October 2023

ΣL October 2023 Highlights

September saw, on the surface figures at least, a heavy loss summed across the collection of instruments we report on. On closer inspection the main outlier contributors to losses came from Uranium, in which a larger degree low has likely occurred back in April 2023, outlined back in November 2022. Of course one should also note the highly correlated nature of many of the instruments - the portfolio contains several different and correlated stock markets, forex pairs, metals and energy related instruments. This is to cater for all the requests we have for reporting, some subscribers have a particular favourite index, etf, forex pair or stock to watch.

To remove some of the correlation bias which reflects the commonality between instruments (for example 5 different stock indices which exhibit the same periodic component), we have introduced a normalised figure to the reports. This is simply the overall average of gain per category.

In this case the loss in metals moves from 99.12% to 4.96% (over 20 trades in September) as the effect of outliers/correlated instruments is largely removed.

Keen readers will also note that the average duration of trades generally reflects a bias toward the highly prevalent ‘80 day nominal’ component across many markets. Indeed for trades <= 40 days (~ half the average of this component), the portfolio returned a gain of 19.28% (normalised 5.62%) over 14 trades.

This is now detailed in the Google sheets accompanying the report and we will make this a regular feature going forward for further accuracy.

Note: for component time targets that fall on a Saturday or Sunday, we will generally update these on the preceding Friday or following Monday.

Monday 2nd October - VanEck Steel ETF 80 Days

With most eyes on recent bearish moves in Gold (see PHYS, for example) and Silver, it is also worth looking at some of the utility metals. Steel, reflected via SLX, has a beautiful periodic component around 80 days, due to peak shortly.

Wednesday 4th October - NIFTY 50 78 Days

The rolling over of the ‘80 day nominal component’ in global stock markets is well on the way. For the benefit of many of our Indian subscribers, the NIFTY 50 also reflects this periodic feature.

Sunday 8th October - Gold Composite 56 Days

The beacon signal (circa 55 days) in Gold approaches another low iteration with larger components also pushing down. For Gold bulls a possible bear market rally in prospect?

Friday 13th October - Bitcoin Composite 88 Days

Since June 2022 Bitcoin vs major fiat currencies has largely moved sideways, relative to past amplitude. This has enabled the component around 88 days to dominate proceedings, creating a reliable and detectable signal. The component is due to peak early-mid October and will be of interest to cryptocurrency investors.

Monday October 23rd - CBOE Volatility Index 74 Days

Reflecting an inverse relationship with the prominent component in stock markets around 75 days, the main periodic signal of interest in the VIX is highly frequency stationary. Keep an eye on this around the end of October to signal the end of a volatile few weeks ahead.

Sunday 29th October - WTI Crude Oil 16.3 Months

One of the best and most coherent long term signals in all markets, the component around 16 months in Oil (WTI Crude in this case) is due a peak toward the end of October. Definitely worth keeping an eye on as this will have implications for all kinds of economic metrics.

DISCLAIMER: This website/newsletter and the charts/projections contained within it are intended for educational purposes only. Results and projections are hypothetical. We accept no liability for any losses incurred as a result of assertions made due to the information contained within Sigma-L. This report is not intended to instruct investment or purchase of any financial instrument, derivative or asset connected to the information conveyed in the report. Trade and invest at your own risk.

Covering trade reports posted in August 2023 on Sigma-L.
View the full trade list and details in Google Sheets

Headline Numbers

Sigma-L Nominal vs Benchmarks - August 2023

S&P 500 (-1.51%): -12.8%
Gold (-0.17%): -14.14%
WTI Crude Oil (1.91%): -16.22%
Bitcoin (-11.11%): -3.20%

Monthly Breakdown

Total Gain: -14.31% / Total Trades: 39 / Win:Loss Ratio: 1.05:1 (20:19)
Average Gain Per Trade: -0.37%
Win Percentage: 51%
Average Win: 3.42% / Average Loss: -4.35%
Average Duration: 48 Days

Breakdown by Direction & ΣL Category

Sell Side
Total Gain: -35.79% / Trade Count: 29 / Win:Loss Ratio: 0.93:1 (14:15)
Average Gain Per Trade: -1.23%
Win Percentage: 48%
Average Win: 3.17% / Average Loss: -5.35%
Average Duration: 45 Days
Biggest Win: 8.72% → Sell - iShares MSCI Global Metals & Mining ETF 13th July 2023
Biggest Loss: -16.57% → Sell - ΣL Oil Composite 3rd July 2023

Buy Side
Total Gain: 21.48% / Trade Count: 10 / Win:Loss Ratio: 1.5:1 (6:4)
Average Gain Per Trade: 2.15%
Win Percentage: 60%
Average Win: 3.99% / Average Loss: -0.61%
Average Duration: 58 Days
Biggest Win: 15.48% → Buy - CBOE Volatility Index (VIX) 3rd July 2023
Biggest Loss: -1.11% → Buy - Crude Oil Volatility (OVX) 31st July 2023

Gain By ΣL Category (Trade Count)
Metals: 19.65% (13)
Commodities: 7.19% (2)
Forex: 0.26% (8)
Cryptocurrency: 0% (0)
Bonds & Rates: -3.99% (1)
Stock Markets: -9.58% (12)
Energy: -27.84% (3)

Dates for your Diary - September 2023

ΣL September 2023 Highlights

August saw a small loss across the portfolio as we consolidated from a highly profitable July. Price action was relatively sideways across a large number of instruments in the month with the most prevalent component around 60-80 days providing little impetus in it’s latest iteration. Identified periodic components largely maintained their signal class, reflecting a stationarity in frequency that is paramount to future profitability. Within categories, metals once again outperformed (19.65%). The energy sector (-27.84%) contributed largely to the month’s loss - oil in particular.

Note: for component time targets that fall on a Saturday or Sunday, we will generally update these on the preceding Friday or following Monday.

Monday 4th September - US Natural Gas 108 Days

US Natural Gas has been subdued for months, tracing out a series of sideways iterations of the prominent component at around 108 days average wavelength. It is due to trough imminently, will we see some increased bullish power in the next iteration?

Wednesday 13th September - PHYS 56 Days

The Sprott Physical Gold Trust (PHYS) exhibits the beacon signal common in Gold, as you may expect, and has been identified as an ‘A’ category signal on Sigma-L. The latest peak of this component is coming up early-mid September.

Saturday 16th September - CBOE Volatility Index (VIX) 75 Days

The VIX has shown outstanding periodicity over a prolonged period with the component around 75 days a particular highlight. Useful in it’s ability to inversely correlate with the stock market, the latest incoming trough, mid September, will be fascinating.

Wednesday 20th September - S&P 500 75 Days

On a packed Wednesday for updates with 6 instruments being reported, the S&P 500 is one many will be watching. The component around 75 days is due to peak mid September and this could well also be a peak of larger magnitude.

Friday 22nd September - XAU/XAG 270 Days

One of the first instruments we phased using the time frequency method, this one will be of interest to precious metal subscribers. Silver has outperformed Gold over the latest iteration - that is due to end late September with the component forming a trough.

Sunday 24th September - US Stock Market Composite 76 Days

Alongside the S&P 500 mentioned above, other US indices are also peaking around this time. The composite provides clarity here and is useful to watch for a higher signal to noise ratio than individual indices. Includes the Russell 2000 and DJIA.

Thursday September 28th - COPX 79 Days

The Global X Copper Miners ETF is a popular vehicle for investors looking to gain exposure to the utility metal. Here the excellent component around 79 days is metronomic and due a peak late September.

A Quick Note on Strategy Optimisation

As mentioned in our July report and worth reiterating:

The time based signals and analysis we give on Sigma-L, grounded in our time frequency analysis, are deliberately under optimised. When proposing a trading strategy with a anticipated statistical edge, the analyst must be extremely careful to not overfit (curve fitting) and subsequently be fooled by randomness. In our case the error terms in the predictions are defined by modulation characteristics of the signal identified. It is these modulation ‘ranges’ which can possibly be further optimised to increase the already excellent edge this approach has.

Readers are, of course, free to add additional filters, time or price based, to optimise entry. One time based example might be to only enter trades which also have a larger, with trend, periodic component providing additional impetus. One price based example might be to use a momentum indicator as a signal for peak or trough occurrence.

DISCLAIMER: This website/newsletter and the charts/projections contained within it are intended for educational purposes only. Results and projections are hypothetical. We accept no liability for any losses incurred as a result of assertions made due to the information contained within Sigma-L. This report is not intended to instruct investment or purchase of any financial instrument, derivative or asset connected to the information conveyed in the report. Trade and invest at your own risk.

Since July 2023:
Nominal: 252.10%
Normalised: 9.85%

Note: Normalisation in the context of reporting on Sigma-L removes bias from commonality correlations across multiple instruments which feature the same or similar periodic components. An example is the 80 day ‘nominal’ wave in the S&P 500, DJIA, DAX and EUSTOXX, all of which are reported together on Sigma-L (for the benefit of subscribers in multiple locations!) and summed for the nominal figure shown. Normalisation averages the nominal gain across the total number of trades per category, smoothing outliers.

History

January 2024:
Nominal: 31.21%
Normalised: 10.76%
Schedule | Report | Trade by Trade (Google Sheets)

December 2023:
Nominal: 134.40%
Normalised: 17.74%
Schedule | Report | Trade by Trade (Google Sheets)

November 2023:
Nominal: 52.83%
Normalised: -19.57%
Schedule | Report | Trade by Trade (Google Sheets)

October 2023:
Nominal: 127.59%
Normalised: 23.42%
Schedule | Report | Trade by Trade (Google Sheets)

September 2023:
Nominal: - 195.49%
Normalised: - 31.84%
Schedule | Report | Trade by Trade (Google Sheets)

August 2023:
Nominal: -14.31%
Normalised: - 8.93%
Schedule | Report | Trade by Trade (Google Sheets)

July 2023:
Nominal: 114.54%
Normalised: 18.27%
Schedule | Report | Trade by Trade (Google Sheets)

A Quick Note on Strategy Optimisation

The time based signals and analysis we give on Sigma-L, grounded in our time frequency analysis, are deliberately under optimised. When proposing a trading strategy with a anticipated statistical edge, the analyst must be extremely careful to not overfit (curve fitting) and subsequently be fooled by randomness. In our case the error terms in the predictions are defined by modulation characteristics of the signal identified. It is these modulation ‘ranges’ which can possibly be further optimised to increase the already excellent edge this approach has.

Readers are, of course, free to add additional filters, time or price based, to optimise entry. One time based example might be to only enter trades which also have a larger, with trend, periodic component providing additional impetus. One price based example might be to use a momentum indicator as a signal for peak or trough occurrence.

DISCLAIMER: This website/newsletter and the charts/projections contained within it are intended for educational purposes only. Results and projections are hypothetical. We accept no liability for any losses incurred as a result of assertions made due to the information contained within Sigma-L. This report is not intended to instruct investment or purchase of any financial instrument, derivative or asset connected to the information conveyed in the report. Trade and invest at your own risk.

Covering trade reports posted in July 2023 on Sigma-L.
View the full trade list and details in Google Sheets

Headline Numbers

Sigma-L Nominal vs Benchmarks - July 2023

S&P 500 (2.99%): +111.55%
Gold (2.29%): +112.25%
WTI Crude Oil (16.80%): +97.74%
Bitcoin (-4.44%): +118.98%

Total Gain: 114.54% / Total Trades: 46 / Win:Loss Ratio: 1.71:1 (29:17)
Average Gain Per Trade: 2.49%
Win Percentage: 63%
Average Win: 6.07% / Average Loss: -3.62%
Average Duration: 51 Days

Breakdown by Direction & ΣL Category

Sell Side
Total Gain: 28.83% / Trade Count: 21 / Win:Loss Ratio: 0.91:1 (10:11)
Average Gain Per Trade: 1.37%
Win Percentage: 48%
Average Win: 5.83% / Average Loss: -2.68%
Average Duration: 56 Days
Biggest Win: 21.65% → Sell - CBOE Volatility Index 29th May 2023
Biggest Loss: -9.89% → Late Sell - SPDR S&P Regional Banking ETF 9th May 2023

Buy Side
Total Gain: 85.71% / Trade Count: 25 / Win:Loss Ratio: 3.17:1 (19:6)
Average Gain Per Trade: 3.43%
Win Percentage: 76%
Average Win: 6.20% / Average Loss: -5.34%
Average Duration: 47 Days
Biggest Win: 17.59% → Buy - ΣL Uranium Composite 28th April 2023
Biggest Loss: -12.69% → Buy - Brent Crude Oil 14th April 2023

Gain By ΣL Category (Trade Count)
Metals: 43.53% (14)
Stock Markets: 38.15% (11)
Energy: 31.62% (7)
Bonds & Rates: 9.46% (1)
Commodities: -0.09% (2)
Cryptocurrency: -3.43% (2)
Forex: -4.7% (9)

Dates for your Diary - August 2023

ΣL August 2023 Highlights

As we say goodbye to a profitable July with metals, stock markets and energy leading the way, August promises some fascinating results to come. Below we select a non exhaustive look at some highlights to watch out for.

Note: for component time targets that fall on a Saturday or Sunday, we will generally update these on the preceding Friday or following Monday.

Thursday 3rd August - GBP Composite 160 Days

The notable ‘20 week nominal’ component in USD pairs has been clear over the last few iterations since a significant low in late 2022, likely of yearly magnitude. The British Pound has been more bullish than others recently, will that trend continue as we anticipate the next trough?

Saturday 5th August - Copper (HG) 77 Days

The current iteration of the ~ 75 day component in High Grade Copper, has been sideways so far, setting up what could be an excellent with trend buy setup at the start of August. Watch out for that one.

Thursday 10th August - Global X Lithium & Battery Tech ETF 76 Days

Notionally the ‘80 day nominal’ component in Hurst nomenclature, the Global X Lithium & Battery Tech ETF has shown excellent periodicity over the last 7-8 iterations. A trough is due early August.

Saturday 12th August - Oil Composite 79 Days

There is suppression of the downleg section of the component at 79 days in oil at the moment. This generally occurs when a longer term and more powerful periodic component is pushing in the opposite direction - in this case, upward. The incoming component low may well be another with trend buy setup to look out for.

Tuesday 15th August - Sprott Physical Gold Trust (PHYS) 56 Days

The outstanding beacon component around 55 days in Gold is, as you may expect, also present in this instrument to a great degree. As price pulls back into the low, expected mid August, this could potentially be an excellent entry point long.

Sunday 27th August - NVIDEA Corp. (NVDA) 117 Days

The 20 week component, present in US and global stock markets at around 115 - 130 days average wavelength, is apparent here in the recently very bullish NVIDEA. This component has been forming a consolidation peak over the last few weeks and is due for a trough middle to late August.

A Quick Note on Strategy Optimisation

The time based signals and analysis we give on Sigma-L, grounded in our time frequency analysis, are deliberately under optimised. When proposing a trading strategy with a anticipated statistical edge, the analyst must be extremely careful to not overfit (curve fitting) and subsequently be fooled by randomness. In our case the error terms in the predictions are defined by modulation characteristics of the signal identified. It is these modulation ‘ranges’ which can possibly be further optimised to increase the already excellent edge this approach has.

Readers are, of course, free to add additional filters, time or price based, to optimise entry. One time based example might be to only enter trades which also have a larger, with trend, periodic component providing additional impetus. One price based example might be to use a momentum indicator as a signal for peak or trough occurrence.

New Results and Schedule Format

I hope you have enjoyed July’s updates and I also hope this report brings some transparency to bear upon the results we post using our time / signal processing based strategy.

Going forward, this will be the format for reporting each month to subscribers in addition to the regular updates on each instrument we post.

DISCLAIMER: This website/newsletter and the charts/projections contained within it are intended for educational purposes only. Results and projections are hypothetical. We accept no liability for any losses incurred as a result of assertions made due to the information contained within Sigma-L. This report is not intended to instruct investment or purchase of any financial instrument, derivative or asset connected to the information conveyed in the report. Trade and invest at your own risk.