ΣL Cycle Summary
Over the years many Hurst cycles practitioners have stuck to the mantra of the 18 month nominal wave existing in US stock markets. We, on the other hand, like to see good evidence of a cycle’s existence (via our robust time frequency analysis) and over the last few years, at least, there is little power in that region. However, if one makes the assumption that treasury yields largely move inversely to US stock markets then the following phasing in TNX becomes much more interesting and with wider implications. Indeed in the 10 year treasury yield there is an excellent signal around the bandwidth of the Hurst 18 month nominal wave, this has been the case for quite a few years. The high pass filtered price shows this signal most markedly below, the amplitude stationarity in the sample since 2009 is probably one of the better examples we see in financial markets.
Trade Update
Summary of the most recent trade enacted with this signal and according to the time prediction detailed in the previous report for this instrument, linked below.
Type: Late Sell - US 10 Year Treasury Yield 8th March 2024
Entry: 8th March 2024 @ 4.089
Exit: 30th September 2024 @ 3.802
Gain: 7.02%