3.4 KiB
Regime Monitor v2 methodology
The Regime Monitor is an observational AI/Tech risk thermometer. It does not gate entries, exits, position size, ranking, or alerts about individual setups.
Outputs
State measures current structural stress:
- Price structure, 40%:
max(P1, P2, P3), so the correlated 200-DMA, death-cross, and drawdown readings receive one capped vote. - Fixed-basket breadth level, 25%.
- HY option-adjusted credit spread, 20%.
- VIX level, 15%.
Warning measures deterioration and divergence:
- Fixed-basket breadth divergence while SMH holds/rises, 50%.
- 60-session SMH/SPY relative-strength deterioration, 30%.
- Hyperscaler capex cuts, 12%.
- Good-news-stock-down earnings reactions, 8%.
Combined, RSP/SPY (former F4), and the NVDA canary (former P6) do not enter v2.
Scale and missing data
Zero means ordinary/healthy, and only stress contributes positively. Automated
capex raising/holding and no good-news-stock-down pattern map to zero;
mixed, unknown, and stale observations are unavailable rather than neutral 50.
Manual observations use the same categories: each hyperscaler is marked
raising, holding, cutting, or unknown, while the earnings reaction is
yes, no, or mixed. F1 is derived from the share of at least three known
hyperscalers marked cutting; arbitrary numeric overrides are not accepted.
Scores renormalize over available fixed weights, but a band is published only at
75% or greater coverage. Trend deltas are suppressed when the participating
pillar set changes. Bands are stable <30, watch <60, elevated <80, and
breaking >=80.
Credit uses named HY OAS anchors (3.5 mild, 5.0 elevated, 7.0 stressed) for 70% of its score and a ten-year upper-tail percentile for 30%.
Point-in-time record
The first v2 run rebuilds the latest 400 trading sessions with sufficient sensor
warm-up. Routine runs thereafter insert/update only the latest trading date.
Fundamental observations have an effective date (normally the next session after
collection) and are never replayed backward. The history API and main chart show
only snapshots marked methodology: v2.
Each snapshot stores the fixed basket symbols, hash, and freeze date. Reconstructed history before that freeze date is retrospective/exploratory; readings after it form the forward record.
The automatic 400-session rebuild is intentionally one-shot: it runs only when no v2 snapshot exists. If an initial seed used partial data or the wrong basket, the operational reseed procedure is to remove the v2 snapshot rows and run the Regime Monitor job again. There is no routine force-rebuild flag.
Warning study
The study calls the outcome a 10% correction, not a regime break. The first 70% of sessions freezes the 80th-percentile warning threshold; alarm episodes are measured on the final 30%. An alarm requires an upward crossing and another alarm requires a reset below the threshold. The report exposes warned/missed events, false alarms per year, median lead, sample dates, event count, report date, and whether the result is exploratory or a true forward holdout. UI claims are generated from that report; no performance sentence is hard-coded.
Operator rule
Quadrant alerts default off for new/reset configurations. When enabled they require fresh inputs, at least 75% coverage on both axes, two consecutive daily confirmations, hysteresis, and cooldown. Every alert states: Risk thermometer — not a trade signal.