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