meta regime gate 1
What it checks
When VIX spikes more than 1σ above its 60d mean, this gate forces position to 0 — derived from a cluster of champions whose failures all land on those days.
Mechanism
Cluster of promoted alpha-v2 champions that consistently underperform when the 60d-z-score of VIX exceeds +1.0 (panic-spike regime). Their shared failure IS the alpha: gating long exposure to 0 on those days flips the failure into avoided drawdown.
Signal rule
position = 0 when vix_z_lag1 > 1.0; else SMA50 > SMA200
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
vix_pricesWorker data table — see services/worker schema.
market_regime_dailyWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- TBD post-promote
- Paper window
- 1y holdback
Captures the avoided drawdown on the bottom-decile failure days for cluster #1 champions.
Related families
macro regimeMacroBeyond regime_overlay (#10) which uses VIX + SPY trend, this family keys off the macro regime detected from FRED data: term-spread inversion (10Y−2Y < 0), credit-spread widening or compression (BAA−10Y z), and Fed funds cycle direction. Single-name version: gate the simple long-trend signal (SMA50 > SMA200) on the FRED macro regime — full long only in risk-on, half-size in neutral, flat in risk-off, short in inversion.
regime overlayMacroGate exposure to a stock by SPY trend + VIX level. Stay long only when SPY is above its 200-day moving average AND VIX is below its rolling median (60-day expanding). The AND variant requires both filters to fire; an OR_spy_only variant relaxes the VIX gate so you keep exposure during low-vol pullbacks even when the breadth filter is mixed.
Explore meta regime gate 1 on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.