Formula: the published composite is the
weighted mean of nine component
Z-scores. Weights reflect each signal’s ability to discriminate fast panics
from slow bear markets. A pipeline assertion guarantees the published composite exactly
reproduces this formula.
Components & weights:
•
VIX term structure (25%) — VIX / 252-day median, inverted. Strongest
panic discriminator: reaches −3σ in fast crashes (2020, 2025) but only
−0.9σ in slow grinds (2022).
•
Vol-control allocation (10%) — blend of constant-target-vol allocations
(8/10/12/15% targets) using realised + VIX-implied vol.
•
CTA equity weight (3%) — multi-horizon trend (1/3/6/12-mo) across
SPY/QQQ/IWM/EFA/EEM, inverse-vol scaled. Down-weighted: overshoots in slow bears.
•
CFTC futures positioning (10.4%) — E-MINI S&P 500 net
(asset-manager + leveraged-fund) as % of open interest.
•
NAAIM exposure (10.4%) — weekly active manager equity exposure index.
•
UMich consumer sentiment (10.4%) — University of Michigan sentiment
(FRED: UMCSENT), proxy for AAII investor sentiment.
•
Margin debt growth (10.4%) — quarterly % change in FINRA margin debt
(FRED: BOGZ1FL663067003Q).
•
CBOE equity put/call (10.4%) — daily equity put/call volume ratio
(from 2020; 8 components used before then, re-normalised).
•
Financial stress index (10%) — St. Louis Fed STLFSI4, inverted.
Spiked to 5.66 in 2020 panic vs 0.5 in 2022 grind.
Standardisation: expanding-window Z-score (min 156 weekly obs), past-only
(shifted), winsorised at ±3.75σ. Weekly Friday close. Publication lags:
CFTC ≈5d, NAAIM ≈5d, UMich ≈15d, margin ≈30d. VIX and put/call
are daily with no lag.
Validation: full-period corr 0.87 to digitised DB chart (n≈700, 2012–2026).
Anchors: 2020 COVID −2.07 (target ≈−2.12); Apr 2025 tariff −1.39
(target ≈−1.40); 2022 bear −1.48 (target ≈−1.42).
Known limitation: 2018 Q4 modelled too deep (−1.36 vs ≈−1.0).
AAII sentiment and EPFR fund flows excluded (not freely accessible).
Orange line: fast systematic overlay (companion, not part of composite) —
short momentum, drawdown, fast vol-control, vol shock. Reacts within days; leads the
composite at capitulations.
Machine-readable evidence:
latest data (JSON) ·
component Z-scores (CSV) ·
digitised target ·
date-level predictions ·
candidate-model results ·
validation summary ·
source manifest ·
run manifest ·
SHA-256 checksums ·
methodology ·
validation & digitisation ·
automation evidence