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