Market Regime Algorithm
Formula
score = Σi tier(xi) × wi
Indicator Weights (wi)
| Weight | Indicator | Rationale |
|---|
| 1.5 | VIX | Real-time, hard to game |
| 1.5 | HY OAS | Cleanest credit-stress signal |
| 1.2 | S&P 500 PE | Valuation anchor |
| 1.0 | CNN F&G | Composite sentiment |
| 1.0 | Put/Call | Options-flow sentiment |
| 1.0 | NDX > 20d MA | Market breadth |
| 1.0 | 10Y-2Y Curve | Macro late-cycle |
| 0.7 | AAII Bull-Bear | Noisy weekly survey |
| 0.7 | S&P 500 RSI | Price momentum |
| 0.7 | NDX 100 PE | Less standard |
| 0.6 | CBOE SKEW | Indirect, top-only |
Bull/Bear Alerts: Top Signals / Bottom Signals (Simplified Rules Based on Historical Thresholds)
Top Signals
Count: —
Bottom Signals
Count: —
| No. |
Indicator |
Top |
Bottom |
Rule Description |
| Loading signals... |
Note: Signals are "early warning/emotional and credit temperature gauges", not trading orders; please combine with position management and risk control.
History: Major Top/Bottom Comparisons After 2000 (Based on ^SPX Drawdown ≥ 15%)
| Event |
Peak Date |
Trough Date |
Drawdown |
High Yield(T/B) |
Bull-Bear(T/B) |
Fear & Greed(T/B) |
S&P500 PE(T/B) |
| Dot-com Bubble Burst | 2000-03-24 | 2002-10-09 | -49.1% | 3.78% / 10.97% | 25.0% / -25.0% | — / — | 28.0x / 32.0x |
| 2008 Global Financial Crisis | 2007-10-09 | 2009-03-09 | -56.8% | 3.78% / 19.66% | 23.0% / -51.0% | — / — | 22.0x / 110.0x |
| 2011 US Debt Ceiling / Eurozone Crisis | 2011-04-29 | 2011-10-03 | -19.4% | 4.39% / 8.87% | 12.0% / -25.0% | — / — | 16.0x / 13.0x |
| 2018 Q4 Trade War / Fed Tightening | 2018-09-20 | 2018-12-24 | -19.8% | 3.16% / 5.34% | 23.0% / -29.0% | 80.0 / 3.0 | 21.0x / 17.5x |
| 2020 COVID-19 Crash | 2020-02-19 | 2020-03-23 | -33.9% | 3.59% / 10.87% | 13.0% / -20.0% | 58.0 / 3.0 | 25.0x / 19.0x |
| 2022 Inflation / Rate Hike Bear | 2022-01-03 | 2022-10-12 | -25.4% | 3.05% / 5.23% | -6.0% / -35.0% | 52.0 / 17.0 | 28.0x / 19.0x |
| 2024.08 Yen Carry Trade Unwind | 2024-07-16 | 2024-08-05 | -8.5% | 3.05% / 3.81% | 30.0% / -5.0% | 56.0 / 25.0 | 28.5x / 26.0x |
| 2025.04 Tariff Shock | 2025-02-19 | 2025-04-08 | -18.9% | 2.84% / 4.61% | -12.0% / -38.0% | 50.0 / 4.0 | 30.0x / 23.0x |
Note: Historical comparison table is a hardcoded snapshot (for comparison and rule backtesting), data compiled from Federal Reserve FRED (HY Spread), AAII (Sentiment), CNN (Fear & Greed), Multpl (SP500 PE). CNN data not available before 2012.