22bee28ac792a156cd6296297af46209e723442e
5
Commits
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  dennisthiessenandClaude Opus 5
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7fdcac3b55 |
docs: carry the risk-monitor wording through docs, comments and logs
Follows
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dennisthiessenandClaude Opus 5
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3483797e75 |
fix(regime): reseed stored history on a sensor change, and stop faking an observation
Two review findings on
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dennisthiessenandClaude Opus 5
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46ace501a2 |
refactor(regime): collapse the monitor page, fix the OAS rebuild window
The page had twelve stacked blocks, several of them different views of the same numbers. The quadrant plot and the score-history chart drew the same two series from the same query key, which read as two datasets; they are now one card with a Time | Path toggle. The two pillar disclosures become one grouped table, and three prose blocks (data quality, basket, coverage) become one provenance chip strip. Page text is now limited to what changes how the reader interprets today's number; the rest moved to the methodology doc. Removes three stale-threshold bugs of one class. The quadrant fell back to v2's 60/60 dividers when quadrant_config was absent -- the real values are 50/40 and they feed alert_service, so the chart could disagree with what actually fires. The gauge fell back to v2's 30/60/80 band ticks, and drew a divider line that always landed on its own "elevated" tick. The time series' reference lines were at 30/60/80, which correspond to nothing in v3; they are now per-axis dashed lines read from the same quadrant_config. Rendering also surfaced a live clipping bug inherited from the old chart: margin.left -18 against YAxis width 28 left ~10px for a 3-digit label, so every Y tick was cut off. HY_OAS_WINDOW_DAYS was 400 *calendar* days while a rebuild replays REBUILD_SESSIONS = 400 *trading* sessions (~579 calendar days), so the oldest ~180 days of any rebuild got no OAS at all and both credit sensors returned None. State then lands at 80% coverage and Warning at exactly MIN_COVERAGE, so both still publish bands -- a series that looks homogeneous while its oldest rows were scored without credit. Widened to 700. This needs no methodology bump: C1 reads [-1] and W3 reads [-21], both from the end, so widening only prepends and every live score is bit-identical. Sequenced deliberately, since acting on the open findings below bumps METHODOLOGY and fires the rebuild. A just-collected fundamental observation was hidden until its effective date -- one day, three over a weekend -- because the live reading called the point-in-time function, so refreshing appeared to do nothing. That was the opposite of what the doc claimed. fundamental_overlay stays the gated record (it runs for every replayed date during a rebuild); current_observation is the live reading and reports the effective date instead of blanking the content. Nothing in the overlay is scored, so showing it early cannot reach a published number. Documents four calculation findings. Three are not implemented, since each changes a published score and so requires a v4 cut: State's top band is a credit-event band (credit returns 0.0 rather than None below the 3.5 anchor, so it is pinned at zero at weight 20 -- with everything else pegged State computes to exactly 80.0, the breaking threshold); V1 saturates at VIX 30; and the deliberate max(P1,P2,P3) defeats P3's anchoring because P1 is binary. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com> |
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dennisthiessenandClaude Opus 5
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83c0555e52 |
Event study: report its own statistical limits
The v3 cutover run scored 2/4 corrections warned against v2's 3/4, which reads like a regression and is not one. Only 4 of the 11 detected corrections fall in the holdout, so recall is one event from a different headline -- and the event that flips is decided by threshold placement, not by what the score saw. "v3 without the credit sensor" catches 2025-02-21 at a *higher* threshold (35.5) than shipped v3 misses it at (32.3), because the alarm rule needs a rising edge and a lower threshold can fire outside the horizon then never reset below. Two caveats are now computed and surfaced rather than left for the reader to infer: - Holdout event count against MIN_EVENTS_FOR_CONFIDENCE. The summary sentence states how many of the detected corrections actually fall in the test period. - Warning-sensor coverage across the split. The score renormalises over what is available, so a training window predating a sensor's history freezes the threshold on a different construct than the holdout is measured against. At the cutover that is 39% of training sessions with all three sensors versus 100% of the test period, credit history beginning 2023-07-25. Restricting the threshold to sensor-matched training sessions was tested and rejected: those sessions are a calm recent stretch, so the threshold falls from 32.3 to 22.5 and false alarms rise from 3.3 to 8.6/yr. It swaps a coverage bias for a regime-selection bias. The report states its limits instead. _warning_series now returns per-session sensor counts alongside the scores. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com> |
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dennisthiessenandClaude Opus 5
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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> |