| name | regime-audit |
| description | Workflow composite that runs change-point-detector + hurst-exponent on SPY plus the 11 SPDR sector ETFs. Reports per-name the last detected regime shift, current persistence classification (mean_reverting / random_walk / trending), and cross-sector summary (broad_regime_shift / localized_regime_shift / trend_dominated / mean_reversion_dominated / mixed_stable). Requires Stocks Basic. Runs on the free tier. |
regime-audit
Runs change-point-detector and hurst-exponent on SPY + 11 SPDR
sector ETFs. Reports a matrix view: for each name, when the last
regime shift happened, current annualized return + vol per segment,
and the Hurst persistence classification.
Answers "where has the market regime shifted, and which sectors are
in what regime right now?"
When to invoke
- Weekly market context review
- Sector rotation prep
- "Is this a trending or mean-reverting environment?"
- The user says "regime audit", "sector regimes", "regime shift map"
What you need
MASSIVE_API_KEY exported- Stocks Basic minimum
Optional:
--tickers (default: SPY + 11 SPDR sector ETFs)--lookback-days (default 504)--lambda-run (default 250) — change-point prior mean run length
What you get back
Layer 1: JSON with per-ticker hurst, hurst_classification,
n_change_points, last_change_point_date,
last_change_point_confidence, current_segment (annualized return
- vol),
n_segments. Top-level by_regime counts,
n_shifted_recently, summary_verdict.
Layer 2: rendered note. Header verdict + summary counts, per-name
table, one-line Take.
Foundations used
- Composes
change-point-detector and hurst-exponent
- Uses
massive-api-patterns transitively.
