CBOE Volatility Index (VIX) - 23rd October 2023 | @ 76 Days | + 64.18%
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CBOE Volatility Index (VIX) - 23rd October 2023 | @ 76 Days | + 64.18%
Last trade: + 64.18% | 'A' class signal detected in CBOE Volatility Index (VIX). Running at an average wavelength of 76 days over 13 iterations since February 2021. Currently peaking.
ΣL Cycle Summary
This excellent and now upgraded signal in the VIX has been on our radar for some time and has provided a few good trades since the inception of our reports. It is somewhat inversely correlated to the same wavelength component in stockmarkets worldwide but there will be some higher frequency differences to be aware of. This will be mostly in the form of amplitude modulation at shorter wavelengths. At the courser scale around 75 days it is wonderfully frequency and amplitude stationary.
Trade Update
See also: Live ΣL Portfolio & History
Summary of the most recent trade enacted with this signal and according to the time prediction detailed in the previous post for this instrument, linked below.
Type: Buy - CBOE Volatility Index 15th September 2023
Entry: 15th September 2023 @ 13.79
Exit: 23rd October 2023 @ 22.64
Gain: 64.18%
Current Signal Status
Defining characteristics of the component detected over the sample period.
Detected Signal Class: A - learn more
Average Wavelength: 76.36 Days
Completed Iterations: 13
Component Yield Over Sample: 324.25% - learn more
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 high-passed price with the extracted signal overlaid for visual clarity.
Current 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 (learn more).
Phase: Peaking / Peaked
FM: +- 5 Days
AM: 0.91752
Next Trough Range: 27th November - 7th December, 2023
Next Peak Range: 3rd January - 13th January, 2024
Sigma-L Recommendation: Sell
Time Target: ~ 2nd December, 2023
Current Signal Phase
This is ‘how far along’ the cycle is in it’s period at now time and is related to the predicted price action direction.
Current Signal Frequency Modulation (FM)
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.
Current Signal Amplitude Modulation (AM)
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.