Pro Explorer - S&P 500 Forecaster

Market Intelligence Deck

Professional Market Analysis

Dual-axis comparative analysis with TradingView engine.

Dual-Axis Analysis

Analyze lead-lag relationships by plotting two variables against the same timeline. Use the Primary (Right) axis for your main asset and the Secondary (Left) axis for a macro indicator or signal.

Primary Variable (Right Axis)

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Secondary Variable (Left Axis)

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Latest Value —

21D Return —

Volatility (Ann) —

6M Correlation —

Log Scale Percent

Source:

Regime Variable

—

Benchmark: S&P 500 (fixed)

Risk Regime: Tracks the rolling 6-month correlation between your primary variable and the benchmark.

Regime Change (6M Corr)

Above 0: Risk On · Below 0: Risk Off

How to interpret:

+0.7 to +1.0 → strong “risk-on” behavior (moves with market)
~0 → independent / uncorrelated regime
negative → hedge / defensive / “risk-off” behavior (moves opposite)

Data Browser

Liquidity Control Center Analyzing Flow...

This engine monitors the hydraulic pressure of the financial system. It tracks whether Central Banks are injecting fuel (Impulse), if the plumbing is clogged (Fragility), or if the cost of money is hitting a wall (Funding Stress).

Last Updated: --

Liquidity Impulse (3M)

--%

The "Accelerator" (Fed Flow).

Shock Signal (1M)

--%

Sudden injections or drains.

Gap Risk (Airbag)

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Overnight liquidity voids.

Refi Stress

--%

Cost of new debt vs. old.

1. Macro Engine (The Driver)

Liquidity Impulse & Shock

Is the Fed pressing the Accelerator (Green) or the Brake (Red)?

Action: Positive Impulse supports "Buy the Dip." Negative Impulse suggests rallies will fail. Watch the Shock (Line) for sudden policy pivots before the trend turns.

Reserves Strain Gauge

Net Liquidity scaled by S&P 500 Market Cap.

Signal: If the S&P 500 rises while this ratio trends down, risk assets are outrunning system liquidity. Expect sharper, gap-driven drawdowns.

2. Market Fragility (The Plumbing)

The "Airbag" (Gap Risk)

Intraday liquidity vs. Overnight Gaps.

Signal: If Gap Risk spikes, market makers are pulling bids overnight. Stop-losses won't work. Reduce position sizing.

Sector Dispersion

Active Price Discovery vs. Passive Floods.

Signal: Low Dispersion means everything moves together (Passive/Bot flow). High Dispersion means investors are picking winners (Healthy).

3. Funding Liquidity (The Cost)

The "Refinancing Wall"

Current Cost of Debt vs. Legacy Rates.

The "Silent Killer": If this spikes positive, companies cannot afford to roll old debt. Predicts bankruptcies and halts in stock buybacks.

Credit Spreads (OAS)

Lender Fear Gauge (BBB & High Yield).

The Warning: If stocks make highs but Spreads widen (rise), the bond market sees trouble. Always trust the bond market.

4. Global Context (The Valve)

Global Proxy (Inverted USD)

A weak Dollar acts as global liquidity injection.

Systemic Entropy

Measure of correlation breakdown/chaos.

Emerging Market Volatility (VXEEM)

Rising VXEEM signals tightening USD liquidity and stress in emerging markets.

Liquidity Trading Guide

1. The Macro Tide

Net Liquidity is the baseline fuel. We watch the Impulse (3M change) rather than the total level.

Green Impulse: Fed is effectively printing or Treasury is spending (TGA drain). Buy dips.
Red Impulse: Liquidity is being withdrawn. Multiples (PE ratios) will compress. Sell rallies.

2. Market Plumbing

Even with high Fed liquidity, the market can break if the pipes are clogged.

Gap Risk: If high, liquidity is "fake." It exists on screen but vanishes when you sell.
Sector Dispersion: Low dispersion = mindless passive flows. High dispersion = healthy stock picking.

3. Funding Costs

The cost of leverage determines if the liquidity can be used.

Refi Stress: The most dangerous signal for the economy. If companies have to refinance 3% debt at 7%, layoffs and bankruptcies follow.
Credit Spreads: The "Canary in the Coal Mine" for equity crashes.

Risk Control Center Initializing... Confidence: ---

This engine monitors Tail Risk (extreme, rare crashes). While standard models measure daily noise, EVT measures the probability of a total collapse.

Last Updated: --

99.9% VaR (1-Day)

--%

Capital at risk tomorrow.

Surprise Gap (ES-VaR)

--%

Added loss if VaR fails.

Tail Fragility (ξ)

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Market Physics Monitor

Backtest Status

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Rolling 1Y Accuracy

Risk Radars: The Anatomy of Fear

These three radars show what kind of stress is building: panic in volatility markets, systemic correlation spikes, and recessionary tail risk from the real economy.

The Recession Watch (Tail Risk)

Sahm Rule above 0.50 = recession trigger. Policy uncertainty on the right axis flags macro shocks.

The Panic Monitor (VIX Term Structure)

Positive = Contango (calm), Negative = Inversion (panic). Red background bands highlight active panic regimes.

The Systemic Risk Monitor (Implied Correlation)

Rising correlation means diversification is failing. Watch the 60% line for systemic liquidation risk.

VaR Breach Monitor

Are we crashing more often than predicted? (Red triangles = failure).

The "Surprise Gap" (ES - VaR)

Measures the "Vacuum Effect." Wide gap = liquidity hole during a crash.

Tail Fragility Gauge (ξ)

Stable (<0.20) vs Fragile (>0.35) zones.

Recent Returns vs Current Risk Forecast

Histogram shows last ~1y realized returns. VaR reflects today’s volatility regime.

Technical Analysis & Validation

Risk Correlations

Does EVT Risk spill over into VIX/Yields?

Factor Scatter

Click the heatmap to analyze specific pairs.

Basel II Validation

Detailed breakdown of failure rates.

Market Validation & Blind Spots

Liquidity Airbag

Liquidity shocks during volatile regimes.

Signal: Watch for the "Jaws." If Risk (Red) spikes UP while Liquidity (Amber) plunges DOWN, support is vanishing during a crash.

Complacency Gauge

Realized tail risk vs. Implied crash insurance.

Signal: Trust the Divergence. If the Model (ξ) is calm/low but SKEW (Purple) is high (>140), traders are paying up for protection against a crash the model doesn't see yet.

Stock–Bond Correlation Regime

When diversification stops working.

Signal: The "Nowhere to Hide" Indicator. If Correlation crosses above 0 (and especially > 0.5), bonds are crashing *with* stocks. Traditional hedging fails in this regime.

Credit Canary

Credit stress diverging from equities.

Signal: If S&P 500 (Blue) is making highs but Spreads (Red) are widening (rising), the bond market is pricing in default risk that equity traders are ignoring.

This Risk tab helps you understand how “bad a bad day could realistically get” for an asset, based on how it has behaved in the past and how volatile it is right now. It uses an EVT (Extreme Value Theory) model, which is a statistical method designed specifically to study rare, extreme losses (the tail of the distribution), not the average day-to-day noise. The main output is a VaR risk limit, which you can read as: “With this confidence level, we don’t expect tomorrow’s loss to be worse than this number.” You’ll also see Expected Shortfall (ES), which answers: “If we do hit a really bad day, how bad does it tend to be on average?” The charts and indicators are meant to show whether the market is currently in a stable vs unstable regime, and whether the model is behaving reliably or should be treated with caution. Use this tab to compare assets, spot when risk is rising fast, and avoid being surprised by sudden drawdowns.

Risk Guide: Metrics & Actions

1. VaR Breach Monitor

What it shows / How to read it: This chart compares daily market returns against the calculated Value-at-Risk (VaR) limit. The VaR line represents the statistical threshold for "normal" volatility at 99% confidence. Red triangles indicate breaches, where actual losses exceeded the model's prediction. A lack of triangles indicates the model is accurately capturing risk; a cluster of triangles suggests the market has entered a volatile state that defies standard statistical modeling.

Investment Action: Occasional isolated breaches are normal. However, if you see a rapid cluster of breaches, it indicates that current volatility is unmodelable. In this scenario, reduce overall leverage and position sizing immediately until the regime stabilizes.

2. Tail Fragility Gauge (ξ)

What it shows / How to read it: This metric tracks the "Tail Index" (Xi), which measures the shape of the distribution of losses. It quantifies the probability of extreme outliers ("Black Swans").

Stable (< 0.20): Tail risk is low; losses are likely to be contained.
Fragile (> 0.35): "Fat tails" are present. This means extreme crashes are statistically far more likely than a normal distribution would predict.

Investment Action: When this gauge enters the "Fragile" or "Elevated" zone, standard mean-reversion strategies (buying the dip) become dangerous. Volatility is likely to accelerate rather than bounce. Consider purchasing protective put options or increasing cash reserves.

3. The "Surprise Gap" (Liquidity Vacuum)

What it shows / How to read it: This measures the spread between the VaR (the minimum loss on a bad day) and Expected Shortfall (the average loss if that limit is broken). A widening gap indicates a "liquidity vacuum" below current prices—meaning that if support breaks, the drop will likely be deep and rapid due to a lack of buyers.

Investment Action: A wide gap signals that "stop-loss" orders may suffer from significant slippage. Avoid high leverage in this environment. If you hold volatile assets, ensure your exit points are strictly defined.

4. Liquidity Airbag

What it shows / How to read it: This chart contrasts Net Liquidity (capital available in the system) against Volatility Shocks. The most dangerous signal is the "Jaws" formation: when Volatility Shocks (Red/Amber) spike upward while Liquidity (Green) plunges downward. This indicates the market lacks the financial cushion to absorb selling pressure.

Investment Action: During a "Jaws" divergence, limit orders may vanish, and bid-ask spreads will widen. Reduce exposure to illiquid assets (such as small-cap stocks or high-yield bonds), as they may become difficult to sell at a fair price during a downturn.

5. Complacency Gauge

What it shows / How to read it: This overlays your mathematical risk estimate (Tail Index) against the market's implied cost of protection (SKEW Index). A warning signal occurs when the model shows low risk, but the SKEW index is high (>140). This divergence implies that institutional traders ("Smart Money") are aggressively hedging against a crash that has not yet appeared in the price action.

Investment Action: Respect the "Smart Money" signal. If SKEW is high while the market looks calm, do not become complacent. Tighten trailing stops and avoid selling unhedged options.

6. Stock-Bond Correlation Regime

What it shows / How to read it: This tracks the rolling correlation between Equities (S&P 500) and Long-Term Treasuries (TLT).

Negative Correlation: Bonds act as a hedge (safe haven) when stocks fall.
Positive Correlation (> 0.5): Bonds and stocks are falling together. This invalidates traditional diversified portfolios (like the 60/40 split).

Investment Action: When correlation is strongly positive, bonds are no longer a reliable safety net. In this regime, Cash (USD) is the only effective hedge against equity volatility.

7. Credit Canary

What it shows / How to read it: This compares Equity Valuations (S&P 500 Z-Score) against Corporate Credit Stress (High Yield Spreads). A bearish divergence occurs when stock prices continue to make new highs while credit spreads widen (rise). This indicates that bond investors are pricing in default risk that equity investors are ignoring.

Investment Action: Credit markets are often leading indicators for the economy. If spreads are widening, an equity rally is likely unsupported by fundamentals. Treat such rallies with skepticism and consider taking profits.

The Macroeconomic Cycle

Fundamental drivers of asset returns: Growth, Inflation, and Valuation.

The Economic Cycle

Visualizing the economy's position by plotting the Yield Curve Slope against the Inflation Gap.

Bottom-Right Growth Phase

Top-Left Stagflation Risk

Top-Right Overheating

Bottom-Left Recessionary

Valuation vs Cost of Capital

Comparing the Buffett Indicator (Market Cap / GDP) against Real Yields.
High Valuation + High Real Rates = Extreme Risk Zone.

Insight: Equity valuations generally compress when real yields (the risk-free opportunity cost) rise. Divergence where both rise suggests speculative mania or mispricing.

The Housing Spread

Tracking mortgage rates alongside the 10Y Treasury yield.
A wider spread signals banking stress as lenders pull back on credit.

Mortgage series

How to read: The spread between mortgage and Treasury yields reflects lending stress. A widening gap signals lenders demanding more compensation for risk, even if the risk-free rate eases.

The Sentiment Disconnect Behavioral Alpha

Analyzing the gap between what investors feel (Sentiment) and what the market is doing (Price). When feelings diverge from price action, opportunity arises.

1. The "Vibes vs. Reality" Chart

Main Street Sentiment vs. Wall Street

Consumer Sentiment (Left) vs. S&P 500 Price (Right).

Interpretation: Compares consumer confidence (University of Michigan Sentiment) with market performance (S&P 500). Bearish divergence: If price makes new highs while sentiment trends lower, the rally may be out of sync with consumer conditions and more vulnerable to reversal.

2. The "Wall of Worry" (Expectations)

Volatility Expectations Trend

VIX Curve Trend (VIX6M - VIX3M) vs. Global Policy Uncertainty.

Interpretation: Tracks expected volatility (VIX 6M minus VIX 3M) alongside Global Policy Uncertainty to gauge forward-looking risk. Rising: Investors see more risk in the medium term than the near term, often around major events or policy shifts.

3. The "Engine" of the Market (Participation)

Breadth Proxy (Equal Wgt / Cap Wgt)

Breadth Ratio (Line) vs. S&P 500 (Right).

Interpretation: The ratio of S&P 500 Equal Weight (RSP) to Cap Weight (SPY). Rising: Broad participation as more stocks contribute to gains. Falling: Narrow leadership driven by a small group of large-cap names. If price makes highs while breadth weakens, the rally may be less durable.

4. Risk Psychology (Greed vs. Fear)

Risk Appetite (High Beta / Low Vol)

High Beta / Low Vol Ratio.

Interpretation: The ratio of High Beta stocks to Low Volatility stocks. Rising: Risk-on positioning as investors favor higher beta. Falling: Defensive rotation into lower-volatility names. Use this to gauge whether leadership is aggressive or cautious.

Silent Fear (The "Whale" Gauge)

VIX Price (Left, Area) vs. SKEW (Right, Line).

The complacency check: Contrasts the "Fear Gauge" (VIX) with the "Black Swan" index (SKEW). If VIX is low (<13) but SKEW is high (>140), markets look calm while options pricing implies elevated tail risk, a potential setup for an abrupt move.

5. The Payoff (Scatter Analysis)

Does Panic Pay? (VIX vs. Forward Returns)

X: VIX (Log Scale) vs. Y: S&P 500 Forward 21d Return.

Interpretation: Scatter plot of VIX levels against subsequent 21-day S&P 500 returns. The curve: The relationship often slopes upward. High VIX (Right): Higher volatility has historically been followed by stronger forward returns, indicating that extreme fear can create opportunity.

Market Seasonality

Market Seasonality Matrix

Analyze historical monthly returns to identify seasonal patterns.

Average Calculation Range

From:

To:

Avg Return

All Years

Insight: Positive months are shaded Green, negative months are Red.

Market Agents Analyzing Agents

This tab answers three questions in order: (1) Who is driving? (2) Are they in conflict? (3) Is the rally funded by liquidity? You get a quick snapshot (gauges), then context (charts), then action (signals).

Last Updated: --

Tip: Watch for divergence. Tops are often “Retail up / Smart down”. Bottoms are often “Retail down / Smart up”.

1. The Poker Table (Current State)

Five 0–100 gauges that approximate the “seat power” of each agent type right now. They’re designed to be interpretable and stable (z-scored / considers history), not noisy.

Current Player Positioning

A 5-second snapshot: who has the most “chips” in the market right now?

Interpretation: 80+ across multiple agents tends to be late-cycle / crowded. Look at Sections 2–3 before trusting the move.

The Whale

Institutions

0 = Accumulating · 100 = Bearish

Δ1M: --

The Crowd

Retail

0 = Fear · 100 = Euphoria

Δ1M: --

The Speculator

Hedge Funds

0 = De-risking · 100 = Max Leverage

Δ1M: --

The Tide

Passive

0 = Stock Pickers · 100 = Index Melt-up

Δ1M: --

The Dealer

The Fed

0 = Drought · 100 = Flood

Δ1M: --

2. Smart vs. Dumb Divergence (The Handoff)

Turning points often happen when Retail and Institutions disagree. This chart highlights handoffs: distribution (pros sell to the crowd) vs accumulation (pros buy the panic).

Institutional vs Retail

When the lines separate, the market is telling you “someone is wrong”.

Watch: crossings + large spreads. Those are the regimes where forward returns become asymmetric.

Who is holding the bag?

Simple mental model for the handoff regimes.

Accumulation (Opportunity)

Smart ↑ / Retail ↓

Pros are stepping in while the crowd is fearful. Often the best risk/reward window.

Distribution (Warning)

Smart ↓ / Retail ↑

Pros are selling into strength while the crowd chases. Expect fragility and fast drawdowns.

Healthy Trend

Both ↑

Broad participation. Trend systems and fundamentals usually behave better in this regime.

Note: This is not “good vs bad investors”. It’s about time-horizon and flow mechanics.

3. Leverage vs. Liquidity (Fighting the Fed)

Leverage can push prices higher, but it needs funding. This checks if risk-taking is being supported by real liquidity.

Leverage vs Liquidity Profile

Liquidity is the fuel (area). Leverage is the fire (line).

Red Flag: leverage rising while liquidity falls → the “air pocket” setup.

The Trap Setup

“Fighting the Fed” is a regime, not a headline.

Core idea

When Leverage increases but Liquidity tightens, forced selling risk rises. Markets can go from “grind up” to “gap down” without warning.

Melt-up: Leverage ↑ and Liquidity ↑. Risk premia compress; dips get bought.

Trap: Leverage ↑ and Liquidity ↓. Expect sharp reversals and “sell-the-news” behavior.

This is designed as a risk regime tool (position sizing / hedging), not a day-trading signal.

4. Passive Tide (Correlation / Dispersion Regime)

When passive dominates, correlation rises and dispersion falls. That’s great for index exposure, bad for stock-picking.

The Passive Tide

Low tide = stock pickers’ market. High tide = index melt-up.

Use: If tide is high, reduce single-name conviction and diversify hedges.

Regime intensity

Low

High

Low Tide (Stock Pickers): lower correlation, higher dispersion, idiosyncratic winners/losers.

High Tide (Index Melt-up): higher correlation, “everything moves together”, breadth/dispersion tends to compress.

5. Conflict Signals (Action Layer)

These traffic lights compress the whole tab into two actionable warnings. Use them as a “risk dashboard” (hedge / reduce / add), not as a standalone trading system.

Today’s read

Loading verdict...

Signal A

Smart Money Distribution

Pros selling while Retail buys is a fragile regime.

Signal B

Liquidity Danger

Leverage up vs liquidity down increases crash risk.

6. Agent Conflict Map (Leverage vs Liquidity Phase Portrait)

This map shows where the market has been living: Liquidity (x) vs Leverage (y), colored by Retail sentiment. The top-left quadrant (high leverage + low liquidity) is the “trap zone”.

Conflict Map

x = Fed Liquidity, y = Hedge Fund Leverage, color = Retail Sentiment

How to read it

Quadrants = regimes

Melt-up zone

High liquidity + high leverage.

Trap zone

High leverage + low liquidity. Forced-selling risk increases.

Reset zone

Low liquidity + low leverage.

7. Agent Snapshot (Radar)

A single “shape” view of market drivers. Filled = current. Outline = ~1 month ago (21 trading days). Bigger area means more agents are simultaneously “active”.

Driver Radar

Institutions • Retail • Hedge Funds • Passive • Fed Liquidity (0–100)

How to read it

Shape = regime

Crowded risk-on

Large, round shape (many agents high at once) often means crowded positioning.

Narrow leadership

One “spike” (single agent dominates) can be fragile if the driver reverses.

The outline (1M ago) helps you see whether the regime is building or fading.

8. Methodology & Inputs

Reference details for how each agent proxy is built and interpreted.

Methodology & Inputs (click to expand)

This tab models markets as a tug-of-war between investor groups (“agents”). Because we can’t observe their trades directly, we use behavioral proxies: spreads, ratios, and regime indicators that historically reflect how each group behaves.

Data sources

Yahoo Finance (core, free): style ETFs (QUAL, VLUE, MTUM), risk-on/off ETFs (SPHB, SPLV), credit ETFs (LQD, IEF), sector ETFs, and FX (AUDJPY=X).
Internal Liquidity Engine: composite of central bank balance sheets, reserves, and funding stress proxies.
Optional (if available): Cboe indices (COR1M, SKEW), VIX term structure, options ratios. These enhance the signal but are not required.

How each agent index is constructed

Institutions (“The Whale”): quality and value style spreads (e.g. QUAL vs market, VLUE vs growth/momentum) capture slow-moving accumulation or distribution by long-term investors.
Retail (“The Crowd”): high-beta vs low-volatility spreads (SPHB/SPLV) reflect speculative chasing versus fear-driven de-risking.
Hedge Funds (“The Speculator”): carry and relative-value proxies (AUDJPY, LQD/IEF) capture leverage cycles and cross-asset risk appetite.
Passive (“The Tide”): derived from low dispersion and high co-movement across sectors (and implied correlation when available). High values mean index-driven flows dominate, making stock-picking harder.
The Fed (“The Dealer”): liquidity conditions from the liquidity engine indicate whether risk-taking is being funded or starved.

Scaling and interpretation

Each raw proxy is standardized using rolling statistics (z-scores), clipped to reduce outliers, then rescaled to a 0–100 index.
Values near 0 indicate low participation / risk-off behavior; values near 100 indicate aggressive participation / risk-on behavior.
Δ1M shows the change over ~21 trading days, highlighting whether an agent is accelerating or fading.

These indicators are designed for regime detection, risk management, and context — not as a standalone trading system.