Macro Assessment
Overview
The Macro Assessment engine provides a real-time, quantitative evaluation of the overall market environment. It analyzes 19 institutional-grade macroeconomic indicators to determine the current risk regime: RISK_ON, RISK_OFF, or NEUTRAL. This assessment is used to inform trading decisions, adjust risk parameters, and provide context for automated strategies.
Core Components
The assessment algorithm aggregates data from 19 indicators across four primary pillars:
1. Volatility (VIX & MOVE)
- VIX (Equities): We analyze the CBOE Volatility Index to gauge market fear. Low VIX (< 20) is constructive, while spikes above 30 indicate high stress.
- MOVE (Bonds): The Treasury Volatility Index measures stability in the bond market. Elevated MOVE readings often precede equity de-risking.
2. Credit & Liquidity
- Yield Curve (10Y-3M): Monitors growth expectations. Inversions (negative values) are primary recession warnings.
- Credit Health (HYG): Tracks high-yield corporate bonds. Weakness often precedes broad equity sell-offs.
- Credit Spreads (LQD): Comparing investment-grade bonds against Treasuries reveals corporate borrowing stress.
- Banking Health (KRE): Regional banks act as the primary transmission mechanism for domestic liquidity.
3. Market Internals & Breadth
- Market Trend (SPY): Analyzes the S&P 500 against its 200-day moving average to define the primary trend.
- Advance/Decline (NYA): Measures the net number of stocks rising versus falling to confirm trend quality.
- Breadth Quality (RSP/SPY): Compares equal-weight vs. cap-weight performance to detect high-concentration fragility.
- Small Caps (IWM): Outperformance in small caps is a key sign of “risk-on” rotation.
- Technology Leadership (QQQ): Tracks Nasdaq-100 leadership as an additional growth and technology risk-appetite signal.
4. Global Context & Sentiment
- Put/Call Ratio (PCCR): Extremes act as powerful contrarian signals for market reversals.
- Global Risk (EEM): Monitors stress in emerging markets and global liquidity.
- Global Leadership (FXI): China’s credit cycle often leads global risk sentiment.
- Commodities (Copper, Gold, Oil): Dr. Copper tracks industrial demand, while Gold serves as a safe haven and inflation hedge.
- Risk Appetite (BTC): Bitcoin acts as a leading indicator for global speculative liquidity.
Scoring & Weighting System
The engine computes a Weighted Macro Score (0-100) using specific importance factors for each indicator:
| Indicator |
Weight |
Pillar |
| VIX |
15% |
Volatility |
| Market Trend (SPY) |
15% |
Trend |
| TNX / Yield Curve |
20% |
Rates |
| Credit (HYG/LQD) |
13% |
Credit |
| Breadth (NYA/RSP) |
7% |
Internals |
| Others (BTC, Commodities, DXY) |
30% |
Macro Context |
Status Thresholds
- 65-100 (
RISK_ON): Constructive environment. Standard or aggressive sizing favored.
- 36-64 (
NEUTRAL): Mixed signals. Caution and selective rotation advised.
- 0-35 (
RISK_OFF): Defensive posture. Focus on capital preservation and hedging.
The regime is derived from the same rounded weighted score returned to the app. The score, regime label, allocation guidance, and gauge color therefore always use these inclusive boundaries.
Integration
The Macro Market State card provides an at-a-glance view of the current status, score, trend icons, and additional indicators (Put/Call, A/D, Risk Appetite).
Macro Assessment Dashboard
A dedicated dashboard view (MacroAssessmentDashboardWidget) expands the assessment into detailed panels:
- Indicators Pulse: A 19-pillar heatmap providing a real-time snapshot of every indicator’s signal and trend.
- Detailed Indicator Sheets: Tap any pillar to see its current value, momentum tracking, weighted impact, and descriptive analysis.
- Regime Transition Matrices: Visualization of “Signal Breadth” to see if the majority of indicators confirm the current status.
- Dynamic Charting: Regime-colored score gauge with markers at the 35/65 boundaries, plus score history and regime-transition inspection.
Automated Trading Integration
- Adaptive Position Sizing: In
RISK_OFF regimes, automated agents are programmed to automatically reduce position sizes (e.g., 50% reduction).
- Regime-Aware Strategy Selection:
- Risk-On: Priority on Bull Call Spreads, Long Calls, and Cash Secured Puts.
- Risk-Off: Priority on Bear Put Spreads, Long Puts, and Covered Calls.
- Neutral: Priority on Iron Condors, Calendar Spreads, and Butterfly Spreads.
- RiskGuard Enforcement: Advanced risk controls use macro status as a multiplier for sector limits and drawdown protection.
Historical Tracking
The AgenticTradingProvider now maintains a history of previous macro assessments. This enables:
- Trend Visualization: Displaying whether the market regime is improving or deteriorating.
- Signal Correlation: Analyzing how indicator changes correspond to past performance.
- Regime Transition Alerts: Notifications when the macro score crosses key thresholds (e.g., crossing from Neutral to Risk Off).