ΣL Portfolio
Total Return
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.
Bravo. back on track