Macro regime
Cross-asset regime gauges. VIX = realized fear, T10Y2Y = recession leading
indicator (inversion → recession risk), NFCI = financial stress (positive = tight),
USEPUINDXD = Baker-Bloom-Davis economic policy uncertainty, BAMLH0A0HYM2 = high-yield credit OAS.
Use these to gate strategies: low-vol works in calm regimes; momentum dies in recessions.
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VIX (volatility)
Yield curve (2y vs 10y)
2y:
10y:
10y−2y spread:
Recession probability (NY Fed)
NFCI (financial conditions)
EPU (policy uncertainty)
z(1y):
HY credit OAS
High-yield bond spread
Regime gates (rule-based)
| Gate | Current | Trigger | Strategies that benefit when ON |
|---|---|---|---|
| YC inverted | 10y − 2y < 0 | ↓ momentum, ↑ defensive (low-vol, dividend, quality) | |
| VIX bucket | <15 calm, 15-25 normal, 25-40 elevated, >40 crisis | low-vol best in 'normal'/'elevated'; mean-reversion best in 'crisis' | |
| NFCI tight | NFCI > 0 | ↓ small-cap risk-on, ↑ quality, ↑ short-term mean-reversion | |
| Recession likely | NY Fed model > 50% | ↓ growth/momentum, ↑ defensive, ↑ cash |
Data: VIX + 10y/2y from yfinance proxies live. NFCI/EPU/RECPROUSM156N require FRED API key (set
FRED_API_KEY in .env and run scripts/ingest_macro.py on VPS to populate).