February 2024: TBC
Last Update: 6th February 2024
Nominal Gain: Awaiting trades
Normalised: Awaiting trades
Current Trade by Trade (Google Sheets)
Since July 2023:
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.
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.