meta regime gate 4
What it checks
When the MS-MLE benchmark regime classifies the market as bear/storm/volatile, this gate forces position to 0 — the highest-AUROC of the five champion-failure gates.
Mechanism
Cluster of promoted alpha-v2 champions that fail on days the MS-MLE benchmark regime is bear/storm/risk_off/volatile. Highest discovered AUROC of the five promoted gates (0.71) — most-confident trigger.
Signal rule
position = 0 when yesterday's regime ∈ {bear, storm, risk_off, volatile}; else SMA50 > SMA200Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
market_regime_dailyWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- TBD post-promote
- Paper window
- 1y holdback
Captures avoided drawdown on risk-off regime days for cluster #4 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.
meta regime gate 1Meta-regimeCluster 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.
Explore meta regime gate 4 on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.