NAAIM 0 (Neutral (36th %ile)) · Style +2.5 (Offensive growth) · US GDP Δ4W +2.5 (Improving +0.9pp)
Method. Core equities % = round_2.5(60 + 15×4W weighted score), clamp [45,75]. Overlay = equal ±2.5% nudges from NAAIM (3Y %ile ≤20 → Contrarian Long / ≥80 → Contrarian Short), Style (Offensive growth +2.5 / Defensive −2.5; Cyclical value & Mixed = 0), and US GDP nowcast Δ4W (≥+0.2pp Improving / ≤−0.2pp Softening), then cap ±5%. Final = round_2.5(clamp(Core + Overlay, 45, 75)). Hard VIX veto → 45% and ignores Overlay. Regime chip uses Core only.
Vote = 200DMA rules (Liq 40% / Cred 35% / Vol 25%) · 100DMA column is context only
| Leg | Call | Level | vs 200DMA | 21d | vs 100DMA (ctx) |
|---|---|---|---|---|---|
| Liquidity / USD | bearish | UUP 28.64 | +3.45% | +2.51% | +1.94% |
| Credit | bearish | HYG 78.24 | -0.01% | -1.57% | -0.65% |
| Volatility | bullish | VIX 14.7 | * | -4.92% | — |
Weighted leg_score = 0.40·liq + 0.35·cred + 0.25·vol → -0.50 (raw on ≥+0.40 / off ≤−0.40; hard VIX veto → risk_off)
UUP/HYG vs 100DMA is display context only — does not vote. LQD/MOVE/10Y remain context.
* Volatility has no 200DMA. VIX level subscore: <15 → +1 (bullish), 15–20 → 0 (neutral), ≥20 → −1 (bearish). Combined with the 21d ROC subscore (≤−10% → +1, ≥+15% → −1) to form the Call.
FRED 2s10s + MOVE · as-of 2026-09-21 (yields) / 2026-09-23 (MOVE) · (context only)
| Series | Level | 3Y %ile | 1M | 3M | Read |
|---|---|---|---|---|---|
| 2s10s (10Y − 2Y) | 20 bps | 42 | -30 bps | -7 bps | Flattening |
| MOVE (bond vol) | 81.2 | 32 | +9.3 | +14.1 | Rising |
Read (2s10s): level Inverted if <0; else Steepening/Flattening from 1M Δ (±15 bps); else Normal — 3M is display only for 2s10s. MOVE Read: primarily 1M (±10 pts); 3M can trigger if |3M| ≥ 10 and 1M confirms direction (1M ≥ 0 for Rising / ≤ 0 for Falling); else Stable. Context only — not a voting leg. Sources: FRED DGS2/DGS10 · Yahoo ^MOVE. 3Y %ile = level percentile over 3Y; 2s10s Δ in bps, MOVE in index points.
Windows: 5d (1W) / 21d (1M) / 63d (3M) · as-of 2026-09-23
| Pair | 1W | 1M | 3M | Read |
|---|---|---|---|---|
| SPY vs UUP (DXY) | -0.33 | -0.34 | -0.29 | Risk-off |
| SPY vs TLT (long Treasuries) | +0.90 | +0.65 | +0.43 | Risk-off |
| SPY vs crude oil (WTI) | -0.37 | -0.52 | -0.51 | Risk-off |
| Series | 1W | 1M | 3M |
|---|---|---|---|
| UUP (DXY) | +0.85% | +2.51% | +0.56% |
| 10Y yield (^TNX) | +7 bps | +44 bps | +68 bps |
| Crude oil (WTI) | -9.65% | +12.37% | +28.68% |
Read uses 1M corr (|r| ≥ 0.15; 3M fallback if 1M missing). 1W is display only. Panel: UUP + TLT + WTI. Rolling corr is noisy (esp. 1W); context only — not a regime leg.
Now: 47.1% above 200DMA · coverage 501/503 names · Reads: Broad / Narrow / Mixed (participation & size; context only)
| Measure | 1W | 1M | 3M | Read |
|---|---|---|---|---|
| % above 200DMA (Δ pp) | -5.6 | -22.5 | -13.2 | Narrow |
| IWM (small) vs SPY (large) | -2.49% | -5.76% | -9.99% | Narrow |
Changes are percentage points. Read uses level and primarily 1M Δ (conflicts = Mixed); thresholds ≥55% / ≤45%. 47.1% SPX above 200DMA → Read Narrow (level ≥55% or 1M Δ ≥+5 pp = Broad; level ≤45% or 1M Δ ≤−5 pp = Narrow; conflicts = Mixed); RSP/SPY 21d -4.62%, 63d -4.41% · computed from 503 S&P constituents (portfolio OHLCV cache); n_valid=501 n_missing=2
Overall (1M): Offensive growth · soft lean: Risk-on lean · taxonomy: Offensive growth / Cyclical value / Defensive / Mixed (context only)
| Pair | 1W | 1M | 3M | Read |
|---|---|---|---|---|
| MTUM (momentum) vs VLUE (value) | +2.85% | +3.97% | -5.74% | Momentum |
| IVW (S&P growth) vs IVE (S&P value) | +3.13% | +4.37% | +3.54% | Growth |
| USMV (min-vol / defensive) vs SPY (market) | -1.88% | -2.95% | -0.48% | Offensive |
Overall (1M): Risk-off · GS VIP / Most Short · as-of 2026-09-23 · (context only)
| Basket | 1W | 1M | 3M | Read |
|---|---|---|---|---|
| GS HF VIP | +3.28% | -0.55% | -4.16% | — |
| GS Most Short Rolling | +4.74% | -4.34% | -3.62% | — |
| VIP vs Most Short | -1.46% | +3.80% | -0.55% | Risk-off |
Context only — not a voting leg. GS HF VIP (GSTHHVIP) vs Most Short Rolling (GSCBMSAL). Pair = VIP return − Most Short return. Reads from GS basket signals (absolute + spread). Overlay for crowding; combine with Positioning / Style / breadth.
NTM EPS · 50/50 Weighted+NTM revision · Growth = NTM/TTM · real GDP nowcasts · as-of 2026-09-30 · (context only)
| Index | NTM EPS | Blended 4W rev | Blended 3M rev | Growth (NTM/TTM) | Growth 4W ago | Δ (pp) | Read |
|---|---|---|---|---|---|---|---|
| S&P 500 | 416.7 | +0.64% | +5.59% | +27.0% | +26.0% | +1.0 | Stable |
| S&P/TSX | 2292.3 | +0.41% | -1.43% | +18.5% | +17.9% | +0.6 | Stable |
| MSCI World | 282.8 | +1.02% | +5.32% | +23.8% | +22.2% | +1.6 | Expanding |
| Region | Nowcast | 4W ago | Δ (pp) | Read |
|---|---|---|---|---|
| US | 2.4% | 1.5% | +0.9 | Improving |
| China | 4.1% | 3.7% | +0.5 | Improving |
| Euro Area | 0.4% | 0.4% | +0.0 | Stable |
Context only — not a voting leg. Revision Read = mean of available 4W/3M % changes in Bloomberg Weighted Est and Next Year EPS (50/50 when both exist). NTM EPS level = Next Year estimate. Growth = NTM EPS / TTM EPS − 1. Nowcasts = Bloomberg Economics GDP nowcasts (US/China/Euro Area); always use the last non-null datapoint in each country column (may be dated past today). EA = Bloomberg Euro Area GDP nowcast (BENWEAGQ).
Non-commercial / leveraged net · 3Y %ile · as-of 2026-09-23 · (context only)
| Asset | Net | Net 4W ago | 3Y %ile | Read |
|---|---|---|---|---|
| Equities (ES) | -100,461 | -67,994 | 43.0 | Neutral |
| Nasdaq (NQ) | 34,937 | 12,028 | 84.2 | Contrarian Short |
| Small-cap (RTY) | -71,437 | -51,879 | 7.6 | Contrarian Long |
| Rates (10Y) | -821,236 | -838,975 | 39.9 | Neutral |
| USD | 10,593 | 18,682 | 69.0 | Neutral |
| Crude | 135,905 | 123,449 | 25.9 | Neutral |
| Gold | 220,717 | 242,212 | 56.3 | Neutral |
Read from 3Y %ile (80/20): excess long → Contrarian Short, excess short → Contrarian Long; not a vote. Asset-manager nets omitted (noisy scale).
Overall: Neutral · composite %ile 22.9 · as-of 2026-09-23
| Measure | Level | Level 4W ago | 3Y %ile | Read |
|---|---|---|---|---|
| AAII bulls | 28.8% | 32.9% | 10.1 | Contrarian Long |
| NAAIM exposure | 79.7 | 79.7 | 35.8 | Neutral |
Read from 3Y %ile (80/20): excess long → Contrarian Short, excess short → Contrarian Long; not a vote.
Headline = 4W weighted raw · Legacy persist = legacy 3-week confirm — not the headline
| Date | Raw | 4W score | Weighted | Legacy persist | vol/cred/liq | Equities tgt | Veto |
|---|---|---|---|---|---|---|---|
| 2026-09-23 | Risk-off | -0.90 | Risk-off | Risk-off | -1/-1/1 | 47.5% | — |
| 2026-09-17 | Risk-off | -0.70 | Risk-off | Mixed | -1/0/0 | 50.0% | — |
| 2026-09-10 | Risk-off | -0.40 | Risk-off | Mixed | -1/0/-1 | 55.0% | — |
| 2026-09-03 | Mixed | +0.00 | Mixed | Mixed | -1/1/1 | 60.0% | — |
| 2026-08-27 | Mixed | +0.00 | Mixed | Mixed | -1/1/1 | 60.0% | — |
| 2026-08-20 | Mixed | -0.10 | Mixed | Mixed | -1/1/0 | 57.5% | — |
| 2026-08-13 | Mixed | -0.30 | Mixed | Mixed | -1/1/1 | 55.0% | — |
| 2026-08-06 | Mixed | -0.50 | Risk-off | Mixed | -1/1/1 | 52.5% | — |
23 trading days (2026-08-24 → 2026-09-23) · Risk-on 0 · Mixed 13 · Risk-off 10 · %>200DMA 47.1–72.6% (last 47.1%)
| Date | Regime (raw) | leg_score / legs | %>200DMA (context) | liq / cred / vol |
|---|---|---|---|---|
| 2026-09-23 | Risk-off | ls=-0.50 · 1↑ 2↓ | 47.1% | liq:S cred:S vol:B |
| 2026-09-22 | Mixed | ls=-0.15 · 1↑ 1↓ | 47.1% | liq:S cred:N vol:B |
| 2026-09-21 | Mixed | ls=-0.15 · 1↑ 1↓ | 49.5% | liq:S cred:N vol:B |
| 2026-09-18 | Mixed | ls=-0.15 · 1↑ 1↓ | 49.3% | liq:S cred:N vol:B |
| 2026-09-17 | Risk-off | ls=-0.40 · 0↑ 1↓ | 50.1% | liq:S cred:N vol:N |
| 2026-09-16 | Risk-off | ls=-0.40 · 0↑ 1↓ | 49.9% | liq:S cred:N vol:N |
| 2026-09-15 | Risk-off | ls=-0.40 · 0↑ 1↓ | 52.7% | liq:S cred:N vol:N |
| 2026-09-14 | Risk-off | ls=-0.65 · 0↑ 2↓ | 56.1% | liq:S cred:N vol:S |
| 2026-09-11 | Risk-off | ls=-0.40 · 0↑ 1↓ | 56.3% | liq:S cred:N vol:N |
| 2026-09-10 | Risk-off | ls=-0.65 · 0↑ 2↓ | 54.5% | liq:S cred:N vol:S |
| 2026-09-09 | Risk-off | ls=-0.40 · 0↑ 1↓ | 56.7% | liq:S cred:N vol:N |
| 2026-09-08 | Mixed | ls=-0.05 · 1↑ 1↓ | 60.5% | liq:S cred:B vol:N |
| 2026-09-07 | Risk-off | ls=-0.40 · 0↑ 1↓ | 64.1% | liq:S cred:N vol:N |
| 2026-09-04 | Mixed | ls=+0.20 · 2↑ 1↓ | 64.1% | liq:S cred:B vol:B |
| 2026-09-03 | Mixed | ls=+0.20 · 2↑ 1↓ | 66.3% | liq:S cred:B vol:B |
| 2026-09-02 | Risk-off | ls=-0.40 · 0↑ 1↓ | 64.3% | liq:S cred:N vol:N |
| 2026-09-01 | Mixed | ls=-0.05 · 1↑ 1↓ | 62.7% | liq:S cred:B vol:N |
| 2026-08-31 | Mixed | ls=+0.20 · 2↑ 1↓ | 66.4% | liq:S cred:B vol:B |
| 2026-08-28 | Mixed | ls=+0.20 · 2↑ 1↓ | 69.2% | liq:S cred:B vol:B |
| 2026-08-27 | Mixed | ls=+0.20 · 2↑ 1↓ | 69.8% | liq:S cred:B vol:B |
| 2026-08-26 | Mixed | ls=+0.20 · 2↑ 1↓ | 70.8% | liq:S cred:B vol:B |
| 2026-08-25 | Mixed | ls=+0.20 · 2↑ 1↓ | 71.0% | liq:S cred:B vol:B |
| 2026-08-24 | Mixed | ls=+0.20 · 2↑ 1↓ | 72.6% | liq:S cred:B vol:B |