{ "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", "interesting_negative_result", "needs_more_research", "predictive_not_tradable", "weak_edge" ], "sections": { "Agent assessment": "Useful as a documented confirmation overlay for research; not a forecasting edge and not promotable to Other/Indicators without native pins.", "Baseline implementation": { "claim_kind": "inferred", "execution": "latest available monthly proxy value, then one or more available-bar lags; lag 0 sensitivity only", "exploratory": true, "family": "syndrome-vote-proxy", "id": "syndrome_doc_lag1", "lag_bars": 1, "metrics": { "cagr": 0.09105411174938238, "max_drawdown": -0.4277536198650529, "observations": 402, "risk_off_events": 14, "risk_on_share": 0.8768115942028986, "sharpe": 0.7432491542934887, "volatility": 0.12887687706515097 }, "native_fidelity": false, "signal_side": "risk_on_when_index_at_or_above_zero", "source_provenance": { "fetched_at": "2026-08-22T23:39:30Z", "sha256": "sha256:a0a711709c28e199e85e0a6d79b9cafc44aafeef39d4df6ec183e3bf5dc8a682", "url": "https://recessionalert.com/the-nber-recession-model-project/" }, "threshold": 0.0 }, "Candidate frontier": [ { "category": "best_sharpe", "id": "be_lb6_tm05_lag1", "reason": "Highest causal Sharpe among inferred SPY/IEF overlays, but growth formula, stand-ins, sleeve, and lag are inferred.", "status": "research_only_candidate_for_confirmation" }, { "category": "best_return", "id": "syndrome_doc_lag2", "reason": "Highest causal CAGR; lag-2 neighbor of the documented-intent vote with fewer whipsaws.", "status": "research_only_candidate_for_confirmation" }, { "category": "lowest_drawdown", "id": "composite_t10_lag1", "reason": "Lowest drawdown via an over-defensive +1.0 composite bar; risk-on only 0.32 of months.", "status": "research_only_candidate_for_confirmation" }, { "category": "best_source_fidelity", "id": "syndrome_doc_lag1", "reason": "Closest to the disclosed syndrome vote and thresholds on proxy growths, but not the native Moore/Probit series.", "status": "research_only_candidate_for_confirmation" }, { "category": "simplest_reasonable", "id": "composite_doc_lag1", "reason": "Documented weights and zero bar on proxy growths; confirmation-late by design.", "status": "research_only_candidate_for_confirmation" }, { "category": "best_long_history", "id": "syndrome_doc_lag1", "reason": "Same documented vote on the longest joint 1992+ window; single-input IP extends to 1919.", "status": "research_only_candidate_for_confirmation" } ], "Combinations": "Syndrome AND composite is more defensive (risk-on 0.75) than either alone; OR resembles syndrome alone; neither claims Probit parity.", "Data": { "canonical_snapshot": "data/recessionalert.sqlite", "common_complete_rows": 415, "proxy_database": "data/market.sqlite", "proxy_inputs": [ "INDPRO", "CPIAUCSL", "UNRATE", "RRSFS", "SPY", "IEF", "BIL" ], "proxy_spans": { "BIL": "2007-05 through 2026-07", "CPIAUCSL": "1947-01 through 2026-06", "IEF": "2002-07 through 2026-07", "INDPRO": "1919-01 through 2026-06", "RRSFS": "1992-01 through 2026-06", "SPY": "1993-01 through 2026-07", "UNRATE": "1948-01 through 2026-06" }, "redistribution": "Publish derived arrays, hashes, metadata, inferred specs, and aggregate metrics only; do not copy target HTML/media or private data.", "revision_policy": "Use checked-in proxy revisions as stored; no real-time vintage archive is available. Latest-known month-end value is carried after inception; unknown source values remain unavailable.", "source": "https://recessionalert.com/the-nber-recession-model-project/", "source_fetched_at": "2026-08-22T23:39:30Z", "source_inventory": "research/findings/recessionalert_inventory.md", "source_manifest": "research/artifacts/recessionalert/manifest.json", "source_sha256": "sha256:a0a711709c28e199e85e0a6d79b9cafc44aafeef39d4df6ec183e3bf5dc8a682" }, "Historical events": "Risk-off months cluster around NBER recessions with at least one month of lag; the payroll stand-in barely fires and is reported as a negative result.", "Limitations": [ "No selected input is the native NBER co-incident observation; PAYEMS/W875RX1 are absent offline and all executable candidates are inferred public proxies.", "No Moore smoothing formula, deflator pins, Probit coefficients, optimizer detail, or release clock is disclosed; SMA/annualized stand-ins only.", "Article date is known but underlying data release clock, cutoff, vintage, and revision policy are unknown; lag 1 is campaign policy, not source disclosure.", "SPY/IEF overlays begin at sleeve inception with no backfill. Close-only gross metrics omit costs, slippage, taxes, and intramonth execution.", "Co-incident confirmation is late by design; high risk-on shares and regime decay are descriptive only and justify no fidelity or performance claims." ], "Parameter sensitivity": "Lag 2 slightly beats lag 1; strict thresholds cut events without dominating Sharpe; lag-0 controls outperform causal lags as expected.", "Portfolio contribution": {}, "Promotion status": "Not promoted \u2014 Research Library only.", "Regime behavior": "Syndrome/composite Sharpe decay from 1992-2007 (0.85/1.00) to 2008-2026 (0.66/0.75); the best-effort neighbor holds up better (0.93/0.87).", "Research questions": [ "Can the disclosed NBER co-incident syndrome-vote / weighted-composite / Probit-threshold rules be turned into labeled public-proxy confirmation overlays when the Moore formula, deflator pins, and Probit coefficients are undisclosed?" ], "Rules actually disclosed": [ "The NBER examines 4 monthly co-incident indicators: Industrial Production; real personal income less transfers deflated by PCE; nonfarm payrolls; real retail sales deflated by CPI. Less weight to IP/retail as sectoral; GDP/GDI are broadest but quarterly via a separate GDPI Model.", "This monthly NBER Model plus the quarterly GDPI Model cover all NBER inputs as a confirmation of last resort (at least 1-month lagging), not real-time forecasting; models signal up to 8 months before NBER proclamations.", "IP uses a 6-month smoothed growth rate (Prof. Moore); income a 3-month smoothed growth; payrolls a 3-month smoothed growth less 0.415; retail sales a 12-month percent change not smoothed.", "Syndrome triggers IP -1.77%, income -0.25%, payroll +0.89%, retail +0.44% (AUC/ROC optimized); each breach counts one vote; index = 2 - votes; below zero calls recession.", "Weighted composite growth index: IP 17%, income 31%, payroll 30%, retail 12%, syndrome diffusion 10% (AUC/ROC optimized); below zero triggers a recession call.", "Six-factor Probit over the 4 growths plus syndrome diffusion plus weighted composite; above 0.10 calls recession in a timely way (2 historical false alarms); above 0.40 never false-alarmed but sacrifices 1-2 months lead.", "Seven optimization vintages from Dec 1968 perform comparably out of sample (1st vs 6th correlation 0.90); the most pessimistic vintage was not flagging recession at the article date.", "The 4 series are taken from FRED St Louis monthly updated charts; no series IDs, vintages, or download hashes are pinned on this page." ], "Source": { "article_date": "2012-07-18", "fetched_at": "2026-08-22T23:39:30Z", "native_span": "1959-07 through 2012-07 optimization window (580 months scored); 7 optimization vintages from Dec 1968; 1st vs 6th vintage correlation 0.90.", "public_boundary": "Publish original summaries, source hashes, proxy provenance, inferred rules, aggregate metrics, and gaps only; omit cached HTML/media, credentials, cookies, nonce-bearing URLs, private data, and unverified native series.", "publication_lag": "Monthly co-incident, at least 1-month lagging by construction; NBER proclamations lag up to 12 months; model signals up to 8 months before NBER; subscriber charts updated monthly in a separate report; exact release clock undisclosed.", "redacted_url": "https://recessionalert.com/the-nber-recession-model-project/", "sha256": "sha256:a0a711709c28e199e85e0a6d79b9cafc44aafeef39d4df6ec183e3bf5dc8a682", "title": "The NBER co-incident Recession Model \u2013 confirmation of last resort | RecessionAlert" }, "State-space exploration": "18 labeled variants across five families on 1992-01..2026-06 (402 overlay months); see 1589_trial_ledger.json.", "Suggested next research": [ { "priority": "high", "question": "Would ALFRED-vintage PAYEMS/W875RX1 pins rescue the payroll/income stand-ins and change the NO-GO native disposition?" }, { "priority": "medium", "question": "Does the disclosed Moore smoothing formula shift 6m/3m timing enough to beat the SMA stand-in frontier?" }, { "priority": "medium", "question": "Should co-incident confirmation be paired with a leading trigger given its late-by-design nature?" } ], "Summary": [ "Documented-intent syndrome vote (lag1) Sharpe 0.743, CAGR 0.091, DD -0.428, 14 events, risk-on 0.88 on 1992-01..2026-06; trails SPY buy-hold Sharpe 0.769/CAGR 0.108 but cuts DD from -0.508 to -0.428.", "Weighted composite (lag1) Sharpe 0.866, CAGR 0.097, DD -0.356, 19 events; best documented-intent family, still confirmation-late by design.", "Best causal neighbor be_lb6_tm05_lag1 Sharpe 0.900, CAGR 0.106, DD -0.377, 13 events; threshold relaxation beats the documented level without claiming native parity.", "Probit stand-in reproduces the disclosed tradeoff: frequent (0.10-like) Sharpe 0.743 vs rare (0.40-like) 0.845 with higher selectivity.", "Payroll UNRATE stand-in is degenerate (risk-on 0.01, Sharpe 0.187): a scale mismatch to the +0.89 threshold and an interesting negative result, not a tradable signal." ], "Timing and cost sensitivity": "Causal lag>=1 only; no costs modeled; confirmation arrives 1-2 months after ideal timing, mirroring the disclosed Probit tradeoff.", "Trial ledger": [ { "iteration_number": 1, "objective": "Execute labeled NBER co-incident proxy families and publish causal exploratory evidence while preserving source gaps.", "status": "completed" } ], "Validation protocol": {}, "What did not work": "The UNRATE-inverse payroll stand-in almost never exceeds +0.89; the over-defensive composite bar sits out too much upside.", "What had to be inferred": [ "This campaign tests INDPRO/CPIAUCSL/UNRATE/RRSFS monthly proxies with SMA growth stand-ins, UNRATE-inverse payroll and INDPRO-adjacent income stand-ins, and SPY/IEF overlays; all transforms and action semantics are inferred." ], "What the signal looks like": "Monthly syndrome votes on proxy growths fire sparse risk-off months (14 events for the documented baseline); composite and Probit-stand-in variants modulate persistence. Labeled inferred, not native NBER.", "What the source claims": [ "The NBER examines 4 monthly co-incident indicators: Industrial Production; real personal income less transfers deflated by PCE; nonfarm payrolls; real retail sales deflated by CPI. Less weight to IP/retail as sectoral; GDP/GDI are broadest but quarterly via a separate GDPI Model.", "This monthly NBER Model plus the quarterly GDPI Model cover all NBER inputs as a confirmation of last resort (at least 1-month lagging), not real-time forecasting; models signal up to 8 months before NBER proclamations.", "IP uses a 6-month smoothed growth rate (Prof. Moore); income a 3-month smoothed growth; payrolls a 3-month smoothed growth less 0.415; retail sales a 12-month percent change not smoothed.", "Syndrome triggers IP -1.77%, income -0.25%, payroll +0.89%, retail +0.44% (AUC/ROC optimized); each breach counts one vote; index = 2 - votes; below zero calls recession.", "Weighted composite growth index: IP 17%, income 31%, payroll 30%, retail 12%, syndrome diffusion 10% (AUC/ROC optimized); below zero triggers a recession call.", "Six-factor Probit over the 4 growths plus syndrome diffusion plus weighted composite; above 0.10 calls recession in a timely way (2 historical false alarms); above 0.40 never false-alarmed but sacrifices 1-2 months lead.", "Seven optimization vintages from Dec 1968 perform comparably out of sample (1st vs 6th correlation 0.90); the most pessimistic vintage was not flagging recession at the article date.", "The 4 series are taken from FRED St Louis monthly updated charts; no series IDs, vintages, or download hashes are pinned on this page.", "The page supplies no Moore smoothing formula, PCE/CPI deflator pins, Probit coefficients, optimizer detail, release clock, or source-linked observation workbook; 12 chart GIFs are uncrawled with no asset SHA256.", "This campaign tests INDPRO/CPIAUCSL/UNRATE/RRSFS monthly proxies with SMA growth stand-ins, UNRATE-inverse payroll and INDPRO-adjacent income stand-ins, and SPY/IEF overlays; all transforms and action semantics are inferred." ], "What to try interactively": "Compare syndrome_doc_lag1 against composite_doc_lag1 and probitlike_rare_lag1; vary lag 1/2 and strict/relaxed thresholds.", "What worked": "Composite weighting and the relaxed best-effort threshold cut drawdown versus buy-hold while keeping most upside.", "Why the failures appear to happen": "Scale mismatch between unemployment-change units and payroll-growth thresholds; co-incident confirmation lags turning points by construction." }, "title": "The NBER co-incident Recession Model (confirmation of last resort) | RecessionAlert \u2014 exploratory proxy campaign" }, "campaign": { "campaign_id": "recessionalert-nber-coincident-1589", "iteration_number": 1, "research_tags": [ "data_limited", "fidelity_mismatch", "interesting_negative_result", "needs_more_research", "predictive_not_tradable", "weak_edge" ], "status": "published", "title": "The NBER co-incident Recession Model (confirmation of last resort) | RecessionAlert \u2014 exploratory proxy campaign" }, "candidate_frontier": [ { "category": "best_sharpe", "id": "be_lb6_tm05_lag1", "reason": "Highest causal Sharpe among inferred SPY/IEF overlays, but growth formula, stand-ins, sleeve, and lag are inferred.", "status": "research_only_candidate_for_confirmation" }, { "category": "best_return", "id": "syndrome_doc_lag2", "reason": "Highest causal CAGR; lag-2 neighbor of the documented-intent vote with fewer whipsaws.", "status": "research_only_candidate_for_confirmation" }, { "category": "lowest_drawdown", "id": "composite_t10_lag1", "reason": "Lowest drawdown via an over-defensive +1.0 composite bar; 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PAYEMS/W875RX1 are absent offline and all executable candidates are inferred public proxies.", "No Moore smoothing formula, deflator pins, Probit coefficients, optimizer detail, or release clock is disclosed; SMA/annualized stand-ins only.", "Article date is known but underlying data release clock, cutoff, vintage, and revision policy are unknown; lag 1 is campaign policy, not source disclosure.", "SPY/IEF overlays begin at sleeve inception with no backfill. Close-only gross metrics omit costs, slippage, taxes, and intramonth execution.", "Co-incident confirmation is late by design; high risk-on shares and regime decay are descriptive only and justify no fidelity or performance claims." ], "parameter_grids": [], "provenance": { "canonical_snapshot": "data/recessionalert.sqlite", "common_complete_rows": 415, "proxy_database": "data/market.sqlite", "proxy_inputs": [ "INDPRO", "CPIAUCSL", "UNRATE", "RRSFS", "SPY", "IEF", "BIL" ], "proxy_spans": { "BIL": "2007-05 through 2026-07", "CPIAUCSL": "1947-01 through 2026-06", "IEF": "2002-07 through 2026-07", "INDPRO": "1919-01 through 2026-06", "RRSFS": "1992-01 through 2026-06", "SPY": "1993-01 through 2026-07", "UNRATE": "1948-01 through 2026-06" }, "redistribution": "Publish derived arrays, hashes, metadata, inferred specs, and aggregate metrics only; do not copy target HTML/media or private data.", "revision_policy": "Use checked-in proxy revisions as stored; no real-time vintage archive is available. Latest-known month-end value is carried after inception; unknown source values remain unavailable.", "source": "https://recessionalert.com/the-nber-recession-model-project/", "source_fetched_at": "2026-08-22T23:39:30Z", "source_inventory": "research/findings/recessionalert_inventory.md", "source_manifest": "research/artifacts/recessionalert/manifest.json", "source_sha256": "sha256:a0a711709c28e199e85e0a6d79b9cafc44aafeef39d4df6ec183e3bf5dc8a682" }, "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": [] }