US Equity Market Risk & Regime Signals (Daily)

Daily classification of U.S. equity market conditions—market state, severity level, breadth health, and stress flags—designed to help institutional investors condition exposure and manage drawdown risk across market environments.

**This is Market Risk Infrastructure (MRI), not an alpha engine.** It governs *how much* exposure is appropriate, not *what* to own.

## The Problem This Solves

Most risk systems react to drawdowns after they've materialized. A -20% drawdown requires +25% to recover; a -30% requires +43%. Market stress typically surfaces internally—breadth deterioration, liquidity strain, correlation spikes—before it shows up in headline indices. MRI reads these undercurrents and classifies market conditions daily, providing lead time to adjust exposure.

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## Historical Validation (January 2020 – December 2025)

**Six years of daily, point-in-time observations** spanning multiple distinct market environments: COVID-19 crash, post-COVID liquidity surge, 2022 rate-hiking bear market, regional banking stress (SVB), narrow Mag-7 leadership, and policy-driven tariff volatility.

Stress Period Behavior

The system flagged stress periods across the validation window, including COVID-19, the 2022 bear market, regional banking stress, and 2025 tariff volatility.

**Stress Events Identified (**contact for detailed backtest whitepaper)

**Period | Date Flagged | Max DD | Start State / Severity | Market Event**

Jan 2020 |2020-01-27 | -31.9% | HIGH_RISK / EXTREME | COVID-19 crash

Sep 2020 | 2020-08-31 | -9.7% | HIGH_RISK / HIGH | Tech rotation, Sept correction

Dec 2021 | 2021-12-27 | -10.4% | CAUTION / NORMAL | Omicron volatility

Jan 2022 | 2022-01-18 | -9.2% | HIGH_RISK / EXTREME | Bear market onset, Fed pivot

Apr 2022 | 2022-04-07 | -12.6% | MOMENTUM_OK / EXTREME | Sustained rate shock, bear mkt

Aug 2022| 2022-08-23 | -13.2% | MOMENTUM_OK / EXTREME | Bear mkt, inflation persistence

Feb 2023| 2023-02-21 | -5.1% | HIGH_RISK / HIGH | Regional bank stress (SVB)

Sep 2023| 2023-09-21 |-6.1% | HIGH_RISK / NORMAL | Q4 correction, rates spike

Jul 2024 | 2024-07-12 |-8.4% | HIGH_RISK / NORMAL | Global vol spike, FX-driven risk

Feb 2025| 2025-02-10 |-13.9% | CAUTION / EXTREME | Tariff volatility, policy uncertainty

Date Flagged reflects the first day the system exited MOMENTUM_OK/ NORMAL using only information available as of that date.

## Two-Layer Signal Architecture

The system separates **structural market conditions** from **acute stress dynamics**, answering two distinct questions daily:

State Layer (Structural Health): **MOMENTUM_OK → CAUTION → HIGH_RISK**

Measures market health over weeks to months. *"Is the environment conducive to sustained risk-taking?"*

Severity Layer (Acute Stress)**: NORMAL → ELEVATED → HIGH → EXTREME**

Captures short-term shocks over days. *"Is there an immediate shock requiring rapid response?"*

**These layers operate independently.** A HIGH_RISK state with NORMAL severity reflects fragile structure without active panic. This separation enables differentiated responses: grinding deterioration and sudden shocks demand different risk actions.

## Why MRI Detects Stress Earlier Than Common Market Indicators

**Multi-factor composite:** Combines breadth, volatility structure, liquidity conditions, divergence, stretch, and state duration—not reliant on a single slow trend line.

**Hysteresis design:** Asymmetric entry/exit thresholds prevent state flicker while responding when risk meaningfully changes.

**Shock override layer:** When stress accelerates, binary flags force HIGH_RISK regardless of score—markets often move faster than slow filters.

## Dataset Coverage

Index Universe

**Index | Universe | Use Case**

SPY | S&P 500 | Broad market benchmark

QQQ | Nasdaq-100 | Growth/tech exposure

IWM | Russell 2000 | Small cap exposure

DIA | Dow Jones Industrial | Blue chip/value

IWB | Russell 1000 | Large cap broad

Each index computed independently. **Divergence is signal**—when SPY shows MOMENTUM_OK but IWM shows HIGH_RISK, that's information about rotation or risk-off dynamics.

## What This Dataset Enables

**Exposure Conditioning** — Systematic rules for scaling gross/net exposure based on state and severity combination. Reduce during HIGH_RISK (any severity) or elevated severity (any state); full deployment during MOMENTUM_OK / NORMAL.

**Drawdown Control** — Early warning from either layer provides lead time to tighten stops, add hedges, or reduce position sizes before stress materializes in prices.

**Regime-Aware Factor Stacking** — Condition factor models on state × severity. Momentum behaves differently in HIGH_RISK / NORMAL (grinding stress) vs HIGH_RISK / EXTREME (acute crisis) vs MOMENTUM_OK / NORMAL (supportive).

**Backtest Conditioning** — Six years of point-in-time state and severity data enables two-dimensional regime-conditional backtesting without look-ahead bias.

## Model Transparency & Auditability

- **No black boxes.** The system uses interpretable, rule-based logic—not opaque neural networks.
- **Deterministic:** Identical inputs always produce identical outputs
- **Decomposable:** Every classification traces to observable factor contributions
- **Auditable:** Stable logic documentable for compliance
- **No retraining:** Production system does not adapt or drift

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## Update Frequency

**Daily** — Trading days only, posted after market close by 20:00 ET

<br/>**Optional Visualization Access**<br/>Institutional users can reference supplementary visual representations of this dataset via **AltQuant Access (altquant.ai)**. These views reflect the same underlying Snowflake-shared data and adhere to identical plan-based access and delay rules.

原始信息汇总

US Equity Market Risk & Regime Signals (Daily) 数据集概述

数据集名称

US Equity Market Risk & Regime Signals (Daily)

提供商

altquant.ai

访问模式

免费试用（Trial: 30 day trial）

数据集描述

该数据集提供美国股市市场风险状态、广度动量以及趋势结构的每日系统性信号。它为机构研究和量化工作流程提供结构化的、系统性的股票市场状况视图。

数据集提供每日指标，涵盖市场风险状态、参与度和广度动态、波动性和流动性状况、趋势结构、宏观背景以及主要美国股票领域的压力标志。输出是确定性的、时间点准确的，并设计用于直接集成到投资组合构建、风险管理、研究流程和AI原生分析系统中。

关键覆盖领域

• 市场风险状态：波动性和趋势状态的系统性分类。
• 广度与参与度：超越价格的市场内部实时评估。
• 结构性压力：流动性和波动性错位的早期预警标志。
• 宏观背景：股票行为与更广泛的宏观/利率环境的一致性。

业务需求

• 风险分析：提供对股票市场风险状态、波动性压力、流动性状况和结构性脆弱的每日系统性可见性。
• 市场分析：提供跨主要美国股票领域的状态、广度和参与度、趋势一致性和压力状况的结构化市场层面视图。
• 量化分析：提供适用于因子研究、状态调节、特征工程和回测的干净、确定性指标。
• 投资组合构建：通过为敞口规模、风险状况和配置约束提供系统性输入，支持基于状态的投资组合构建。
• 资产配置：通过识别风险偏好、混合和风险规避环境，实现跨股票部分的动态配置决策。
• 基本面分析：为评估投资主题、宏观叙事和市场结构的自由裁量和系统性研究团队提供一致的市场背景。

数据字典

• MACRO_CONTEXT_DAILY
• MARKET_PARTICIPATION_DAILY
• MARKET_REGIME_STATE_DAILY
• MARKET_STRESS_FLAGS_DAILY
• RISK_APPETITE_SUMMARY_DAILY
• • 2 objects

类别

• Financial
• Fundamental Analysis
• Market Analysis
• Quantitative Analysis
• Risk Analysis

更新频率

每日（Daily）

时间覆盖范围

最近6年（Last 6 years），按天（By day）

地理覆盖范围

美国（United States），按国家（By country）

云区域可用性

AWS

• Africa (Cape Town)
• Asia Pacific (Jakarta)
• Asia Pacific (Mumbai)
• Asia Pacific (Osaka)
• 46 More

法律条款

标准（Standard）

联系方式

• 销售（Sales）：[e-mail]
• 支持（Support）：[e-mail]

关于提供商

AltQuant.ai 是一家量化情报提供商，为机构投资者、系统性策略和数据驱动的研究团队提供生产级数据集。其设计基础数据层，在投资组合构建、风险管理和策略开发的上游运行。