PCA blend of trend indicators to extract the shared nomralized trend signal. Positive values generally align with uptrends; negative with downtrends.
Latent Reversion
PCA blend of standerdized mean-reversion indicators. Extremes often reflect stretched conditions relative to the recent mean.
Latent Regime
PCA blend of nomralized market-regime indicators to show the dominant environment. Larger magnitude means a clearer regime.
Latent Momentum
PCA blend of nomralized momentum indicators to isolate the dominant momentum component. Larger magnitude signals stronger momentum conditions.
Latent Volatility
PCA blend of standerdized volatility indicators to summarize the current volatility regime. Higher absolute values imply more pronounced volatility states.
Systems
Trend System
Composite of several trend indicators. Higher values mean more agreement on an uptrend; lower values mean weaker or downtrend conditions.
Reversion System
Composite of mean-reversion indicators with a boost line for agreement (yellow). Extremes can signal stretched conditions.
Machine Learning
Reversion Extraction
Manifold learning compresses multiple mean-reversion signals into one latent line. It highlights the common reversion theme.
Inferred Trend
Two-state classifier applied to the latent mean-reversion signal. The state line shows the regime; the entropy line shows uncertainty (higher means less confident).
Matrix - Relative Strength Portfolio
Core Current Ranking
Snapshot of the latest relative-strength points for core assets. Higher points mean stronger relative performance.
Core Equity Curve
Hypothetical equity curve from rotating into the top-ranked core asset. Starts at 1 for easy comparison.
Core Ranking Points
Relative-strength points for each core asset over time. The highest line indicates the current leader.
Alts Current Ranking
Snapshot of the latest relative-strength points for alt assets. Higher points mean stronger relative performance.
Alts Equity Curve
Hypothetical equity curve from rotating into the top-ranked alt asset. Starts at 1 for easy comparison.
Alts Ranking Points
Relative-strength points for each alt asset over time. The highest line indicates the current leader.