regime-audit

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更新时间2026年7月12日 23:10

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.

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来源

rgourley

rgourley/quant-garage

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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.

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name

regime-audit

description

regime-audit

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.