01 · Regime Observatory

Current market state — classified by a 5-state Gaussian HMM

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Current Regime

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Since —

Days —

SPY —

Posterior confidence —

Feature Breakdown — current vs 5y range

Return 1m

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Return 3m

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Realized vol 21d

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Drawdown 1y

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RSI 14

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VIX

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SPY with regime overlay

16 years · 4,035 bars · colored by HMM state

Crash Bear Neutral Bull Euphoria

Regime Timeline · run-length encoded

Bar width ∝ days in regime · colored by classification

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Transition Matrix · P(next | current)

Empirical transition probabilities · 16 years · 155 observed runs

Crash

Bear

Neutral

Bull

Euphoria

0% 50% 100% Row = current · Column = next · Opacity ∝ probability

Run Duration · days per regime episode

Min / median / max over 155 observed runs · log-scale horizontal

02 · Portfolio Lens

What-if analytics — HHI, beta-cluster, regime-conditional stats

Reg-aware · FINRA 2111 suitability · MiFID II Art 24(4)

Your holdings

Edit weights below. We do not execute — this is pure analytics.

Total weight

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HHI (concentration)

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Portfolio beta (est.)

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vs SPY

Est. 99% 1-day VaR

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parametric · current regime

Sector breakdown

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Regime-conditional expectations

Historical mean returns per month (SPY), by HMM regime

Regime	Share	Mean ret/21d	Mean VIX

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Beta cluster · weight by market-sensitivity

Defensive (β < 0.7) · Market-like (0.7–1.2) · Aggressive (> 1.2) · Hedge (β < 0)

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Regime scenario stress · 21-day P&L per $100K notional

Parametric · expected return + 99% 1-tail VaR conditional on HMM regime

Regime	Expected 21d	99% VaR 21d	Worst-tail $ (100K)	Distribution

Sector correlation matrix · 60-month estimate

Typical ρ based on sector ETF pairs (XLK, XLF, XLV, XLE, XLP, XLC, XLY, IEF, GLD). Deeper amber = stronger positive. Blue = negative.

High pairwise ρ within your held sectors erodes diversification. Watch XLK-XLC and XLF-XLY pairs.

03 · Backtest Workbench

Historical strategy comparison · 16 years, walk-forward regime signal

$10,000 starting NAV · daily rebalance · costs ignored

Strategy

Start date

End date

CAGR

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Total return

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vs buy & hold

Max drawdown

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Sharpe (risk-free 0)

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21d returns, √252

Time invested

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Equity curve

Strategy NAV · SPY benchmark · grey baseline

Worst drawdowns · strategy NAV

Underwater · drawdown from running peak

Area below zero = NAV is under its prior peak. Depth and time underwater = recovery cost.

Strategy comparison · all four strategies, same window

Current selection highlighted. Change dropdown above to reload equity curve + drawdowns for one strategy.

Strategy	CAGR	Sharpe	Max DD	Time in mkt	Total return

Annual returns · strategy vs buy-and-hold

Per-calendar-year. Amber = selected strategy. Grey = buy & hold benchmark.

04 · Signal Feed

Regime transitions, VIX triggers, and their regulated product defaults

Each signal cites the rule that governs how a regulated platform would route it

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— — SIM · DETERMINISTIC MOCK

O— H— L— C— V— CHG—

Order ticket Paper

Symbol

Type

Qty

Preset

TIF

Note

Mark — Est. notional —

Account

Cash — Equity — Buying power — Gross expo — Realized P&L— Unrealized — Day P&L —

Blotter Working / filled

Positions

Journal Append-only