Research campaign · Iteration 1 · unassessed

Quantifying market valuation risk — PART 3 | RecessionAlert — exploratory proxy campaign

Can public valuation, trend, and liquidity proxies plus lagged related RAVI forecasts provide a useful risk overlay when native PART-3 formulas are unavailable?

Expressions: 28
Logged trials: 28
Independent events: Not assessed
Evidence: unassessed

What the research found

Executed 28 labeled variants across seven exploratory families.
The simple lagged SPY trend proxy be_spy_lb12_lag1_t0 produced Sharpe 1.031.
The lagged related-workbook 2YR FC overlay produced Sharpe 0.969, but the forecast is opaque and not source-linked on PART-3.
Native RAVI fidelity is an explicit NO-GO; publication is Other/Research only.

Mechanism and falsifiers

Not recorded in this iteration.

Confidence and limitations

Native RAVI formulas, weights, executable thresholds, and publication clock are undisclosed.
PART-3 has no on-row workbook or chart asset SHA256; the workbook is a related off-row object.
CAPE, Buffett Indicator, and Tobin's Q are unavailable in the offline market database.
Public SPY/CPI/WALCL proxies and opaque workbook forecasts cannot establish native RAVI parity.
Lag-0 variants are non-causal controls and must not support claims.
Backtests omit transaction costs, taxes, and an executable hedge specification.

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
d2t_spy_lb36_lag1_t0ravi-distance-to-target-proxy	5.6%	0.49	-36.9%	1996-03-31 2026-07-31	exploratory
d2t_spy_lb60_lag1_t05ravi-distance-to-target-proxy	9.0%	0.64	-50.8%	1998-03-31 2026-07-31	exploratory
d2t_spy_lb24_lag2_t0ravi-distance-to-target-proxy	6.3%	0.58	-35.6%	1995-04-30 2026-07-31	exploratory
d2t_spy_lb36_lag0_controlravi-distance-to-target-proxy	-13.5%	-1.39	-98.8%	1996-02-29 2026-07-31	exploratory
vz_spy_cpi_z60_lag1_t05valuation-zscore-risk-off	3.9%	0.39	-41.8%	1998-01-31 2025-10-31	exploratory
vz_spy_sma60_lag1_t0valuation-zscore-risk-off	3.3%	0.39	-36.4%	1998-01-31 2026-07-31	exploratory
vz_spy_cpi_z36_lag2_t05valuation-zscore-risk-off	2.5%	0.28	-46.3%	1996-02-29 2025-11-30	exploratory
vz_spy_cpi_z60_lag0_controlvaluation-zscore-risk-off	-0.3%	0.03	-50.3%	1997-12-31 2025-09-30	exploratory
rz_env_lb24_lag1short-term-risk-zone-proxy	2.9%	0.50	-23.2%	1998-01-31 2026-07-31	exploratory
rz_2y_ann_lb24_lag1short-term-risk-zone-proxy	2.8%	0.50	-23.2%	1997-01-31 2026-07-31	exploratory
rz_avg123_lb36_lag2short-term-risk-zone-proxy	3.0%	0.51	-23.2%	1999-02-28 2026-07-31	exploratory
rz_env_lb24_lag0_controlshort-term-risk-zone-proxy	2.9%	0.50	-23.2%	1997-12-31 2026-07-31	exploratory
liq_walcl_yoy_lb12_lag1liquidity-tailwind-overlay	7.2%	0.66	-41.8%	2004-01-31 2025-10-31	exploratory
liq_walcl_mom_lb6_lag1liquidity-tailwind-overlay	6.5%	0.61	-41.8%	2003-07-31 2025-10-31	exploratory
liq_walcl_yoy_lb12_lag2liquidity-tailwind-overlay	6.3%	0.62	-41.8%	2004-02-29 2025-11-30	exploratory
liq_walcl_yoy_lb12_lag0_controlliquidity-tailwind-overlay	2.6%	0.28	-50.3%	2003-12-31 2025-09-30	exploratory
cs_avg4q_lb12_lag1coincident-smoothed-forecast-proxy	2.8%	0.50	-23.2%	1997-01-31 2026-07-31	exploratory
cs_avg8q_lb24_lag1coincident-smoothed-forecast-proxy	2.9%	0.50	-23.2%	1998-01-31 2026-07-31	exploratory
cs_avg12q_lb36_lag2coincident-smoothed-forecast-proxy	3.0%	0.51	-23.2%	1999-02-28 2026-07-31	exploratory
cs_avg4q_lb12_lag0_controlcoincident-smoothed-forecast-proxy	2.8%	0.49	-23.2%	1996-12-31 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_lb36_lag1_tneg05best-effort-neighbor-grid	11.3%	0.86	-25.8%	1996-01-31 2026-07-31	exploratory
be_spy_lb60_lag2_t05best-effort-neighbor-grid	9.4%	0.76	-23.9%	1998-02-28 2026-07-31	exploratory
wb_signal_gt0_lag1related-workbook-ravi-signal-overlay	9.2%	0.80	-36.4%	1997-02-28 2026-07-31	exploratory
wb_2yrfc_gt0_lag1related-workbook-ravi-signal-overlay	10.9%	0.97	-28.0%	1996-02-29 2026-07-31	exploratory
wb_10yrfcast_gt_spx_lag1related-workbook-ravi-signal-overlay	2.5%	0.47	-23.2%	1993-02-28 2026-07-31	exploratory
wb_signal_gt0_lag2related-workbook-ravi-signal-overlay	8.3%	0.74	-28.0%	1997-03-31 2026-07-31	exploratory
wb_signal_gt0_lag0_controlrelated-workbook-ravi-signal-overlay	6.4%	0.56	-42.3%	1997-01-31 2026-06-30	exploratory

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

d2t_spy_lb36_lag1_t0

id: d2t_spy_lb36_lag1_t0
family: ravi-distance-to-target-proxy
lag bars: 1
lookback: 36
threshold: 0.0
claim role: causal_primary
claim kind: inferred
exploratory: True

Confirm as strategy Confirm as indicator

d2t_spy_lb60_lag1_t05

id: d2t_spy_lb60_lag1_t05
family: ravi-distance-to-target-proxy
lag bars: 1
lookback: 60
threshold: 0.5
claim role: causal_primary
claim kind: inferred
exploratory: True

Confirm as strategy Confirm as indicator

d2t_spy_lb24_lag2_t0

id: d2t_spy_lb24_lag2_t0
family: ravi-distance-to-target-proxy
lag bars: 2
lookback: 24
threshold: 0.0
claim role: causal_primary
claim kind: inferred
exploratory: True

Confirm as strategy Confirm as indicator

d2t_spy_lb36_lag0_control

id: d2t_spy_lb36_lag0_control
family: ravi-distance-to-target-proxy
lag bars: 0
lookback: 36
threshold: 0.0
claim role: control_only
claim kind: inferred
exploratory: True

Confirm as strategy Confirm as indicator

vz_spy_cpi_z60_lag1_t05

id: vz_spy_cpi_z60_lag1_t05
family: valuation-zscore-risk-off
lag bars: 1
lookback: 60
threshold: 0.5
claim role: causal_primary
claim kind: inferred
exploratory: True

Confirm as strategy Confirm as indicator

vz_spy_sma60_lag1_t0

id: vz_spy_sma60_lag1_t0
family: valuation-zscore-risk-off
lag bars: 1
lookback: 60
threshold: 0.0
claim role: causal_primary
claim kind: inferred
exploratory: True

Confirm as strategy Confirm as indicator

vz_spy_cpi_z36_lag2_t05

id: vz_spy_cpi_z36_lag2_t05
family: valuation-zscore-risk-off
lag bars: 2
lookback: 36
threshold: 0.5
claim role: causal_primary
claim kind: inferred
exploratory: True

Confirm as strategy Confirm as indicator

vz_spy_cpi_z60_lag0_control

id: vz_spy_cpi_z60_lag0_control
family: valuation-zscore-risk-off
lag bars: 0
lookback: 60
threshold: 0.5
claim role: control_only
claim kind: inferred
exploratory: True

Confirm as strategy Confirm as indicator

rz_env_lb24_lag1

id: rz_env_lb24_lag1
family: short-term-risk-zone-proxy
lag bars: 1
lookback: 24
threshold: 0.5
claim role: causal_primary
claim kind: inferred
exploratory: True

Confirm as strategy Confirm as indicator

rz_2y_ann_lb24_lag1

id: rz_2y_ann_lb24_lag1
family: short-term-risk-zone-proxy
lag bars: 1
lookback: 24
threshold: 0.5
claim role: causal_primary
claim kind: inferred
exploratory: True

Confirm as strategy Confirm as indicator

rz_avg123_lb36_lag2

id: rz_avg123_lb36_lag2
family: short-term-risk-zone-proxy
lag bars: 2
lookback: 36
threshold: 0.5
claim role: causal_primary
claim kind: inferred
exploratory: True

Confirm as strategy Confirm as indicator

rz_env_lb24_lag0_control

id: rz_env_lb24_lag0_control
family: short-term-risk-zone-proxy
lag bars: 0
lookback: 24
threshold: 0.5
claim role: control_only
claim kind: inferred
exploratory: True

Confirm as strategy Confirm as indicator

liq_walcl_yoy_lb12_lag1

id: liq_walcl_yoy_lb12_lag1
family: liquidity-tailwind-overlay
lag bars: 1
lookback: 12
threshold: 0.5
claim role: causal_primary
claim kind: inferred
exploratory: True

Confirm as strategy Confirm as indicator

liq_walcl_mom_lb6_lag1

id: liq_walcl_mom_lb6_lag1
family: liquidity-tailwind-overlay
lag bars: 1
lookback: 6
threshold: 0.5
claim role: causal_primary
claim kind: inferred
exploratory: True

Confirm as strategy Confirm as indicator

liq_walcl_yoy_lb12_lag2

id: liq_walcl_yoy_lb12_lag2
family: liquidity-tailwind-overlay
lag bars: 2
lookback: 12
threshold: 0.5
claim role: causal_primary
claim kind: inferred
exploratory: True

Confirm as strategy Confirm as indicator

liq_walcl_yoy_lb12_lag0_control

id: liq_walcl_yoy_lb12_lag0_control
family: liquidity-tailwind-overlay
lag bars: 0
lookback: 12
threshold: 0.5
claim role: control_only
claim kind: inferred
exploratory: True

Confirm as strategy Confirm as indicator

cs_avg4q_lb12_lag1

id: cs_avg4q_lb12_lag1
family: coincident-smoothed-forecast-proxy
lag bars: 1
lookback: 12
threshold: 0.5
claim role: causal_primary
claim kind: inferred
exploratory: True

Confirm as strategy Confirm as indicator

cs_avg8q_lb24_lag1

id: cs_avg8q_lb24_lag1
family: coincident-smoothed-forecast-proxy
lag bars: 1
lookback: 24
threshold: 0.5
claim role: causal_primary
claim kind: inferred
exploratory: True

Confirm as strategy Confirm as indicator

cs_avg12q_lb36_lag2

id: cs_avg12q_lb36_lag2
family: coincident-smoothed-forecast-proxy
lag bars: 2
lookback: 36
threshold: 0.5
claim role: causal_primary
claim kind: inferred
exploratory: True

Confirm as strategy Confirm as indicator

cs_avg4q_lb12_lag0_control

id: cs_avg4q_lb12_lag0_control
family: coincident-smoothed-forecast-proxy
lag bars: 0
lookback: 12
threshold: 0.5
claim role: control_only
claim kind: inferred
exploratory: True

Confirm as strategy Confirm as indicator

be_spy_lb12_lag1_t0

id: be_spy_lb12_lag1_t0
family: best-effort-neighbor-grid
lag bars: 1
lookback: 12
threshold: 0.0
claim role: causal_primary
claim kind: inferred
exploratory: True

Confirm as strategy Confirm as indicator

be_spy_lb36_lag1_tneg05

id: be_spy_lb36_lag1_tneg05
family: best-effort-neighbor-grid
lag bars: 1
lookback: 36
threshold: -0.5
claim role: causal_primary
claim kind: inferred
exploratory: True

Confirm as strategy Confirm as indicator

be_spy_lb60_lag2_t05

id: be_spy_lb60_lag2_t05
family: best-effort-neighbor-grid
lag bars: 2
lookback: 60
threshold: 0.5
claim role: causal_primary
claim kind: inferred
exploratory: True

Confirm as strategy Confirm as indicator

wb_signal_gt0_lag1

id: wb_signal_gt0_lag1
family: related-workbook-ravi-signal-overlay
lag bars: 1
lookback: 60
threshold: 0.0
claim role: causal_primary
claim kind: inferred
exploratory: True

Confirm as strategy Confirm as indicator

wb_2yrfc_gt0_lag1

id: wb_2yrfc_gt0_lag1
family: related-workbook-ravi-signal-overlay
lag bars: 1
lookback: 60
threshold: 0.0
claim role: causal_primary
claim kind: inferred
exploratory: True

Confirm as strategy Confirm as indicator

wb_10yrfcast_gt_spx_lag1

id: wb_10yrfcast_gt_spx_lag1
family: related-workbook-ravi-signal-overlay
lag bars: 1
lookback: 60
threshold: 0.0
claim role: causal_primary
claim kind: inferred
exploratory: True

Confirm as strategy Confirm as indicator

wb_signal_gt0_lag2

id: wb_signal_gt0_lag2
family: related-workbook-ravi-signal-overlay
lag bars: 2
lookback: 60
threshold: 0.0
claim role: causal_primary
claim kind: inferred
exploratory: True

Confirm as strategy Confirm as indicator

wb_signal_gt0_lag0_control

id: wb_signal_gt0_lag0_control
family: related-workbook-ravi-signal-overlay
lag bars: 0
lookback: 60
threshold: 0.0
claim role: control_only
claim kind: inferred
exploratory: True

Confirm as strategy Confirm as indicator

Interactive lab

403 observations

Loading available evidence…

Research record

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

Source

title: MODELS: Quantifying market valuation risk – PART 3 | RecessionAlert
kind: recessionalert_page
url: https://recessionalert.com/quantifying-market-valuation-risk-part-3/
sha256: sha256:741dea1c37744aeaf1b62dce5eddfe43d7d6ac47611ee5f45c967d272da57bef
fetched at: 2026-08-22T23:47:52Z

What the source claims

PART-3 measures valuation risk as distance from the current S&P 500 to multi-horizon RAVI-implied targets.
The short-term RISK zone is the min/max of four one-year mechanisms, including annualized two- and three-year forecasts.
Fed balance-sheet expansion is discussed as a valuation-risk tailwind, but no quantified liquidity rule is disclosed.
SPY/CPI real-price z-scores, SPY trend, WALCL growth, and lagged workbook forecasts are labeled exploratory stand-ins.

Rules actually disclosed

PART-3 measures valuation risk as distance from the current S&P 500 to multi-horizon RAVI-implied targets.
The short-term RISK zone is the min/max of four one-year mechanisms, including annualized two- and three-year forecasts.
Fed balance-sheet expansion is discussed as a valuation-risk tailwind, but no quantified liquidity rule is disclosed.

What had to be inferred

SPY/CPI real-price z-scores, SPY trend, WALCL growth, and lagged workbook forecasts are labeled exploratory stand-ins.

Research questions

Can public valuation, trend, and liquidity proxies plus lagged related RAVI forecasts provide a useful risk overlay when native PART-3 formulas are unavailable?

Data

database: data/market.sqlite + data/recessionalert.sqlite opened read-only
page sha256: sha256:741dea1c37744aeaf1b62dce5eddfe43d7d6ac47611ee5f45c967d272da57bef
workbook sha256: sha256:435d142f7e8851a740c78a3d24db6bb15930b21a861cb5520d0a494e6575dced
causal policy: lag>=1 causal_primary; lag0 control_only
panel: 1993-01-31..2026-07-31 (403 month-end rows)

Baseline implementation

d2t_spy_lb36_lag1_t0

family

ravi-distance-to-target-proxy

lag bars

lookback

threshold

0.0

claim role

causal_primary

metrics

n months: 365
cagr: 0.05554672094317992
vol: 0.1261138186537049
sharpe: 0.4928827135827473
max drawdown: -0.36883909557997563
risk off events: 181
risk on share: 0.4575342465753425
start: 1996-03-31
end: 2026-07-31

claim kind

inferred

exploratory

True

What to try interactively

name
lag_bars
values
- 0
- 1
- 2
note
0 is control_only
name
lookback
values
- 12
- 24
- 36
- 60
name
threshold
values
- -0.5
- 0.0
- 0.5
name
workbook_column
values
- SIGNAL
- 2YR FC
- 10YR FCAST
- 5YR FC

Suggested next research

Can a source-linked RAVI formula, regression specification, or constituent weights be obtained with provenance?
What was the historical publication timestamp and information cutoff for each workbook forecast?
Do common-sample and walk-forward tests preserve the apparent edge of the workbook 2YR FC and simple SPY trend overlays?
Would transaction costs, switching frictions, and alternative risk-off assets materially change the frontier?
Can CAPE, Buffett Indicator, or Tobin's Q be added through a separately approved offline data import?

Trial ledger

iteration
1
n trials
28
disposition
exploratory_tested_proxy

What the signal looks like

Month-end SPY/IEF weights from lagged public valuation, trend, liquidity, and related-workbook forecast proxies.
The primary public baseline is SPY above its 12-month SMA, executed one month later.

Historical events

GFC, calendar-2020 COVID, 2022 inflation, and 2023+ slices are reported for be_spy_lb12_lag1_t0.

State-space exploration

28 variants across seven families; lag-0 controls retained but excluded from causal claims.

Parameter sensitivity

Lags 0/1/2 and lookbacks 12/24/36/60 were tested; timing sensitivity is reported on the representative trend family.

What worked

be_spy_lb12_lag1_t0 was a simple, long-history public-proxy frontier member.
wb_2yrfc_gt0_lag1 was competitive, but its opaque related-workbook provenance prevents native claims.

What did not work

Native RAVI reconstruction is impossible from the disclosed material.
Several valuation-distance and forecast stand-ins were weak, degenerate, or highly regime-dependent.

Why the failures appear to happen

PART-3 gives target-distance examples but omits the underlying RAVI regression and constituent weights.
A public trend rule can be tradable without being a faithful valuation model.

Regime behavior

gfc
n months
21
cagr
0.034066759647187084
sharpe
0.37949209386896005
max drawdown
-0.06652293466602999
covid
n months
12
cagr
0.19504546924369448
sharpe
1.0990143728889123
max drawdown
-0.07916566333452868
inflation 2022
n months
12
cagr
-0.1766630007562896
sharpe
-1.3795369795772205
max drawdown
-0.15434130538895718
recent
n months
43
cagr
0.19008108772055987
sharpe
1.4763759430802312
max drawdown
-0.08325836002549158

Timing and cost sensitivity

Lag-0 is non-causal; lag>=1 is required. Reported metrics do not include transaction costs or taxes.

Combinations

families tested
- ravi-distance-to-target-proxy
- valuation-zscore-risk-off
- short-term-risk-zone-proxy
- liquidity-tailwind-overlay
- coincident-smoothed-forecast-proxy
- best-effort-neighbor-grid
- related-workbook-ravi-signal-overlay
n trials
28
n causal
22
n control
6
note
Families were compared as separate SPY/IEF overlays. No blended rule is promoted because common-sample and out-of-sample combination tests remain undone.

Agent assessment

Disposition exploratory_tested_proxy under Other/Research.
Explicit NO-GO for native RAVI fidelity or playable Indicator promotion.

Next questions

Can a source-linked RAVI formula, regression specification, or constituent weights be obtained with provenance?
What was the historical publication timestamp and information cutoff for each workbook forecast?
Do common-sample and walk-forward tests preserve the apparent edge of the workbook 2YR FC and simple SPY trend overlays?
Would transaction costs, switching frictions, and alternative risk-off assets materially change the frontier?
Can CAPE, Buffett Indicator, or Tobin's Q be added through a separately approved offline data import?

Review status

published. Research publication does not imply official admission.

Return to pending research