Market risk & sentiment gauge

How this is built

Each input is turned into a 0–100 sub-score where higher = hotter. The composite is the weighted average of the sub-scores that have data on that day; missing inputs are dropped and the other weights re-scale to 100%. No gaps are filled with made-up values. If less than 40% of the weight has data, no score is shown.

Equity price risk leans on URTH (iShares MSCI World ETF proxy for developed markets) rather than the US alone — the same series as global equities and seasonality, not the licensed MSCI index. Each price measure is a pair: with both series available, URTH takes 80% of the pair and the S&P 500 20% as a cross-check (all-time-high distance 14.4% + 3.6%, weekly RSI 8.64% + 2.16%, daily RSI 5.76% + 1.44%, 200-day trend 8% + 2%). On any day one series has no data (including before URTH history ~Jan 2012), the other takes the pair's full share (18% / 10.8% / 7.2% / 10%), so the price-risk block stays at 36% and trend at 10%.

Seasonality (8%). Some calendar months have historically been stronger than others. For each date the gauge takes that calendar month's average return and green-month odds on the same equity base — URTH monthly returns where URTH has them (from Feb 2012), the S&P 500 before that, back to 1950 — using only months completed before the date, so history is never scored with hindsight. Each figure is compared with the average across all prior months and measured in standard errors, so a thin or noisy record counts for less: 50 is an average month, and each half (return, odds) moves 12.5 points per standard error, capped 0–100. A month needs at least 10 prior years before it is scored. The tag next to the score reads Seasonal tailwind at 60+, Seasonal headwind at 40 or below, and seasonally neutral in between, with the points it adds or takes away vs an average month. Seasonal tendencies are averages across many years and any single month can buck them.

Credit spreads (10%). The extra yield investors demand to hold Moody's Baa-rated corporate bonds over the 10-year Treasury (FRED BAA10Y) tends to widen when stress builds and narrow when risk appetite is strong. For each date the gauge takes the previous session's spread and ranks two things against every month completed before the date: the spread's level, and its change over the last three months. The sub-score is 100 minus the average of those two percentiles, so wide or widening spreads read cold and tight or tightening spreads read hot. Before daily data starts (Jan 1986) the ranking history uses monthly Moody's BAA minus long-term Treasury yields back to 1925. Nothing after the date is ever used.

Trend (10%). Half the sub-score is how far price sits from its 200-day simple moving average (−10% or lower → 0, on the average → 50, +10% or higher → 100) and half is that average's slope over the last 21 sessions (−2% or worse → 0, flat → 50, +2% or more → 100). URTH leads with the S&P 500 as the paired cross-check, like the other price inputs.

Weight history. Seasonality came in at 10% with every other weight scaled by 0.9. Credit spreads and trend then came in at 10% each, with every earlier weight (seasonality included) scaled by 0.8, so the older inputs keep the same ratios to each other. In an Adirindin backtest against the Dow (weights set on pre-2000 data, tested on 2000–2026), the two additions modestly improved how well low readings lined up with larger drawdowns and higher volatility ahead. They did not make the gauge any better at calling returns. It remains a mood and risk-backdrop reading, not a timing model.

Base chart. The line under the score history is a price overlay you can switch between the S&P 500 (default), the Nasdaq Composite and URTH. Each is drawn on its own log scale for visual context. Switching it does not change the score or the weights above — the composite always uses the URTH / S&P 500 pair as described.

Smoothing. The daily composite can jump a few points on one-day moves (a VIX pop, a Fear & Greed swing), which made the mood zones twitchy. By default the score line, big number, zone and mood arc show a 10-trading-day exponential moving average (EMA) of the daily composite: recent days count most and older days fade out. 5- and 21-day versions are there too, and Raw shows each day exactly as computed. Over the last ten years the 10-day average cuts zone changes by roughly two-thirds and trails real turns by about three sessions. Smoothing is display-only — it does not change any input, weight or the day's raw blend, which the breakdown table always shows.

score = Σ (weightᵢ × subᵢ) ÷ Σ weightᵢ  (over inputs with data)

Group totals: price risk 36% (URTH 28.8% · S&P 500 7.2%) · trend 10% (URTH 8% · S&P 500 2%) · volatility 10.8% · credit 10% · sentiment 14.4% · attention 3.6% · cycle calendar 7.2% · seasonality 8%. Cycle calendars are kept light on purpose — frameworks, not measurements.

Zones

Mood arc

The arc is an Adirindin sketch of how crowd mood tends to loop: washout, repair, a grind higher, a hot market, euphoria-leaning, then cracks, cooling and an unwind. The dot's height is the score; it sits on the rising side when the score is at or above its level about three months earlier and on the falling side when below. It describes where readings are, not where they go next.