Research campaign · Iteration 1 · unassessed

MODELS: Understanding SP500 Gen2 Persistent Current Trend (PCT) probability model | RecessionAlert

Can labeled close-only public proxies and the related WeeklyData GEN-2 workbook extract any useful SPY/IEF market-timing overlay from the incomplete PCT/Gen2 page?

Expressions: 29
Logged trials: Not recorded
Independent events: Not assessed
Evidence: unassessed

What the research found

Twenty-nine labeled variants executed with lag>=1 causal_primary and lag-0/look-ahead control_only.
Best causal Sharpe: wb_medium_dir_lag1 sharpe=1.709 (off-row workbook; not native PCT).
Best documented-horizon close zig-zag: zz72_causal_lag1 sharpe=0.980.
2022 regime on zz72 was sharply negative (Sharpe ≈ -2.12); look-ahead/lag-0 controls inflate Sharpe.
Native PCT/Gen2/ST-ALGO fidelity remains NO-GO; publication is Other/Research exploratory_tested_proxy.

Mechanism and falsifiers

Not recorded in this iteration.

Confidence and limitations

Not native PCT/Gen2/ST-ALGO parity
On-row assets=0; GIF SHA256 unavailable
market.sqlite ohlcv is close-only; native uses H/L look-ahead
WeeklyData GEN-2 overlay is off-row (page_url=/excel-data/), not PCT expand-x
Publication lag unknown; causal default lag>=1
Look-ahead and lag-0 variants are control_only and must not be claimed

Not recorded in this iteration.

Compare expressions

Download evidence

Exploratory results. Check each period, proxy and cost assumption before comparing. — means not recorded.

Expression / family	CAGR	Sharpe	Max drawdown	Test period	Assessment
zz7_causal_lag1zigzag-x7-short-close-proxy	4.8%	0.49	-39.6%	1993-02-28 2026-07-31	exploratory
zz7_causal_lag2zigzag-x7-short-close-proxy	7.5%	0.68	-42.9%	1993-02-28 2026-07-31	exploratory
zz7_lookahead_controlzigzag-x7-short-close-proxy	9.0%	0.82	-29.4%	1993-02-28 2026-07-31	exploratory
zz17_causal_lag1zigzag-x17-medium-close-proxy	7.9%	0.79	-34.3%	1993-02-28 2026-07-31	exploratory
zz17_causal_lag2zigzag-x17-medium-close-proxy	7.1%	0.68	-25.5%	1993-02-28 2026-07-31	exploratory
zz17_lookahead_controlzigzag-x17-medium-close-proxy	8.7%	0.74	-24.2%	1993-02-28 2026-06-30	exploratory
zz34_causal_lag1zigzag-x34-long-close-proxy	6.8%	0.68	-27.6%	1993-02-28 2026-07-31	exploratory
zz34_lookahead_controlzigzag-x34-long-close-proxy	7.7%	0.67	-35.4%	1993-02-28 2026-06-30	exploratory
zz72_causal_lag1zigzag-x72-macro-close-proxy	10.1%	0.98	-22.2%	1993-02-28 2026-07-31	exploratory
zz72_lookahead_controlzigzag-x72-macro-close-proxy	8.3%	0.69	-29.4%	1993-02-28 2026-04-30	exploratory
pct_cap17_lag1pct-expand-x-persist-trend	6.4%	0.64	-30.1%	1993-02-28 2026-07-31	exploratory
pct_cap12_lag1pct-expand-x-persist-trend	6.8%	0.68	-30.1%	1993-02-28 2026-07-31	exploratory
pct_cap21_lag2pct-expand-x-persist-trend	7.6%	0.69	-39.1%	1993-02-28 2026-07-31	exploratory
pct_cap17_lag0_controlpct-expand-x-persist-trend	21.0%	1.78	-16.8%	1993-02-28 2026-07-31	exploratory
pavg_x7_t07_lag1duration-gain-reversal-probability	7.8%	0.67	-50.0%	1993-02-28 2026-07-31	exploratory
pavg_x7_t05_lag1duration-gain-reversal-probability	6.6%	0.69	-36.0%	1993-02-28 2026-07-31	exploratory
pavg_x17_t07_lag2duration-gain-reversal-probability	5.1%	0.52	-34.1%	1993-02-28 2026-07-31	exploratory
pavg_x7_t07_lag0_controlduration-gain-reversal-probability	3.9%	0.40	-39.6%	1993-02-28 2026-07-31	exploratory
st_lb7_lag3_latch1st-algo-causal-stop-proxy	6.2%	0.55	-41.2%	1993-02-28 2026-07-31	exploratory
st_lb7_lag2_latch1st-algo-causal-stop-proxy	5.3%	0.48	-49.2%	1993-02-28 2026-07-31	exploratory
st_lb17_lag4_latch0st-algo-causal-stop-proxy	9.7%	0.84	-21.5%	1993-02-28 2026-07-31	exploratory
st_lb7_lag0_controlst-algo-causal-stop-proxy	19.0%	1.54	-24.8%	1993-02-28 2026-07-31	exploratory
be_spy_lb12_lag1_t0best-effort-neighbor-grid	11.6%	1.03	-19.3%	1994-01-31 2026-07-31	exploratory
be_spy_lb21_lag1_tneg05best-effort-neighbor-grid	11.6%	0.93	-27.6%	1994-10-31 2026-07-31	exploratory
be_spy_lb6_lag2_t0best-effort-neighbor-grid	10.9%	1.00	-21.7%	1993-08-31 2026-07-31	exploratory
wb_short_dir_lag1related-workbook-gen2-overlay	12.0%	1.06	-27.1%	2005-05-31 2026-07-31	exploratory
wb_medium_dir_lag1related-workbook-gen2-overlay	20.1%	1.71	-10.4%	2005-05-31 2026-07-31	exploratory
wb_short_ptop_lt07_lag2related-workbook-gen2-overlay	9.0%	0.69	-50.8%	2005-06-30 2026-07-31	exploratory
wb_short_dir_lag0_controlrelated-workbook-gen2-overlay	15.5%	1.22	-29.0%	2005-04-30 2026-07-31	exploratory

Open an expression to inspect its rules and request confirmation. The request must be submitted by a trusted repository collaborator.

zz7_causal_lag1

claim kind

inferred

claim role

causal_primary

exploratory

True

family

zigzag-x7-short-close-proxy

zz7_causal_lag1

lag bars

parameters

lag bars: 1
lookback: 12
threshold: 0.7
x: 7

Confirm as strategy Confirm as indicator

zz7_causal_lag2

claim kind

inferred

claim role

causal_primary

exploratory

True

family

zigzag-x7-short-close-proxy

zz7_causal_lag2

lag bars

parameters

lag bars: 2
lookback: 12
threshold: 0.7
x: 7

Confirm as strategy Confirm as indicator

zz7_lookahead_control

claim kind

inferred

claim role

control_only

exploratory

True

family

zigzag-x7-short-close-proxy

zz7_lookahead_control

lag bars

parameters

lag bars: 0
lookback: 12
threshold: 0.7
x: 7

Confirm as strategy Confirm as indicator

zz17_causal_lag1

claim kind

inferred

claim role

causal_primary

exploratory

True

family

zigzag-x17-medium-close-proxy

zz17_causal_lag1

lag bars

parameters

lag bars: 1
lookback: 12
threshold: 0.7
x: 17

Confirm as strategy Confirm as indicator

zz17_causal_lag2

claim kind

inferred

claim role

causal_primary

exploratory

True

family

zigzag-x17-medium-close-proxy

zz17_causal_lag2

lag bars

parameters

lag bars: 2
lookback: 12
threshold: 0.7
x: 17

Confirm as strategy Confirm as indicator

zz17_lookahead_control

claim kind

inferred

claim role

control_only

exploratory

True

family

zigzag-x17-medium-close-proxy

zz17_lookahead_control

lag bars

parameters

lag bars: 0
lookback: 12
threshold: 0.7
x: 17

Confirm as strategy Confirm as indicator

zz34_causal_lag1

claim kind

inferred

claim role

causal_primary

exploratory

True

family

zigzag-x34-long-close-proxy

zz34_causal_lag1

lag bars

parameters

lag bars: 1
lookback: 12
threshold: 0.7
x: 34

Confirm as strategy Confirm as indicator

zz34_lookahead_control

claim kind

inferred

claim role

control_only

exploratory

True

family

zigzag-x34-long-close-proxy

zz34_lookahead_control

lag bars

parameters

lag bars: 0
lookback: 12
threshold: 0.7
x: 34

Confirm as strategy Confirm as indicator

zz72_causal_lag1

claim kind

inferred

claim role

causal_primary

exploratory

True

family

zigzag-x72-macro-close-proxy

zz72_causal_lag1

lag bars

parameters

lag bars: 1
lookback: 12
threshold: 0.7
x: 72

Confirm as strategy Confirm as indicator

zz72_lookahead_control

claim kind

inferred

claim role

control_only

exploratory

True

family

zigzag-x72-macro-close-proxy

zz72_lookahead_control

lag bars

parameters

lag bars: 0
lookback: 12
threshold: 0.7
x: 72

Confirm as strategy Confirm as indicator

pct_cap17_lag1

claim kind

inferred

claim role

causal_primary

exploratory

True

family

pct-expand-x-persist-trend

pct_cap17_lag1

lag bars

parameters

lag bars: 1
lookback: 12
threshold: 0.7
x: 12

Confirm as strategy Confirm as indicator

pct_cap12_lag1

claim kind

inferred

claim role

causal_primary

exploratory

True

family

pct-expand-x-persist-trend

pct_cap12_lag1

lag bars

parameters

lag bars: 1
lookback: 12
threshold: 0.7
x: 12

Confirm as strategy Confirm as indicator

pct_cap21_lag2

claim kind

inferred

claim role

causal_primary

exploratory

True

family

pct-expand-x-persist-trend

pct_cap21_lag2

lag bars

parameters

lag bars: 2
lookback: 12
threshold: 0.7
x: 12

Confirm as strategy Confirm as indicator

pct_cap17_lag0_control

claim kind

inferred

claim role

control_only

exploratory

True

family

pct-expand-x-persist-trend

pct_cap17_lag0_control

lag bars

parameters

lag bars: 0
lookback: 12
threshold: 0.7
x: 12

Confirm as strategy Confirm as indicator

pavg_x7_t07_lag1

claim kind

inferred

claim role

causal_primary

exploratory

True

family

duration-gain-reversal-probability

pavg_x7_t07_lag1

lag bars

parameters

lag bars: 1
lookback: 12
threshold: 0.7
x: 7

Confirm as strategy Confirm as indicator

pavg_x7_t05_lag1

claim kind

inferred

claim role

causal_primary

exploratory

True

family

duration-gain-reversal-probability

pavg_x7_t05_lag1

lag bars

parameters

lag bars: 1
lookback: 12
threshold: 0.5
x: 7

Confirm as strategy Confirm as indicator

pavg_x17_t07_lag2

claim kind

inferred

claim role

causal_primary

exploratory

True

family

duration-gain-reversal-probability

pavg_x17_t07_lag2

lag bars

parameters

lag bars: 2
lookback: 12
threshold: 0.7
x: 17

Confirm as strategy Confirm as indicator

pavg_x7_t07_lag0_control

claim kind

inferred

claim role

control_only

exploratory

True

family

duration-gain-reversal-probability

pavg_x7_t07_lag0_control

lag bars

parameters

lag bars: 0
lookback: 12
threshold: 0.7
x: 7

Confirm as strategy Confirm as indicator

st_lb7_lag3_latch1

claim kind

inferred

claim role

causal_primary

exploratory

True

family

st-algo-causal-stop-proxy

st_lb7_lag3_latch1

lag bars

parameters

lag bars: 3
lookback: 7
threshold: 0.7
x: 7

Confirm as strategy Confirm as indicator

st_lb7_lag2_latch1

claim kind

inferred

claim role

causal_primary

exploratory

True

family

st-algo-causal-stop-proxy

st_lb7_lag2_latch1

lag bars

parameters

lag bars: 2
lookback: 7
threshold: 0.7
x: 7

Confirm as strategy Confirm as indicator

st_lb17_lag4_latch0

claim kind

inferred

claim role

causal_primary

exploratory

True

family

st-algo-causal-stop-proxy

st_lb17_lag4_latch0

lag bars

parameters

lag bars: 4
lookback: 17
threshold: 0.7
x: 17

Confirm as strategy Confirm as indicator

st_lb7_lag0_control

claim kind

inferred

claim role

control_only

exploratory

True

family

st-algo-causal-stop-proxy

st_lb7_lag0_control

lag bars

parameters

lag bars: 0
lookback: 7
threshold: 0.7
x: 7

Confirm as strategy Confirm as indicator

be_spy_lb12_lag1_t0

claim kind

inferred

claim role

causal_primary

exploratory

True

family

best-effort-neighbor-grid

be_spy_lb12_lag1_t0

lag bars

parameters

lag bars: 1
lookback: 12
threshold: 0.0
x: 12

Confirm as strategy Confirm as indicator

be_spy_lb21_lag1_tneg05

claim kind

inferred

claim role

causal_primary

exploratory

True

family

best-effort-neighbor-grid

be_spy_lb21_lag1_tneg05

lag bars

parameters

lag bars: 1
lookback: 21
threshold: -0.5
x: 21

Confirm as strategy Confirm as indicator

be_spy_lb6_lag2_t0

claim kind

inferred

claim role

causal_primary

exploratory

True

family

best-effort-neighbor-grid

be_spy_lb6_lag2_t0

lag bars

parameters

lag bars: 2
lookback: 6
threshold: 0.0
x: 6

Confirm as strategy Confirm as indicator

wb_short_dir_lag1

claim kind

inferred

claim role

causal_primary

exploratory

True

family

related-workbook-gen2-overlay

wb_short_dir_lag1

lag bars

parameters

lag bars: 1
lookback: 12
threshold: 0.0
x: 12

Confirm as strategy Confirm as indicator

wb_medium_dir_lag1

claim kind

inferred

claim role

causal_primary

exploratory

True

family

related-workbook-gen2-overlay

wb_medium_dir_lag1

lag bars

parameters

lag bars: 1
lookback: 12
threshold: 0.0
x: 12

Confirm as strategy Confirm as indicator

wb_short_ptop_lt07_lag2

claim kind

inferred

claim role

causal_primary

exploratory

True

family

related-workbook-gen2-overlay

wb_short_ptop_lt07_lag2

lag bars

parameters

lag bars: 2
lookback: 12
threshold: 0.7
x: 12

Confirm as strategy Confirm as indicator

wb_short_dir_lag0_control

claim kind

inferred

claim role

control_only

exploratory

True

family

related-workbook-gen2-overlay

wb_short_dir_lag0_control

lag bars

parameters

lag bars: 0
lookback: 12
threshold: 0.0
x: 12

Confirm as strategy Confirm as indicator

Interactive lab

Interactive history unavailable

Loading available evidence…

Research record

Source claims, inferred rules, experiments and the evidence behind the assessment.

Source

fetched at: 2026-08-22T23:48:23Z
kind: recessionalert_page
sha256: sha256:f62e3557bc157d890ec68a99a31d4a4898df9797a5d370b9dc56c3a629213cb1
title: MODELS: Understanding SP500 Gen2 Persistent Current Trend (PCT) probability model | RecessionAlert
url: https://recessionalert.com/pctmodel/

What the source claims

Gen2 SP500 trough/peak probabilities on four zig-zag horizons using daily H/L and x-session look-ahead: short 7, medium 17, long 34, macro 72.
Reversal likelihood averages P(trend lasts longer) and P(trend gains/loses more) versus ~30y catalog; PCT expands x by the minimum that preserves current trend; ST-ALGO uses 2–4 day lag and 1-day latch.
Closed-form probability map, buy/sell thresholds, ST-ALGO stop formula, and on-row chart/xlsx SHA256 are absent on this page SHA.
Close-only ^GSPC/SPY zig-zag/PCT/ST-ALGO reconstructions and lagged WeeklyData GEN-2 DIR/P(TOP) overlays are exploratory stand-ins.

Rules actually disclosed

Gen2 SP500 trough/peak probabilities on four zig-zag horizons using daily H/L and x-session look-ahead: short 7, medium 17, long 34, macro 72.
Reversal likelihood averages P(trend lasts longer) and P(trend gains/loses more) versus ~30y catalog; PCT expands x by the minimum that preserves current trend; ST-ALGO uses 2–4 day lag and 1-day latch.
Closed-form probability map, buy/sell thresholds, ST-ALGO stop formula, and on-row chart/xlsx SHA256 are absent on this page SHA.

What had to be inferred

Close-only ^GSPC/SPY zig-zag/PCT/ST-ALGO reconstructions and lagged WeeklyData GEN-2 DIR/P(TOP) overlays are exploratory stand-ins.

Research questions

Can labeled close-only public proxies and the related WeeklyData GEN-2 workbook extract any useful SPY/IEF market-timing overlay from the incomplete PCT/Gen2 page?

Data

database: data/market.sqlite + data/recessionalert.sqlite read-only
fetched at: 2026-08-22T23:48:23Z
linked assets: 0
page sha256: sha256:f62e3557bc157d890ec68a99a31d4a4898df9797a5d370b9dc56c3a629213cb1
related procharts sha256: sha256:9a828206a7af5e90f3ecac75b2e445167e90b15cd1310024f4499c22284384af
related workbook sha256: sha256:fc2be5f1fc2a2e38949ae566f6e8cb4699a95562975a498fb5a53510cc40d67c
related workbook url: https://recessionalert.com/download/?file=WeeklyData.xlsx

Baseline implementation

claim kind

inferred

claim role

causal_primary

exploratory

True

family

zigzag-x7-short-close-proxy

zz7_causal_lag1

lag bars

metrics

cagr: 0.04807630976714283
end: 2026-07-31
max drawdown: -0.39583831927747315
n months: 402
risk off events: 588
risk on share: 0.55668358714044
sharpe: 0.49312588510439503
start: 1993-02-28
vol: 0.10702989311702804

parameters

lag bars: 1
lookback: 12
threshold: 0.7
x: 7

What to try interactively

id
lag_bars
values
- 0
- 1
- 2
- 3
- 4
id
x_horizon
values
- 7
- 17
- 34
- 72
id
lookback
values
- 6
- 7
- 12
- 17
- 21
id
threshold
values
- 0.0
- -0.5
- 0.5
- 0.7

Suggested next research

Can a future crawl attach on-row GIF/xlsx SHA256 for the PCT charts?
Does PRO>SP500 Charts disclose executable PCT expand-x columns or ST-ALGO stop formulas?
Would true daily H/L (not close-only) change zig-zag x=7/17/34/72 causal overlays?

Trial ledger

iteration
1
note
Initial exploratory PCT/Gen2 proxy campaign for issue 1547

Agent assessment

Disposition exploratory_tested_proxy under Other/Research.
Explicit NO-GO for playable Other/Indicators native PCT/Gen2/ST-ALGO promotion.

Combinations

families tested
- best-effort-neighbor-grid
- duration-gain-reversal-probability
- pct-expand-x-persist-trend
- related-workbook-gen2-overlay
- st-algo-causal-stop-proxy
- zigzag-x17-medium-close-proxy
- zigzag-x34-long-close-proxy
- zigzag-x7-short-close-proxy
- zigzag-x72-macro-close-proxy
n causal
21
n control
8
n trials
29

Historical events

Regime slices on zz72_causal_lag1: GFC/COVID/recent were exploratory-OK; 2022 was a large negative.

Parameter sensitivity

Look-ahead and lag-0 controls often inflate Sharpe versus causal lag>=1; claims use causal_primary only.
Documented horizons x in {7,17,34,72}; PCT expand-x caps {12,17,21}; ST-ALGO lags {2,3,4}.

Regime behavior

covid
cagr
0.16322124530364945
max drawdown
-0.06144374529869623
n months
12
sharpe
0.9353189699148272
gfc
cagr
0.08071143880231157
max drawdown
-0.1003687611990669
n months
21
sharpe
0.6833794248892993
inflation 2022
cagr
-0.20075559872555193
max drawdown
-0.17337031223904964
n months
12
sharpe
-2.1205702654261214
recent
cagr
0.1523699933646343
max drawdown
-0.08098002236037594
n months
43
sharpe
1.4922939692066748

State-space exploration

29 labeled variants across 9 families; negatives retained in the trial ledger.

Timing and cost sensitivity

Look-ahead and lag-0 controls often inflate Sharpe vs causal lag>=1; claims use causal_primary only.
Overlay is month-end SPY/IEF without explicit trading-cost drag in this campaign.

What did not work

Short-horizon causal zig-zag x=7 lag1 underperformed (Sharpe ≈ 0.49).
2022 inflation year destroyed zz72 overlay equity.
Native look-ahead / lag-0 controls are non-tradable and must not be claimed.

What the signal looks like

Month-end SPY/IEF overlay weights from lagged close-only zig-zag, PCT expand-x, ST-ALGO stop proxies, SMA neighbors, and off-row GEN-2 DIR/P(TOP) columns.
DSL SignalSpecs are SMA stand-ins; executable primitives live in research/research_campaign/recessionalert_1547.py.

What worked

wb_medium_dir_lag1 (workbook GEN-2 medium DIR) and be_spy_lb12_lag1_t0 (SMA12) were the strongest causal overlays in-sample.
zz72_causal_lag1 was the best long-history documented-horizon close zig-zag.

Why the failures appear to happen

Close-only bars cannot reproduce H/L zig-zag pivots; native look-ahead is non-causal.
Probability mapping and ST-ALGO stop formula are undisclosed, so reconstructions are coarse.

Next questions

Can a future crawl attach on-row GIF/xlsx SHA256 for the PCT charts?
Does PRO>SP500 Charts disclose executable PCT expand-x columns or ST-ALGO stop formulas?
Would true daily H/L (not close-only) change zig-zag x=7/17/34/72 causal overlays?

Review status

published. Research publication does not imply official admission.

Return to pending research