Macro Regimes

Algorithmic Market State Classification

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Interactive Regime History

RISK ON

CALM

NEUTRAL

CAUTION

STRESS

Algorithmic Documentation

V1.4.2 Classification Engine

Download Methodology PDF

This manual constitutes the single source of truth for the classifier's algorithmic logic, whose hierarchy is based on five critical dimensions with strategic weightings: Breadth (15%), Correlation (15%), Credit (20%), Liquidity (20%), and Volatility (30%). This holistic structure mitigates systemic risks by validating not just price, but structural health, capital flow (fuel), and the cost of fear, ensuring that portfolio exposure is proportional to the real stability of the macroeconomic environment.

DIM IMarket Breadth (15%)

The sentinel in charge of detecting the "Stealth Bear Market". Its strategic imperative is to verify if index appreciation is a collective phenomenon or a fragile dependence on a monopolistic group of firms.

pct_above_ma200% S&P 500 stocks above 200-day EMA

rsp_vs_spyEqual-weight vs Market-Cap Ratio

CRIConcentration Risk Index

DIM IIStructural Correlation (15%)

Principal Component Analysis (PCA):

Plural Market (PCA <30-40%): Assets move by own fundamentals.

Binary Macro Market (PCA >60-75%): Captured by central bank liquidity.

Correlation Breakdown Warning:

Pearson correlation >0.6 between Stocks (SPY) and Bonds (TLT) invalidates traditional diversification.

DIM IIICredit (20%)

"Credit precedes equity". The refinancing capacity of corporations is the real pulse of systemic solvency.

HY Spreads>5.5% predicts EPS dry-out.

Bank DivergenceTicker KBE vs S&P 500.

DIM IVLiquidity (20%)

Fed Net Liquidity EquationWALCL (Balance) - TGA - RRP

Determines Flash Crash probability via Bid-Ask spreads. Rapid "Re-steepening" of the Yield Curve (T10Y2Y) triggers severe corrective waves.

DIM VVolatility (30%)

Measures Institutional urgency for Hedging.

Term Structure

Calculated as VIX / VIX3M. Ratio < 1.0 indicates systemic panic.

VVIX (>110)

High surcharges for insurance against "Black Swans".

SKEW (135-150)

Signals imminent tail risk or huge downward moves.

Move Index (>120)

Rate volatility impacting equity valuations.

Operational Protocol

Global Verdict V1.4.2

Regime	Threshold (Score)	Macro Interpretation	Strategic Action
RISK_ON	< -1.0	Euphoria / Full Liquidity	Max Exposure / High Beta
CALM	-1.0 to -0.5	Solid Bullish Growth	Maintain Exposure
NEUTRAL	-0.5 to 0.5	No Clear Direction	Value / Stock Picking
CAUTION	0.5 to 1.5	Structural Cracks	Deleverage / Buy Puts
STRESS	>= 1.5	Panic / Systemic Failure	Capital Preservation (Cash)

Source of Truth: IntelVault Algorithmic Core

The engine core utilizes Robust Normalization (Z-Score & MAD) over 252-day rolling windows to mitigate extreme event bias.