Market Regime: Bull or Bear Market Today?

How the market regime is measured

Seven mechanical signals, each with a fixed threshold: the S&P 500 against its 200-day average, a two-state hidden Markov volatility model on daily returns, the VIX term structure, the share of stocks above their 200-day average across our universe, the Baa credit spread, the 10-year minus 3-month Treasury spread, and the Sahm rule for unemployment. A risk level counts the red and amber lights, and since 2000 a 10% or larger drop within three months followed low-risk days about 8% of the time, elevated days 18% and high-risk days 36%. The reading updates every trading day and is free to read. How to read the market regime.