dennisthiessenandClaude Opus 5
c3ae5ad949
v3 was calibrated by replaying the series offline, but that harness was never
committed -- so its published numbers could not be re-derived, and a v4 cut would
have had to choose anchors by argument rather than measurement. This is that
harness, and it reproduces the published figures.
scripts/run_regime_monitor_calibration.py replays State/Warning session by
session from the same inputs the live job uses (Alpaca for all 33 symbols, FRED
for VIX and HY OAS), with no database: breadth and divergence come from
breadth_service's pure helpers. It never reimplements an unchanged live sensor --
_compute_index, _score_pillars, P2, P4 and the Warning sensors are imported and
called. Only candidate formulas (proposed v4) and retired ones (v2, gone from the
codebase) are defined here and patched onto the module for a variant's duration.
Reproduction of the 408 sessions ending 2026-07-24, against the figures in
docs/research/regime-monitor-v3.md:
v2 State avg 22.6 -> 22.68
v2 State p80 35.1 -> 35.1 exact
v2 State max 91.2 -> 91.2 exact
v2 P3 pegged 39 -> 39 exact
v2 W1 live 108 -> 108 exact
v3 State max 87.4 -> 87.4 exact
v3 band shares 73.3/15.0/8.3/3.4 -> 73.0/15.4/8.1/3.4
Three things the harness had to get right to reach that, each of which was
initially wrong and caught by a gate rather than by inspection:
- "W1 live 108" counts NONZERO sessions, not non-null ones. v2's divergence
gate returned 0.0 during any decline (v3 tapers instead), so the retired
divergence formula had to be reconstructed too.
- v2 sliced HY_OAS_REFERENCE_YEARS = 10.0 per session, not v3's 700 days. The
percentile leg ranks against that window, so replaying it short shifted the
middle of the distribution while leaving the max exact.
- The published v2 numbers correspond to FULL OAS coverage. Replaying v2 with
the 400-calendar-day fetch it shipped with yields max 100.0 and 133
credit-less sessions -- so that truncation was not in force when the figures
were taken. Recorded rather than assumed.
The script refuses to emit a band recommendation unless every hard gate passes
(33 symbols fetched, per-symbol warm-up and final bar, full basket on every
session, calendar anchors, 100% coverage, and a row-wise state_v4 <= state_v3
invariant), and exits non-zero. It is meant to be structurally impossible to read
a calibration result out of a run whose pipeline did not validate. No v4 code
ships in this commit.
Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
1414 lines
27 KiB
JSON
1414 lines
27 KiB
JSON
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|
|
"breaking": 3.4
|
|
}
|
|
},
|
|
{
|
|
"bands": [
|
|
25.0,
|
|
50.0,
|
|
70.0
|
|
],
|
|
"shares": {
|
|
"stable": 82.1,
|
|
"watch": 9.8,
|
|
"elevated": 6.9,
|
|
"breaking": 1.2
|
|
}
|
|
}
|
|
]
|
|
}
|
|
},
|
|
"scenarios": {
|
|
"note": "pillar arithmetic on explicit sensor scores; State weights unchanged",
|
|
"vix_a": [
|
|
{
|
|
"scenario": "S1 ordinary tape",
|
|
"P1": 0.0,
|
|
"P2": 0.0,
|
|
"P3": 7.5,
|
|
"price": 7.5,
|
|
"breadth": 0.0,
|
|
"C1": 0.0,
|
|
"V1": 4.0,
|
|
"state": 3.6
|
|
},
|
|
{
|
|
"scenario": "S2 10% correction, calm credit",
|
|
"P1": 30.0,
|
|
"P2": 0.0,
|
|
"P3": 31.25,
|
|
"price": 31.25,
|
|
"breadth": 62.5,
|
|
"C1": 0.0,
|
|
"V1": 34.4,
|
|
"state": 33.28
|
|
},
|
|
{
|
|
"scenario": "S3a 2022-style, calm credit, no death cross",
|
|
"P1": 87.5,
|
|
"P2": 0.0,
|
|
"P3": 90.83,
|
|
"price": 90.83,
|
|
"breadth": 100.0,
|
|
"C1": 0.0,
|
|
"V1": 60.0,
|
|
"state": 70.33
|
|
},
|
|
{
|
|
"scenario": "S3b 2022-style, calm credit, death cross",
|
|
"P1": 87.5,
|
|
"P2": 100.0,
|
|
"P3": 90.83,
|
|
"price": 100.0,
|
|
"breadth": 100.0,
|
|
"C1": 0.0,
|
|
"V1": 60.0,
|
|
"state": 74.0
|
|
},
|
|
{
|
|
"scenario": "S4 credit event on top",
|
|
"P1": 100.0,
|
|
"P2": 100.0,
|
|
"P3": 100.0,
|
|
"price": 100.0,
|
|
"breadth": 100.0,
|
|
"C1": 75.0,
|
|
"V1": 86.67,
|
|
"state": 93.0
|
|
},
|
|
{
|
|
"scenario": "S5 March 2020, everything pegged",
|
|
"P1": 100.0,
|
|
"P2": 100.0,
|
|
"P3": 100.0,
|
|
"price": 100.0,
|
|
"breadth": 100.0,
|
|
"C1": 100.0,
|
|
"V1": 100.0,
|
|
"state": 100.0
|
|
}
|
|
]
|
|
},
|
|
"diagnostics": {
|
|
"vix_top10": [
|
|
[
|
|
"2025-04-08",
|
|
52.33
|
|
],
|
|
[
|
|
"2025-04-07",
|
|
46.98
|
|
],
|
|
[
|
|
"2025-04-04",
|
|
45.31
|
|
],
|
|
[
|
|
"2025-04-10",
|
|
40.72
|
|
],
|
|
[
|
|
"2024-08-05",
|
|
38.57
|
|
],
|
|
[
|
|
"2025-04-11",
|
|
37.56
|
|
],
|
|
[
|
|
"2025-04-21",
|
|
33.82
|
|
],
|
|
[
|
|
"2025-04-09",
|
|
33.62
|
|
],
|
|
[
|
|
"2025-04-16",
|
|
32.64
|
|
],
|
|
[
|
|
"2026-03-27",
|
|
31.05
|
|
]
|
|
],
|
|
"candidate_anchors": {
|
|
"P5_VIX_ANCHORS_A": [
|
|
[
|
|
15.0,
|
|
0.0
|
|
],
|
|
[
|
|
20.0,
|
|
20.0
|
|
],
|
|
[
|
|
25.0,
|
|
38.0
|
|
],
|
|
[
|
|
30.0,
|
|
55.0
|
|
],
|
|
[
|
|
40.0,
|
|
80.0
|
|
],
|
|
[
|
|
55.0,
|
|
100.0
|
|
]
|
|
],
|
|
"P5_VIX_ANCHORS_B": [
|
|
[
|
|
15.0,
|
|
0.0
|
|
],
|
|
[
|
|
20.0,
|
|
25.0
|
|
],
|
|
[
|
|
25.0,
|
|
45.0
|
|
],
|
|
[
|
|
30.0,
|
|
65.0
|
|
],
|
|
[
|
|
40.0,
|
|
85.0
|
|
],
|
|
[
|
|
55.0,
|
|
100.0
|
|
]
|
|
],
|
|
"P1_TREND_BREAK_ANCHORS": [
|
|
[
|
|
0.0,
|
|
20.0
|
|
],
|
|
[
|
|
3.0,
|
|
35.0
|
|
],
|
|
[
|
|
8.0,
|
|
55.0
|
|
],
|
|
[
|
|
15.0,
|
|
75.0
|
|
],
|
|
[
|
|
25.0,
|
|
100.0
|
|
]
|
|
]
|
|
}
|
|
},
|
|
"v4_recommendation": {
|
|
"state_bands_candidate": [
|
|
20.0,
|
|
50.0,
|
|
65.0
|
|
],
|
|
"provisional": false,
|
|
"note": "confirm against band_grid + scenarios before shipping"
|
|
}
|
|
} |