Discover more from Sigma-L

Identify financial market turning points with the power of signal processing and wavelet analysis. Expertly crafted time series decomposition of stock markets, cryptocurrency, energy, metals, foreign exchange and more.

Stockmarkets

CBOE Volatility Index - 29th May 2023 | @ 75 Days

Last trade: + 1.99% | 'B' class signal detected in CBOE Volatility Index (VIX). Running at an average wavelength of 75 days over 11 iterations since January 2021. Currently peaking

May 29, 2023

Trade Update

Summary of the most recent trade enacted with this signal and according to the exact time prediction detailed in the previous post for this instrument. 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.

Type: Buy - CBOE Volatility Index 15th April 2023
Entry: 15th April 2023 @ 17.03
Exit: 29th May 2023 @ 17.37
Gain: 1.99%

Signal Class & Attributes

Defining characteristics of the component detected over the sample period.

Detected Signal Class: B - learn more
Average Wavelength: 75.08 Days
Completed Iterations: 11

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 highpassed price with the extracted signal overlaid for visual clarity.

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.

Phase: Peaking / Peaked
1

FM: +- 8 Days
2

AM: 1.04396
3

Next Trough Range: 25th June - 11th July, 2023
Next Peak Range: 1st August - 17th August, 2023

Sigma-L Recommendation: Sell
Time Target: ~ 3rd July, 2023

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.

Signal Phase: This is ‘how far along’ the cycle is in it’s period at nowtime and is related to the predicted price action direction.

Signal Frequency Modulation: 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.

Signal Amplitude Modulation: 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.