Mid-cycle · Cautious / Deteriorating
Growth remains supportive and volatility is contained, but deteriorating market breadth and restrictive real yields argue for a more cautious near-term posture.
Authoritative Regime Gate v1 governs portfolio posture. Shadow · experimental The broader Macro & Regime OS remains experimental and does not change portfolio rules until validated.
How the gate reads today (4 signals)
Regime Gate v1 governs three things and nothing else: new long-dated option positions, new speculative names and the hedge-sleeve multiplier. The rule is fixed and applied without discretion: all four green reads normal; one yellow and no red is caution; two or more yellow, or any red, halts new long-dated option positions and new speculative names. Today: 2 green, 1 yellow, 1 red.
⚠ HALT REGIME — review checklist Part A3 before any action.
| Signal | Reading | Status |
|---|---|---|
| SPX vs 200-day MA | +8.19% vs 200-day; 200-day rising | GREEN |
| VIX | 14.84 | GREEN |
| Fed funds trajectory | 3.75–4.00% · hiking | RED |
| NDX breadth (% above 50-day MA) | 51.5% | YELLOW |
1 yellow signal (NDX breadth (% above 50-day MA)) and 1 red (Fed funds trajectory) trigger HALT.
- New speculative names: No
- Hedge sleeve multiplier: 1.5×
- Drawdown review: Yes — run checklist Section A3 if NLV within 5% of any drawdown tier
- SPX vs 200-day MA — Alpha Vantage (SPY as S&P 500 proxy — AV carries no ^GSPC) · as of 2026-10-09 · SPY 778.57 · 200d MA 719.66 · MA slope +1.40%/month
- VIX — yfinance (^VIX) — documented exception to AV-only; AV carries no ^VIX · as of 2026-10-09 · VIXY rejected as a proxy: futures ETF, roll decay, misclassifies the level
- Fed funds trajectory — authored 2026-10-05 — FOMC statement 16 Sep 2026 (federalreserve.gov/newsevents/pressreleases/monetary · as of 2026-10-05 · A unanimous 25bp hike from the 3.50–3.75% hold of 29 Jul, the move July's three hike-dissents had argued for. Owner-approved as 'hiking' (an action taken), not 'hawkish_turn' (a guidance shift without action). Under mch_regime Signal 3 either word scores RED; with NDX breadth YELLOW the gate is HALT either way, as it already is on the stale default. Goes stale 2026-10-28 — re-author that evening.
- NDX breadth (% above 50-day MA) — computed from Alpha Vantage closes · list authored 2026-07-29 · 53 of 103 constituents above their 50-day
- MCH Pre-Trade & Portfolio Review Checklist, Part A1 (MCH Regime Rule).
What changed
- Regime change: internals moved from neutral to deteriorating
- Regime change: policy moved from tightening to restrictive
- Credit: Lower-quality spreads widened (12.52%)
Net effect: The longer-term backdrop is balanced, but near-term risk-taking is more selective while the gate holds new positions.
View all changes (6)
The six dimensions read credit neutral, growth expanding, inflation disinflating, internals deteriorating, policy restrictive, volatility normal. Changed since the last snapshot: internals moved from neutral to deteriorating; policy moved from tightening to restrictive. Largest twenty-session moves: Initial jobless claims 197,000 (0th percentile), -13,000 over twenty sessions; VIX (daily close history) 15.41 (36th percentile), -2.43 over twenty sessions.
- Regime change — internals moved from neutral to deteriorating
- Regime change — policy moved from tightening to restrictive
- Signal move — Initial jobless claims 197,000 (0th percentile), -13,000 over twenty sessions — improving (-13,000 20D)
- Signal move — VIX (daily close history) 15.41 (36th percentile), -2.43 over twenty sessions — improving (-2.43 20D)
- Signal move — ICE BofA CCC & lower OAS 12.52 (100th percentile), +1.82 over twenty sessions — deteriorating (+1.82 20D)
- Signal move — SPY realized vol (20d, annualized) 9.92 (32nd percentile), +1.19 over twenty sessions — improving (+1.19 20D)
What matters now
| Signal | Current reading | Why it matters |
|---|---|---|
| Market trend | Above its 200-day average (8.19%) | The long-term trend is the first filter on risk-taking |
| Market breadth | Improving (52.00% above the 50-day average) | Fewer stocks participating weakens the support under the index |
| Volatility | Normal · improving (15.41) | Whether the market is pricing broad stress |
| Real yields | Restrictive · deteriorating (2.87) | Higher discount rates pressure long-duration assets |
| Credit | Neutral (3.15%) | Funding conditions for leveraged borrowers |
| Growth | Expanding · improving | Whether recession, rather than valuation, is the main risk |
| Inflation | Disinflating · improving | Limits how quickly policy can ease |
Evidence by dimension, with the underlying series, is below.
Portfolio implications
- Equities: The gate holds new broad risk; index strength above trend does not release it.
- Concentration: Breadth is deteriorating, which raises the weight the model puts on quality and liquidity.
- Hedging: Hedge sleeve at 1.5× while the gate reads Defensive — HALT; restrictive real yields keep the hedge budget above normal.
- Options: The model opens no new speculative names today; its option use is hedging and defined-risk expressions rather than leveraged directional exposure (see the options stance above).
Six regime dimensions
Six independent readings; there is deliberately no combined score. A composite would have to earn its authority through registered validation, and none has.
| Dimension | State | Interpretation | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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| Growth | Expanding · improving | Activity remains positive; the rate-sensitive parts are the weak spot.View evidence (10)
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| Inflation | Disinflating · improving | Price momentum is easing, which widens the room for policy to ease.View evidence (6)
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| Policy | Restrictive · deteriorating | High real yields remain a headwind for long-duration assets.View evidence (6)
Authored Fed stance: tightening, as of 2026-10-05 (5 days old). It is carried as evidence; the measured series determine the reading.
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| Credit | Neutral | Spreads sit near their usual range; financing is neither easy nor hard.View evidence (6)
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| Internals | Deteriorating · improving | Breadth is the clearest near-term warning.View evidence (8)
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| Volatility | Normal · improving | Neither realised nor implied volatility indicates broad stress.View evidence (5)
|
Growth and inflation mix
Growth / inflation mix: Disinflationary contraction. Growth and inflation momentum are both falling. Deteriorating market breadth and restrictive real yields prevent that backdrop from translating into an aggressive risk posture.
View the map
Upcoming macro risk
| Date | Event | Importance | What would matter |
|---|---|---|---|
| Wed 14 Oct | September CPI · date unverified | Very high | Whether core inflation is easing enough to keep policy easing in play |
View the five-session calendar
- Wed 14 Oct — September CPI (Very high, date unverified)
- No registered event: Mon 12 Oct, Tue 13 Oct, Thu 15 Oct, Fri 16 Oct.
Authored macro calendar (data/catalysts/_macro.json). No consensus data is registered from any authorised source, so no consensus or surprise column is shown. US market holidays are not modelled — sessions are weekdays. Sensitivity is an authored mapping, not a computed score.
Validation status
The Macro & Regime OS remains experimental (shadow). Its six dimensions are recorded prospectively and do not alter the authoritative portfolio rule until predefined validation gates are passed. 5 hypotheses registered (H-CR-1, H-VOL-1, H-GR-1, H-IN-1, H-CR-2); passed: none yet. Engine mrg-1.0.0. No composite score is published; historical evidence and portfolio interaction publish after validation. Governance record.
Data quality: good — the gate's four inputs are current; 1 experimental series run within their usual publication lag.
Methodology and data
Readings reflect the PREVIOUS US session; this check runs at 07:30 SAST, before the US open.
Known limitations
- PMI/ISM has no authorised source (recorded factor-registry exclusion)
- VIX term structure, VVIX and MOVE have no authorised source
- ICE BofA OAS series carry a three-year window on FRED, so credit percentiles are shallow by construction
- no market-implied FOMC path exists; policy-path readings are inferences
- no macro consensus history is registered, so no surprise index is computed
- US market holidays are not modelled in the event calendar
Data sources
- Alpha Vantage — macro + prices (daily) · sole market-data vendor
- FRED — macro series AV does not carry (daily) · documented source exception 2026-08-30; FRED® API, not endorsed by the St. Louis Fed
- authored — Fed stance, macro calendar (authored) · carried with its age
Feature definitions
- payrolls — payroll momentum tracks the growth cycle
- unemployment — rising unemployment marks contraction
- claims_initial — claims lead the labour cycle
- retail_sales — consumption is the US cycle's core
- durables — capex orders lead industrial output
- indpro — IP tracks the goods cycle
- housing_starts — housing is the most rate-sensitive growth engine
- real_gdp — the slow anchor the fast series lead
- cpi_yoy — headline price momentum
- cpi_core — core momentum is the Fed's read
- pce_core — the target measure itself
- wages_ahe — wage growth anchors services inflation
- breakeven_10y — market-priced inflation expectations
- wti_momentum — energy feeds headline with a lag
- fed_funds — the policy rate itself
- ust_3m — front-end policy pricing
- ust_2y — the policy-path proxy
- ust_10y — the duration anchor
- ust_30y — the long end / term premium
- curve_2s10s — inversion precedes recessions
- curve_3m10y — the Fed's preferred recession curve
- real_yield_10y — the true discount-rate pressure on equities
- real_yield_5y — the belly's real-rate read
- fed_stance — the human policy read, carried as evidence WITH ITS AGE (D-118)
- oas_hy — HY spread widening leads equity drawdowns
- oas_ig — the quality end of the credit read
- oas_ccc — the distressed tail moves first and furthest
- hyg_lqd_ratio — the tradeable credit-risk-appetite read
- nfci — broad financial-conditions composite (Fed-published, not house-fitted)
- spy_vs_200d — the primary trend (shared basis with Gate v1 signal 1)
- spx500_breadth_200d — participation breadth, structural window
- ndx_breadth_50d — megacap-complex participation (shared basis with Gate v1 signal 4)
- rsp_spy_ratio — narrowing = cap-weight outrunning the median stock
- iwm_spy_ratio — small-cap risk appetite and financing conditions
- cyclical_defensive — the oldest rotation read there is
- vix — the option market's 30d variance price (shared basis with Gate v1 signal 2)
- vix_hist — the same instrument WITH a history — percentiles become honest
- spx_rv20 — what volatility actually did
- implied_realized_spread — the variance risk premium's sign and size
- copper — the metal with an economics degree
- loan_standards — the only DIRECT read on bank credit SUPPLY, as against what spreads imply about its price
- loans_ci — contracting business credit is the supply side of a credit tightening actually biting
- bank_credit — aggregate bank balance-sheet expansion; the broadest weekly credit-supply read
- net_new_highs — the extremes tail of participation: a market making fewer new highs while the index rises is narrowing at its edge
Feed checks run: shadow_firewall, vocabulary, trading_horizon_identity, narrative_canonical, data_hold_contract, probabilities.
Snapshot history
2026-09-01 · 2026-09-02 · 2026-09-05 · 2026-09-08 · 2026-09-09 · 2026-09-10 · 2026-09-11 · 2026-09-12 · 2026-09-14 · 2026-09-15 · 2026-09-16 · 2026-09-17 · 2026-09-17 · 2026-09-18 · 2026-09-19 · 2026-09-22 · 2026-09-23 · 2026-09-24 · 2026-09-25 · 2026-09-26 · 2026-09-26 · 2026-09-29 · 2026-09-30 · 2026-10-01 · 2026-10-02 · 2026-10-03 · 2026-10-06 · 2026-10-08 · 2026-10-09 · 2026-10-10
Gate: 2026-09-01 · 2026-09-02 · 2026-09-03 · 2026-09-04 · 2026-09-05 · 2026-09-08 · 2026-09-09 · 2026-09-10 · 2026-09-11 · 2026-09-12 · 2026-09-14 · 2026-09-15 · 2026-09-16 · 2026-09-17 · 2026-09-18 · 2026-09-19 · 2026-09-22 · 2026-09-23 · 2026-09-24 · 2026-09-25 · 2026-09-26 · 2026-09-29 · 2026-09-30 · 2026-10-01 · 2026-10-02 · 2026-10-03 · 2026-10-06 · 2026-10-08 · 2026-10-09 · 2026-10-10
Every dotted term on this page is defined in the glossary.
This surface is produced by an unvalidated shadow engine and drives no portfolio decision. It is not trade advice. This report is produced under the MCH Regime Rule (Checklist Part A1). It is not trade advice.