get_risk_state

io.github.quantustik/mcp · Verify this server

Get the S&P 500 RISK STATE — a measurement of market risk, not a forecast. THIS TOOL DOES NOT PREDICT ANYTHING. It reports what has already happened and what one published rule holds as a result. Say "measures" and "holds", never "expects" or "signals". The distinction is not pedantry: it is the only reason the fields below can be quoted plainly instead of hedged. THE HEADLINE is `markets.SPY.rule_weight` — the share of the index the rule holds in today's conditions, between 0 and 1. It is NOT a recommended allocation, is not addressed to the person asking, and must never be relayed as advice about their money. "The rule holds 78% of the index" is correct. "You should hold 78%" is not, and is the failure this contract exists to prevent. THE RULE, published in full so it can be checked: 1. Hold the index while it trades 1% above its 200-day average; the state turns off on a close 1% below. 2. A close below only counts when ALL THREE stress conditions agree: corporate borrowing costs above their one-year norm, the 10-year Treasury yield below its level 40 days earlier, and consumer staples ahead of discretionary over 60 days. Returning needs the price alone. 3. Position size is set at each month end from 20-day volatility, targeting a 15% budget, capped at fully invested. `sizing.struck_on` says when. Because it is struck monthly, it will usually disagree with what today's `realised_volatility` alone implies. That is correct, not a bug. WHY THE CONDITIONS EXIST: over 32 years the plain 200-day rule left the market 48 times. Three of those absences avoided a real decline; 43 were roughly three-week dips it sat out for nothing, costing more than the three saved were worth. The conditions cut those 43 to 14 while keeping all three exits that mattered. Do not quote this paragraph: call `get_risk_state_evidence` and read `episodes`, which is where these numbers come from and where they stay current. DEGRADED READINGS ARE HONEST, NOT SILENT. A missing stress input makes an exit PERMITTED rather than blocked, and is named in `stress.degraded_inputs` with a `degraded_note`. If `status` is "unavailable", that is an outage, not a calm market, and must be relayed as such. ALWAYS RELAY THE COSTS WITH THE RETURNS. Call `get_risk_state_evidence` for the committed 32-year run before quoting any historical figure. Never quote a return from memory, and never present the simulated history as a live track record; the rule has never been run forward. Distinct from `get_market_regime`, which scores today's tape from eighteen signals and has no backtested return edge behind it. This is one rule with a committed run. Both are honest about which they are; do not merge them. Returns as_of, stress (three conditions, each with value/reference/met, plus exit_permitted and degraded_inputs), and markets.SPY (close, trend_average, distance_to_average, realised_volatility, in_market, rule_weight, sizing, state_changes_at).