{ "article": { "official_admission": false, "required_headings": [ "Summary", "Source", "What the source claims", "Rules actually disclosed", "What had to be inferred", "Research questions", "Data", "Baseline implementation", "What the signal looks like", "Historical events", "State-space exploration", "Parameter sensitivity", "What worked", "What did not work", "Why the failures appear to happen", "Regime behavior", "Timing and cost sensitivity", "Combinations", "Candidate frontier", "Agent assessment", "Limitations", "What to try interactively", "Suggested next research", "Promotion status", "Trial ledger", "Validation protocol", "Portfolio contribution" ], "research_tags": [ "data_limited", "fidelity_mismatch", "parameter_sensitive", "regime_dependent", "predictive_not_tradable", "interesting_negative_result", "needs_more_research", "candidate_for_confirmation", "useful_as_filter", "useful_as_portfolio_overlay" ], "sections": { "Agent assessment": [ "Publish as exploratory Other/Research evidence; do not register an official CMHI indicator or imply a tradable recommendation." ], "Baseline implementation": { "claim_kind": "inferred_best_guess", "family": "three_of_seven", "id": "cmhi-three-of-seven-lb12-lag1-t0", "label": "causal best guess", "lag_bars": 1, "lookback_months": 12, "metrics": { "cagr": 0.09355393452016214, "max_drawdown": -0.24659452514828128, "observations": 288, "sharpe": 1.0766297419218747, "sortino": 1.646828832800302, "total_return": 7.489233516798109, "volatility": 0.08654076442809143 }, "threshold": 0.0 }, "Candidate frontier": [ { "category": "simplest_reasonable", "id": "cmhi-three-of-seven-lb12-lag1-t0", "interpretation": "Causal proxy preserving the only explicit source threshold; descriptive baseline, not native fidelity." }, { "category": "best_long_history", "id": "cmhi-three-of-seven-lb12-lag2-t0", "interpretation": "More conservative two-bar lag on the same long IEF-overlap." }, { "category": "best_source_fidelity", "id": "cmhi-market-internals-lb12-lag1-t0", "interpretation": "Closest market-internals proxy family, with 43 months of warning disagreement." }, { "category": "most_stable", "id": "cmhi-three-of-seven-lb21-lag1-tneg05", "interpretation": "Long/strict neighbor is nearly flat in recent data and exposes parameter sensitivity." }, { "category": "best_portfolio_complement", "id": "cmhi-macro-confirmed-lb12-lag1-t0", "interpretation": "Current implementation duplicates the count proxy; retained as a failed confirmation distinction." }, { "category": "best_return", "id": "cmhi-three-of-seven-lb12-lag0-control", "interpretation": "Lookahead control only; excluded from all causal conclusions." } ], "Combinations": [ "Market-only warnings disagree with the count proxy in 43 months; macro-confirmed is exactly duplicated under current implementation." ], "Data": { "article_published_at": "2015-08-25T17:23:00-0400", "common_span": "1993-01-31/2026-07-31", "inventory_path": "research/findings/recessionalert_inventory.md", "manifest_path": "research/artifacts/recessionalert/manifest.json", "native_fidelity": false, "proxy_database": "data/market.sqlite (read-only)", "proxy_series": [ "SPY", "__SYNTH_SPXBREADTH200__", "__SYNTH_SPXBREADTH50__", "^VIX", "INDPRO", "UNRATE", "IEF", "BIL" ], "publication_lag": "Unknown for native CMHI; proxy experiments use month-end latest-available observations plus one or two available-bar lags.", "redistribution": "Derived proxy values, charts, summaries, hashes, and specs only; no cached page HTML/assets, credentials, cookies, or private account data.", "revision_policy": "Native CMHI revision/vintage policy is undisclosed; local FRED/Yahoo cache provides observation dates only and no source bytes are redistributed.", "snapshot_database": "data/recessionalert.sqlite (read-only)", "source_fetched_at": "2026-08-22T23:45:17Z", "source_page_sha256": "sha256:9bead77031d36f389d1b2204111f926fce443af211023b6ccda3a4febb59000a", "source_page_url": "https://recessionalert.com/bear-market-high-risk-alert/" }, "Historical events": [ "The best guess is risk-off around the 2015 source analog, the 2008 grinding-bear analog, and the 2020 selloff; it fails with a -17.90% 2022 analog return." ], "Limitations": [ "The native CMHI Diffusion series and seven paw-print component history are absent; checked-in synthetic breadth and public macro/market proxies are not equivalent inputs.", "Long-term high/low, moving-average, volume-breadth, Seasonality, Momentum, and Weekly Economic Index formulas are incomplete or undisclosed.", "Native publication lag, point-in-time availability, release/vintage timestamps, revisions, and calculation clock are unknown; archival fetch delay is not a release lag.", "The source provides only risk-off cash advice. BUY/re-entry, target weights, instrument, holding period, costs, fills, and same-day timing are not disclosed; overlay sleeves are inferred.", "The lag-0 control is lookahead-only; causal conclusions use lag 1 or 2. Event windows and returns are descriptive exploratory metrics, not independent validation or investment advice.", "The macro-confirmed candidate currently duplicates the count proxy and must not be treated as independent evidence." ], "Parameter sensitivity": [ "One-bar and two-bar lag returns are 9.36% and 8.73% annualized versus 19.84% for lag zero; the strict long lookback is nearly flat recently." ], "Portfolio contribution": {}, "Promotion status": [ "Not promoted: this is a public-proxy campaign with source-fidelity gaps and no native BUY/re-entry map." ], "Regime behavior": [ "Best-guess risk-off occupancy is 57% pre-GFC, 75% during 2008-09, 42% during 2020-21, and 58% in 2022-26; results vary by regime." ], "Research questions": [ "Can the incomplete RecessionAlert CMHI Diffusion-zero cash narrative yield transparent, causally timed exploratory public proxies over the longest checked-in history without claiming native source fidelity?" ], "Rules actually disclosed": [ "The article states that CMHI Stock Market Health Diffusion at zero advises zero stock-market exposure / cash positions.", "Just 3 of 7 major Bear-market paw-prints bearish puts the Diffusion at zero and advises cash positions.", "The page narrates below-zero new-long-term-high breadth, below-zero NYSE+S&P 500 shares above long-term moving averages, and below-zero net advancing volume breadth.", "Seasonality is forecast to switch from +1 to -1 on 2015-09-01, creating a fourth bearish paw-print and likely composite-below-zero condition.", "The source cautions that rapid declines can create transient CMHI-below-zero visits and recommends watching sustained internals, macro, volatility, and SP-500 behavior." ], "Source": { "article_date": "2015-08-25T17:23:00-0400", "fetched_at": "2026-08-22T23:45:17Z", "native_span": "One dated 2015-08-25 Reflections article; narrative windows cover a 20-trading-day deterioration, 2015-08-18 through 2015-08-24 plunge, and named 2015-06/07 component camps. No machine-readable CMHI history is attached.", "public_boundary": "Public summaries, hashes, metadata, and derived proxy metrics only; no cached HTML/assets, credentials, cookies, private data, or unverified native series.", "publication_lag": "Unknown for native CMHI; the 2026-08-22 fetch interval is archival delay, not indicator release lag.", "redacted_url": "https://recessionalert.com/bear-market-high-risk-alert/", "sha256": "sha256:9bead77031d36f389d1b2204111f926fce443af211023b6ccda3a4febb59000a", "title": "Bear Market High-Risk Alert | RecessionAlert" }, "State-space exploration": [ "Seven variants cover the best guess, nearby lookbacks/thresholds, extra lag, market-only and macro-family neighbors, and a lag-0 lookahead control." ], "Suggested next research": [ "Can an authorized checked-in public artifact provide native CMHI daily values, all seven formulas, and release/vintage timestamps?", "Can the three narrated breadth examples be rebuilt from a declared point-in-time NYSE+S&P 500 constituent universe with exact high/low, MA, and advancing-volume definitions?", "What publication clock, persistence, reset, holding period, and BUY/re-entry map should replace the inferred overlay semantics?", "Should a future revision implement a genuinely distinct macro confirmation gate and rerun the full variant/diagnostic matrix?", "Can IEF and BIL be compared on equal windows with explicit transaction costs before any operational use?" ], "Summary": [ "The SHA-verified source preserves a documented 3-of-7 CMHI Diffusion-zero cash advisory, but not a playable native series or BUY/re-entry rule.", "Seven proxy variants were executed over the longest checked-in monthly panel; the declared descriptive baseline is the 12-month zero-threshold one-bar-lag three-of-seven proxy.", "Causal variants returned 6.90% to 9.42% annualized across nearby count settings versus 19.84% for the explicitly rejected lag-0 control; the 2022 analog lost 17.90% despite 11 of 12 risk-off months.", "All metrics are exploratory proxy overlays, not official CMHI replication, investment advice, or catalog admission." ], "Timing and cost sensitivity": [ "No costs are claimed. Lag zero is lookahead-only; all primary evidence uses at least one available-bar lag." ], "Trial ledger": [ { "iteration_number": 1, "objective": "Map the SHA-verified CMHI narrative, execute labeled public proxy variants, diagnose timing/regime behavior, and publish derived evidence without native indicator admission.", "status": "completed" } ], "Validation protocol": {}, "What did not work": [ "No tested path establishes native CMHI parity, a source-faithful BUY/re-entry rule, or independent macro confirmation." ], "What had to be inferred": [ "This campaign tests explicitly labeled SPY, synthetic breadth, ^VIX, INDPRO, and UNRATE public analogues; no result is native CMHI evidence." ], "What the signal looks like": [ "The interactive lab shows the seven tested inferred/proxy signal and equity paths; the charts are not native CMHI observations." ], "What the source claims": [ "The article states that CMHI Stock Market Health Diffusion at zero advises zero stock-market exposure / cash positions.", "Just 3 of 7 major Bear-market paw-prints bearish puts the Diffusion at zero and advises cash positions.", "The page narrates below-zero new-long-term-high breadth, below-zero NYSE+S&P 500 shares above long-term moving averages, and below-zero net advancing volume breadth.", "Seasonality is forecast to switch from +1 to -1 on 2015-09-01, creating a fourth bearish paw-print and likely composite-below-zero condition.", "The source cautions that rapid declines can create transient CMHI-below-zero visits and recommends watching sustained internals, macro, volatility, and SP-500 behavior.", "No source-linked daily CMHI Diffusion, seven paw-print series, complete formulas, or point-in-time release/vintage history is captured for this row.", "No explicit BUY, re-entry, instrument, weights, holding period, costs, fill, or same-day execution rule is disclosed.", "This campaign tests explicitly labeled SPY, synthetic breadth, ^VIX, INDPRO, and UNRATE public analogues; no result is native CMHI evidence." ], "What to try interactively": [ { "name": "variant", "note": "Select among inferred proxy families and the lag-0 control; none is native CMHI.", "type": "enum", "values": [ "cmhi-three-of-seven-lb12-lag1-t0", "cmhi-three-of-seven-lb6-lag1-t0", "cmhi-three-of-seven-lb21-lag1-tneg05", "cmhi-three-of-seven-lb12-lag2-t0", "cmhi-market-internals-lb12-lag1-t0", "cmhi-macro-confirmed-lb12-lag1-t0", "cmhi-three-of-seven-lb12-lag0-control" ] }, { "name": "lookback_months", "note": "Exploratory neighbor for undisclosed long-term windows.", "type": "integer", "values": [ 6, 12, 21 ] }, { "name": "component_threshold", "note": "Exploratory rolling-z-score boundary; source only documents below-zero signs.", "type": "float", "values": [ 0.0, -0.5 ] }, { "name": "lag_bars", "note": "Lag 1/2 are causal candidates; lag 0 is research-only sensitivity.", "type": "integer", "values": [ 0, 1, 2 ] }, { "name": "risk_off_sleeve", "note": "Inferred overlay sleeves; source only says cash/zero equity.", "type": "enum", "values": [ "IEF", "BIL" ] } ], "What worked": [ "A causal public proxy can be executed over a long checked-in history and approximately catches the dated 2015 event analog." ], "Why the failures appear to happen": [ "The source omits constituent definitions, release clocks, and execution semantics; proxy substitutions and sleeve spans therefore introduce model and timing risk." ] }, "title": "RecessionAlert Bear Market High-Risk Alert \u2014 public-proxy campaign" }, "campaign": { "campaign_id": "recessionalert-bear-market-high-risk-1359", "iteration_number": 1, "research_tags": [ "data_limited", "fidelity_mismatch", "parameter_sensitive", "regime_dependent", "predictive_not_tradable", "interesting_negative_result", "needs_more_research", "candidate_for_confirmation", "useful_as_filter", "useful_as_portfolio_overlay" ], "status": "published", "title": "RecessionAlert Bear Market High-Risk Alert \u2014 public-proxy campaign" }, "candidate_frontier": [ { "category": "simplest_reasonable", "id": "cmhi-three-of-seven-lb12-lag1-t0", "interpretation": "Causal proxy preserving the only explicit source threshold; descriptive baseline, not native fidelity." }, { "category": "best_long_history", "id": "cmhi-three-of-seven-lb12-lag2-t0", "interpretation": "More conservative two-bar lag on the same long IEF-overlap." }, { "category": "best_source_fidelity", "id": "cmhi-market-internals-lb12-lag1-t0", "interpretation": "Closest market-internals proxy family, with 43 months of warning disagreement." }, { "category": "most_stable", "id": "cmhi-three-of-seven-lb21-lag1-tneg05", "interpretation": "Long/strict neighbor is nearly flat in recent data and exposes parameter sensitivity." }, { "category": "best_portfolio_complement", "id": "cmhi-macro-confirmed-lb12-lag1-t0", "interpretation": "Current implementation duplicates the count proxy; retained as a failed confirmation distinction." }, { "category": "best_return", "id": "cmhi-three-of-seven-lb12-lag0-control", "interpretation": "Lookahead control only; excluded from all causal conclusions." } ], "candidate_variants": [ { "claim_kind": "inferred_best_guess", "family": "three_of_seven", "id": "cmhi-three-of-seven-lb12-lag1-t0", "label": "causal best guess", "lag_bars": 1, "lookback_months": 12, "metrics": { "cagr": 0.09355393452016214, "max_drawdown": -0.24659452514828128, "observations": 288, "sharpe": 1.0766297419218747, "sortino": 1.646828832800302, "total_return": 7.489233516798109, "volatility": 0.08654076442809143 }, "threshold": 0.0 }, { "claim_kind": "inferred_nearby_variant", "family": "three_of_seven", "id": "cmhi-three-of-seven-lb6-lag1-t0", "label": "exploratory nearby variant", "lag_bars": 1, "lookback_months": 6, "metrics": { "cagr": 0.0690005373653737, "max_drawdown": -0.2295123007786085, "observations": 288, "sharpe": 0.8040205617169417, "sortino": 1.2076174976030891, "total_return": 3.931859664831185, "volatility": 0.08768852454140699 }, "threshold": 0.0 }, { "claim_kind": "inferred_nearby_variant", "family": "three_of_seven", "id": "cmhi-three-of-seven-lb21-lag1-tneg05", "label": "exploratory nearby variant", "lag_bars": 1, "lookback_months": 21, "metrics": { "cagr": 0.09423166951686568, "max_drawdown": -0.2717499734849895, "observations": 288, "sharpe": 0.9656211009728694, "sortino": 1.4777508291697201, "total_return": 7.615954271749251, "volatility": 0.09824821553903851 }, "threshold": -0.5 }, { "claim_kind": "inferred_nearby_variant", "family": "three_of_seven", "id": "cmhi-three-of-seven-lb12-lag2-t0", "label": "exploratory nearby variant", "lag_bars": 2, "lookback_months": 12, "metrics": { "cagr": 0.08729759307621188, "max_drawdown": -0.19083740838949725, "observations": 288, "sharpe": 0.9723775543282327, "sortino": 1.5217383902141723, "total_return": 6.400775425785393, "volatility": 0.0902160351968879 }, "threshold": 0.0 }, { "claim_kind": "inferred_family_variant", "family": "market_internals", "id": "cmhi-market-internals-lb12-lag1-t0", "label": "exploratory nearby variant", "lag_bars": 1, "lookback_months": 12, "metrics": { "cagr": 0.09022563331453348, "max_drawdown": -0.26436537118388936, "observations": 288, "sharpe": 0.9503377889843186, "sortino": 1.3627900888880466, "total_return": 6.89240188165869, "volatility": 0.09571663347143253 }, "threshold": 0.0 }, { "claim_kind": "inferred_family_variant", "family": "macro_confirmed", "id": "cmhi-macro-confirmed-lb12-lag1-t0", "label": "exploratory nearby variant", "lag_bars": 1, "lookback_months": 12, "metrics": { "cagr": 0.09355393452016214, "max_drawdown": -0.24659452514828128, "observations": 288, "sharpe": 1.0766297419218747, "sortino": 1.646828832800302, "total_return": 7.489233516798109, "volatility": 0.08654076442809143 }, "threshold": 0.0 }, { "claim_kind": "control_only", "family": "three_of_seven", "id": "cmhi-three-of-seven-lb12-lag0-control", "label": "lookahead control", "lag_bars": 0, "lookback_months": 12, "metrics": { "cagr": 0.19839941039682496, "max_drawdown": -0.1687621934028326, "observations": 288, "sharpe": 2.0284515927562805, "sortino": 4.538699116999278, "total_return": 74.81705284717874, "volatility": 0.09159964218527708 }, "threshold": 0.0 } ], "event_tables": [], "evidence": {}, "execution_assumptions": {}, "interactive_specs": [ { "name": "variant", "note": "Select among inferred proxy families and the lag-0 control; none is native CMHI.", "type": "enum", "values": [ "cmhi-three-of-seven-lb12-lag1-t0", "cmhi-three-of-seven-lb6-lag1-t0", "cmhi-three-of-seven-lb21-lag1-tneg05", "cmhi-three-of-seven-lb12-lag2-t0", "cmhi-market-internals-lb12-lag1-t0", "cmhi-macro-confirmed-lb12-lag1-t0", "cmhi-three-of-seven-lb12-lag0-control" ] }, { "name": "lookback_months", "note": "Exploratory neighbor for undisclosed long-term windows.", "type": "integer", "values": [ 6, 12, 21 ] }, { "name": "component_threshold", "note": "Exploratory rolling-z-score boundary; source only documents below-zero signs.", "type": "float", "values": [ 0.0, -0.5 ] }, { "name": "lag_bars", "note": "Lag 1/2 are causal candidates; lag 0 is research-only sensitivity.", "type": "integer", "values": [ 0, 1, 2 ] }, { "name": "risk_off_sleeve", "note": "Inferred overlay sleeves; source only says cash/zero equity.", "type": "enum", "values": [ "IEF", "BIL" ] } ], "limitations": [ "The native CMHI Diffusion series and seven paw-print component history are absent; checked-in synthetic breadth and public macro/market proxies are not equivalent inputs.", "Long-term high/low, moving-average, volume-breadth, Seasonality, Momentum, and Weekly Economic Index formulas are incomplete or undisclosed.", "Native publication lag, point-in-time availability, release/vintage timestamps, revisions, and calculation clock are unknown; archival fetch delay is not a release lag.", "The source provides only risk-off cash advice. BUY/re-entry, target weights, instrument, holding period, costs, fills, and same-day timing are not disclosed; overlay sleeves are inferred.", "The lag-0 control is lookahead-only; causal conclusions use lag 1 or 2. Event windows and returns are descriptive exploratory metrics, not independent validation or investment advice.", "The macro-confirmed candidate currently duplicates the count proxy and must not be treated as independent evidence." ], "parameter_grids": [], "provenance": { "article_published_at": "2015-08-25T17:23:00-0400", "common_span": "1993-01-31/2026-07-31", "inventory_path": "research/findings/recessionalert_inventory.md", "manifest_path": "research/artifacts/recessionalert/manifest.json", "native_fidelity": false, "proxy_database": "data/market.sqlite (read-only)", "proxy_series": [ "SPY", "__SYNTH_SPXBREADTH200__", "__SYNTH_SPXBREADTH50__", "^VIX", "INDPRO", "UNRATE", "IEF", "BIL" ], "publication_lag": "Unknown for native CMHI; proxy experiments use month-end latest-available observations plus one or two available-bar lags.", "redistribution": "Derived proxy values, charts, summaries, hashes, and specs only; no cached page HTML/assets, credentials, cookies, or private account data.", "revision_policy": "Native CMHI revision/vintage policy is undisclosed; local FRED/Yahoo cache provides observation dates only and no source bytes are redistributed.", "snapshot_database": "data/recessionalert.sqlite (read-only)", "source_fetched_at": "2026-08-22T23:45:17Z", "source_page_sha256": "sha256:9bead77031d36f389d1b2204111f926fce443af211023b6ccda3a4febb59000a", "source_page_url": "https://recessionalert.com/bear-market-high-risk-alert/" }, "regime_tables": [], "schema_version": "research-publication/v1", "series": { "availability": "unavailable", "dates": [], "reason": "No reproducible underlying price and signal-input series are published for this expression." }, "signals": { "spec": null, "specs": [] }, "trial_ledger": [] }