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
dennisthiessen	edc1a9757b	Refine Telegram alert behavior	2026-07-04 12:37:12 +02:00
dennisthiessenandClaude Opus 4.8	65dd53baa3	feat: Telegram alert on regime quadrant change (hysteresis + cooldown) ... Fires once when the regime monitor shifts quadrant (regime index x early warning), so you don't have to watch the tab. Two guards against spam: - Hysteresis: each axis only flips once the value crosses its divider by a margin, so a point parked on a boundary keeps its quadrant instead of flip-flopping day to day. - Cooldown: a genuine change stays quiet for a few days after the last alert. Seeds the baseline silently on first run; reuses the existing Telegram dispatch + AlertLog. New per-trigger toggle in Admin → Alerts (on by default). Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>	2026-06-26 19:05:01 +02:00