Ballad Markets · Regime intelligence
Alpha Regime
by Rafael Acevedo
A daily reading of market stress built from seven factors. It tells you how much risk is in the air, which is what sets the size of a position. It does not tell you whether the market will rise.
Computed every weekday at 07:30 UTC
Neutral
Today's reading
Neither clear calm nor clear stress. Normal size; watch the factors that are deteriorating.
- Score
- −4
- Confidence
- 50
- Factors with data
- 7/7
from −100 to +100 · above +25 risk-on, below −25 risk-off · agreement between factors and coverage. Not the probability that the market rises.
Computed on Fri, Oct 2, 07:30 AM UTC · Next reading: Mon, Oct 5, 07:30 AM UTC
How to use it
- 1
Read the class
Risk-on, neutral or risk-off. It is a measure of stress, not a forecast.
- 2
Adjust your size
In risk-off, smaller positions: the CHESKO desk cuts its size to 0.65× in that regime and never raises it above normal.
- 3
Don't use it for direction
Tested on 23 years of data: the class does not anticipate whether the market goes up or down. It does anticipate how much it will move.
The seven factors
Each factor scores from −100 to +100 against its own ten-year history. They all weigh the same (1/7) and their sum is the score above.
The seven factors and the history, free with your email
Method and limits
- —Each factor is normalised against its last ten years with a robust score (median and absolute deviation) and bounded between −100 and +100.
- —If a source doesn't respond, the factor shows «no data» and the weights are spread over the rest. It never counts as zero. With fewer than four factors there is no class.
- —The ±25 thresholds are conventions, not fitted parameters. The equal weights were not optimised: a simple average is hard to beat out of sample.
- —The volatility claim was not registered before the backtest; it is being validated forward every week.
How Alpha Regime fits with the rest of Ballad Markets: the operator guide →
Alpha Regime is an analytical market-regime framework. It is not financial advice, a buy or sell recommendation, or a forecast. The classification is descriptive and may be wrong.