4 Commits

Include renames

Author	SHA1	Message	Date
dennisthiessenandClaude Opus 5	019ca1342a	Rewrite Regime Monitor as v3: fundamentals off the score, desaturate P3 ... The LLM-sourced capex/earnings observations carried 12+8 of 100 Warning points, so both pegged at 100 produced a Warning of 20.0 -- below the event study's 25.3 alarm threshold and still inside the "stable" band. The reading was arithmetically incapable of changing anything on screen, which is why refreshing it appeared to do nothing. They are now a qualitative overlay reported beside the scores rather than diluted into them. Calibrated against the 408 v2 sessions to 2026-07-24, reproduced offline from Alpaca + FRED; the harness matched the stored prod distribution exactly before any parameter was changed. State: - P3 used dd_pct * 5, reaching 100 at a 20% drawdown -- the 90th percentile of the observed distribution -- so 39/408 sessions sat at exactly 100 with no resolution left during the part of a selloff that matters most. Replaced with anchored breakpoints keeping headroom past the observed 36% maximum, blended 2:1 like P1/P2 instead of max(). P3's realized share of State falls from 65% to 40%, matching its nominal weight. - Credit level is now anchors-only. ICE capped FRED's BAMLH0A0HYM2 at a rolling 3-year window in April 2026, silently turning the 10-year percentile leg into a 3-year one that scored 20 points of stress at an OAS of 3.5 -- the level its own anchors call "mild". The anchors already encode the long-run distribution. Warning: - Added HY OAS 20-session widening (25%). The level is pinned at zero below the 3.5 anchor; its rate of change is not. - Divergence tapers to a 0.35 floor instead of a hard price_ret >= 0 gate, which zeroed the sensor through every decline: on 2026-07-24 the basket shed 10 points of participation in 20 sessions and Warning printed exactly 0. - The event study and the live monitor now share one sensor definition, so they cannot silently drift apart. Bands are per axis (State 20/50/80, Warning 20/40/60) with quadrant dividers at 50/40; v2 Warning never exceeded 64.9 against a shared 60, leaving that half of the quadrant unreachable. Realized shares: State 73/15/8/3%, Warning 69/20/8/3%. Snapshots now record credit_history_days and vix_history_days -- the percentile defect went unnoticed for months because nothing asserted the window the code claimed. Cutover: the first run rebuilds 400 sessions automatically; the Event Study job must be re-run, as its cached report self-invalidates on the methodology check. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>	2026-07-26 14:36:57 +02:00
dennisthiessen	1d5b1489be	feat: replace regime monitor with v2 methodology	2026-07-15 09:02:56 +02:00
dennisthiessenandClaude Opus 4.8	7c5fb1138d	feat: sharpen the event study — more events, fair baseline, per-event view ... The first run gave only 2 events (N=2 is anecdote, not evidence) and an unfairly weak coincident baseline, so the +42d lead couldn't be trusted. This makes the measurement meaningful: - More, cleaner events: default drawdown threshold 15%→10%, and dedup switched from "recover to the high" to a rising-edge + cooldown (40d), so distinct drawdowns each register instead of merging. - Fair comparison: each indicator now warns at its OWN 80th percentile instead of a shared absolute 60, removing the artifact that muted the coincident baseline. - Per-event breakdown (date · depth · breadth lead · coincident lead) so a median over a tiny sample can't hide an apples-to-oranges comparison — you see whether both warned on the same drawdown. - Surface precision/recall (best row) + base rate per indicator — the honest edge read, not just lead time. Re-run the Event Study job to regenerate the cached report in the new shape. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>	2026-06-26 14:54:29 +02:00
dennisthiessenandClaude Opus 4.8	824c15cf69	feat: breadth-divergence early-warning indicator + event study ... Adds a leading-by-construction candidate and the harness to measure whether it actually leads regime breaks, before any of it earns weight in the live index. - breadth_service: % of the stored universe above its own 200-DMA + a divergence score (benchmark price up while breadth falls, nudged by low breadth). Genuinely leading because it keys on divergence, not level. Not wired into the live score. - event_study_service: detect drawdown events on the benchmark, then measure each indicator's median lead time (event-centered) and precision/recall vs. the base rate (signal-centered). Compares breadth-divergence against the deterministic coincident price composite (reuses the regime price sub-scores). Price/breadth only — reproducible, no LLM/FRED. - Manual "Event Study" job (Admin → Jobs), GET /regime/event-study, and an inline early-warning panel on the Regime tab with an honest small-sample caveat. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>	2026-06-26 14:08:52 +02:00