These indicators describe market conditions using finalized daily data. Warning scores are not crash probabilities; pullback depth is not a valuation measure. They do not instruct you to stop or restart regular contributions or change existing ETF trading rules.
Calculated 2026/11/05 16:26 JST / Data version 75ea43a1e5a585a9
Market shocks and downside warnings
Shock detection covers both gains and declines; downside warnings measure downward stress. U.S. and Japanese markets are calculated separately.
U.S. equity downside warning
Normal · 4.1 / 100
Change from the previous finalized assessment: -8.8 points / Shock detected:None
Downside shock: Contribution to the composite: 2.7 points (group value 8.9 / 100)
Trend deterioration: Contribution to the composite: 0.8 points (group value 2.0 / 100)
U.S. VIX: Contribution to the composite: 0.6 points (group value 6.4 / 100)
Improving factors:Trend deterioration · Downside shock · U.S. VIX
Drawdown from the 252-session high
-1.6%
Distance from the 50-session average
0.0%
Distance from the 200-session average
5.5%
1-session / 5-session return
1.7% / -0.7%
20-session annualized realized volatility
12.8%
Standardized return
2.6σ
Components used:trend+downside+volatility+vix. Changes from the previous assessment are not comparable when the components change. Unused optional indicators:Market breadth from historical constituents · Credit spreads (as originally published)
SPY · distributions reinvested, rebased to 100 · USD · rebased indexRed dots mark Alert or High alert sessions. Price and warning scores use separate axes and charts.Warning score history · 0–100 · not a probabilityView indicator group historiesTrend deterioration · 0–1 · group intensityDownside shock · 0–1 · group intensityRealized volatility · 0–1 · group intensityU.S. VIX · 0–1 · group intensityHistorical warning diagnostics
2024-01-02–2026-10-07 / A closing price within the next 20 trading sessions falls at least 10% below the decision close
Evaluated sessions / decline-event sessions
694 / 18
Alert sessions
20
Daily recall
0.0%
Daily precision
0.0%
False alerts as a share of alert sessions
100.0%
Worst additional decline in the 20 sessions after an alert
Daily labels overlap. Evaluation with consecutive days grouped into one episode is shown separately. This is a retrospective diagnostic of a fixed hypothesis, not a forecast or performance on an unused test period.
Annual forward evaluation (fixed rules, no retraining)
Each year is evaluated in sequence, excluding 20-session outcome labels that extend beyond year-end. Thresholds are unchanged.
Downside shock: Contribution to the composite: 18.7 points (group value 56.2 / 100)
Trend deterioration: Contribution to the composite: 17.6 points (group value 39.7 / 100)
Realized volatility: Contribution to the composite: 6.4 points (group value 28.9 / 100)
Improving factors:Realized volatility
Drawdown from the 252-session high
-15.6%
Distance from the 50-session average
-6.7%
Distance from the 200-session average
-1.4%
1-session / 5-session return
-1.8% / -4.5%
20-session annualized realized volatility
25.1%
Standardized return
-1.1σ
Components used:trend+downside+volatility. Changes from the previous assessment are not comparable when the components change. Unused optional indicators:Market breadth from historical constituents · Credit spreads (as originally published) · Japan-specific options stress indicator
Nikkei 225 · rebased to 100 at the start · JPY · rebased indexRed dots mark Alert or High alert sessions. Price and warning scores use separate axes and charts.Warning score history · 0–100 · not a probabilityView indicator group historiesTrend deterioration · 0–1 · group intensityDownside shock · 0–1 · group intensityRealized volatility · 0–1 · group intensityHistorical warning diagnostics
2024-01-04–2026-10-06 / A closing price within the next 20 trading sessions falls at least 10% below the decision close
Evaluated sessions / decline-event sessions
672 / 59
Alert sessions
64
Daily recall
13.6%
Daily precision
12.5%
False alerts as a share of alert sessions
87.5%
Worst additional decline in the 20 sessions after an alert
Daily labels overlap. Evaluation with consecutive days grouped into one episode is shown separately. This is a retrospective diagnostic of a fixed hypothesis, not a forecast or performance on an unused test period.
Annual forward evaluation (fixed rules, no retraining)
Each year is evaluated in sequence, excluding 20-session outcome labels that extend beyond year-end. Thresholds are unchanged.
Observed distributions for similar labels, excluding overlapping 120-session windows and outcomes that are not yet final. These are not results for an additional-purchase strategy. Historical coverage: 2013-01-02–2026-11-04.
Horizon
Sample count / status
Median
25th / 75th percentile
Share of positive outcomes
Worst additional decline
20 trading sessions
16 observations · Retrospective reference
2.8%
-0.9% / 5.8%
68.8%
-9.0%
60 trading sessions
16 observations · Retrospective reference
6.6%
1.3% / 8.8%
87.5%
-19.0%
120 trading sessions
16 observations · Retrospective reference
11.8%
5.2% / 14.8%
87.5%
-19.0%
Fewer than 5 observations are insufficient for reference. Consecutive days with the same label form one episode; cases overlapping within 120 trading sessions are excluded.
Individual observations and distributions
20 sessions later
2014-01-30: Return 3.9% / Minimum return during the period -2.8%
2014-10-13: Return 8.8% / Minimum return during the period -0.6%
2015-08-26: Return -0.3% / Minimum return during the period -1.4%
2016-02-23: Return 6.9% / Minimum return during the period 0.5%
2018-02-15: Return 0.8% / Minimum return during the period -2.0%
2018-10-16: Return -3.0% / Minimum return during the period -5.9%
2019-08-06: Return 2.2% / Minimum return during the period -1.4%
2020-03-25: Return 13.1% / Minimum return during the period -0.3%
2020-09-15: Return 3.3% / Minimum return during the period -4.8%
2021-10-01: Return 5.8% / Minimum return during the period -1.3%
2022-04-01: Return -8.5% / Minimum return during the period -9.0%
2023-02-08: Return -4.6% / Minimum return during the period -4.6%
2023-10-10: Return 0.6% / Minimum return during the period -5.5%
2024-04-22: Return 6.1% / Minimum return during the period 0.1%
2025-03-05: Return -2.9% / Minimum return during the period -5.4%
2025-11-21: Return 4.2% / Minimum return during the period 1.5%
60 sessions later
2014-01-30: Return 4.7% / Minimum return during the period -2.8%
2014-10-13: Return 10.5% / Minimum return during the period -0.6%
2015-08-26: Return 7.8% / Minimum return during the period -2.8%
2016-02-23: Return 7.1% / Minimum return during the period 0.5%
2018-02-15: Return 0.4% / Minimum return during the period -5.3%
2018-10-16: Return -7.7% / Minimum return during the period -15.9%
2019-08-06: Return 6.2% / Minimum return during the period -1.4%
2020-03-25: Return 25.6% / Minimum return during the period -0.3%
2020-09-15: Return 8.3% / Minimum return during the period -4.8%
2021-10-01: Return 10.2% / Minimum return during the period -1.3%
2022-04-01: Return -15.7% / Minimum return during the period -19.0%
2023-02-08: Return 0.9% / Minimum return during the period -6.2%
2023-10-10: Return 8.1% / Minimum return during the period -5.5%
2024-04-22: Return 11.0% / Minimum return during the period 0.1%
2025-03-05: Return 1.4% / Minimum return during the period -14.6%
2025-11-21: Return 4.9% / Minimum return during the period 1.5%
120 sessions later
2014-01-30: Return 11.9% / Minimum return during the period -2.8%
2014-10-13: Return 11.7% / Minimum return during the period -0.6%
2015-08-26: Return -0.1% / Minimum return during the period -4.9%
2016-02-23: Return 14.8% / Minimum return during the period 0.5%
2018-02-15: Return 5.4% / Minimum return during the period -5.3%
2018-10-16: Return 3.9% / Minimum return during the period -15.9%
2019-08-06: Return 14.7% / Minimum return during the period -1.4%
2020-03-25: Return 38.4% / Minimum return during the period -0.3%
2020-09-15: Return 14.8% / Minimum return during the period -4.8%
2021-10-01: Return 4.4% / Minimum return during the period -3.8%
2022-04-01: Return -18.1% / Minimum return during the period -19.0%
2023-02-08: Return 10.4% / Minimum return during the period -6.2%
2023-10-10: Return 20.4% / Minimum return during the period -5.5%
2024-04-22: Return 16.7% / Minimum return during the period 0.1%
2025-03-05: Return 11.3% / Minimum return during the period -14.6%
2025-11-21: Return 12.7% / Minimum return during the period -3.6%
S&P 500 · JPY
Unavailable
Pullback depth — / 100 · Change from previous assessment: Not comparable
Reference warning score:4.1 / 100 · Normal (U.S. equity warning score (context only; not specific to JPY or global equities))
SPY ETF · theoretical USD series with distributions reinvested / The JPY-per-USD exchange rate is applied once, using only bars synchronized with the U.S. close. Missing days are not forward-filled.
Distributions reinvested · rebased to 100 · JPY · rebased index
Reference warning score:4.0 / 100 · Normal (ACWI ETF prices only · global-equity market proxy)
A market proxy using an ETF tracking MSCI ACWI, not the official NAV of the Japanese All Country mutual fund. / Market analysis in USD. This differs from JPY mutual-fund NAVs and executed returns.
Observed distributions for similar labels, excluding overlapping 120-session windows and outcomes that are not yet final. These are not results for an additional-purchase strategy. Historical coverage: 2013-01-02–2026-11-04.
Horizon
Sample count / status
Median
25th / 75th percentile
Share of positive outcomes
Worst additional decline
20 trading sessions
16 observations · Retrospective reference
1.7%
-2.4% / 4.3%
56.3%
-27.2%
60 trading sessions
16 observations · Retrospective reference
4.1%
0.8% / 7.2%
81.3%
-27.2%
120 trading sessions
16 observations · Retrospective reference
9.9%
0.8% / 14.0%
81.3%
-27.2%
Fewer than 5 observations are insufficient for reference. Consecutive days with the same label form one episode; cases overlapping within 120 trading sessions are excluded.
Individual observations and distributions
20 sessions later
2014-01-30: Return 4.2% / Minimum return during the period -3.1%
2015-08-27: Return -3.9% / Minimum return during the period -4.2%
2016-03-23: Return 3.9% / Minimum return during the period -0.7%
2018-02-15: Return -0.2% / Minimum return during the period -2.6%
2018-08-15: Return 2.4% / Minimum return during the period 0.8%
2019-08-19: Return 3.7% / Minimum return during the period -1.9%
2020-03-02: Return -15.6% / Minimum return during the period -27.2%
2020-09-09: Return 0.9% / Minimum return during the period -3.7%
2021-03-05: Return 4.8% / Minimum return during the period -0.9%
2021-10-01: Return 4.5% / Minimum return during the period -1.2%
2022-05-03: Return -1.2% / Minimum return during the period -6.2%
2023-02-08: Return -4.1% / Minimum return during the period -4.1%
2023-08-23: Return -1.9% / Minimum return during the period -1.9%
2024-04-22: Return 6.3% / Minimum return during the period 0.3%
2025-03-17: Return -5.0% / Minimum return during the period -12.7%
2026-03-16: Return 4.7% / Minimum return during the period -5.2%
60 sessions later
2014-01-30: Return 5.0% / Minimum return during the period -3.1%
2015-08-27: Return 3.2% / Minimum return during the period -6.2%
2016-03-23: Return 1.3% / Minimum return during the period -0.7%
2018-02-15: Return 0.0% / Minimum return during the period -5.0%
2018-08-15: Return -1.3% / Minimum return during the period -6.5%
2019-08-19: Return 7.1% / Minimum return during the period -1.9%
2020-03-02: Return -3.6% / Minimum return during the period -27.2%
2020-09-09: Return 10.2% / Minimum return during the period -3.7%
2021-03-05: Return 8.6% / Minimum return during the period -0.9%
2021-10-01: Return 6.4% / Minimum return during the period -1.2%
2022-05-03: Return -2.1% / Minimum return during the period -10.7%
2023-02-08: Return 1.1% / Minimum return during the period -5.7%
2023-08-23: Return 1.5% / Minimum return during the period -6.9%
2024-04-22: Return 9.1% / Minimum return during the period 0.3%
2025-03-17: Return 6.5% / Minimum return during the period -12.7%
2026-03-16: Return 7.6% / Minimum return during the period -5.2%
120 sessions later
2014-01-30: Return 11.3% / Minimum return during the period -3.1%
2015-08-27: Return -6.5% / Minimum return during the period -11.0%
2016-03-23: Return 5.6% / Minimum return during the period -2.5%
2018-02-15: Return 1.0% / Minimum return during the period -5.0%
2018-08-15: Return -2.7% / Minimum return during the period -13.9%
2019-08-19: Return 13.8% / Minimum return during the period -1.9%
2020-03-02: Return 8.7% / Minimum return during the period -27.2%
2020-09-09: Return 16.1% / Minimum return during the period -3.7%
2021-03-05: Return 12.3% / Minimum return during the period -0.9%
2021-10-01: Return 0.1% / Minimum return during the period -7.6%
2022-05-03: Return -11.6% / Minimum return during the period -15.5%
2023-02-08: Return 7.4% / Minimum return during the period -5.7%
2023-08-23: Return 11.0% / Minimum return during the period -6.9%
2024-04-22: Return 14.7% / Minimum return during the period 0.3%
2025-03-17: Return 14.4% / Minimum return during the period -12.7%
2026-03-16: Return 15.2% / Minimum return during the period -5.2%
Global-equity market proxy · JPY
Unavailable
Pullback depth — / 100 · Change from previous assessment: Not comparable
Reference warning score:4.1 / 100 · Normal (U.S. equity warning score (context only; not specific to JPY or global equities))
A market proxy using an ETF tracking MSCI ACWI, not the official NAV of the Japanese All Country mutual fund. / The JPY-per-USD exchange rate is applied once, using only bars synchronized with the U.S. close. Missing days are not forward-filled.
Distributions reinvested · rebased to 100 · JPY · rebased index
Required history is unavailable.
Official fund NAVs are a separate series from market proxies. Fund execution dates, cut-off times and FX valuation have not been verified, so proxy results are not presented as fund performance.
Relative strength across 11 U.S. sectors
USD series with distributions reinvested are compared with SPY over matching periods. Rankings combine 5-, 21- and 63-session excess returns with weights of 20%, 30% and 50%. A negative absolute return still means a decline, even if relative performance is strong.
Horizontal axis: (sector / SPY) / its 63-session average − 1. Vertical axis: change in the composite excess-return score over 5 sessions. Both axes are centered on 0; right means relatively stronger, up means improving. Only the display scale is adjusted; values are not standardized. This is not identical to a commercial indicator.
SOXL ← SOXX (Semiconductors · industry / theme) · 21-session return -23.6%.Used for background context only, not in existing ETF trading rules. TQQQ tracks the NASDAQ 100, not the information technology sector.
FAS ← XLF (Financials) · 21-session return 9.6%.Used for background context only, not in existing ETF trading rules. TQQQ tracks the NASDAQ 100, not the information technology sector.
TQQQ ← QQQ (NASDAQ 100 · background context) · 21-session return -8.9%.Used for background context only, not in existing ETF trading rules. TQQQ tracks the NASDAQ 100, not the information technology sector.
Calculation rules and evaluation limitations
Retrospective evaluation of fixed rules, with no tuning or threshold search. 2013–2023 is used for history and diagnostics; the reporting period starts in 2024. Unresolved 20-session outcome labels are excluded. An advantage on an unused test period has not been established.
No trading-strategy evaluation or capital comparison with regular contributions has been performed. Only state diagnostics and distributions for similar episodes are shown.
Required history: 272 consecutive trading sessions. Inputs include 50- and 200-session averages, the 20-session change in the 200-session average, the 252-session high, 20- and 60-session annualized volatility, and RSI14.
Warning score: trend 40%, downside shocks 30%, realized volatility 20%, U.S. VIX 10%. When VIX is missing, and for Japan, the first three weights are proportionally rescaled from their 90% total. Components are recorded; changes from a previous assessment with different components are not compared.
Trend group: average of negative 50-session deviation / 10%, negative 200-session deviation / 10%, negative slope / 3%, and drawdown / 20%, each clipped to 0–1. Downside group: maximum of the 1-session decline / 4%, 5-session decline / 8%, and negative standardized return / 3σ.
Volatility group: (20-session annualized volatility − 15%) / 35%. VIX group: (VIX − 15) / 25. Both are clipped to 0–1. σ is the standard deviation over the preceding 60 trading sessions, excluding the current session.
States: below 25 = Normal; 25 or more = Caution; 50 or more = Alert; 75 or more = High alert. Deterioration is immediate. Improvement requires 2 consecutive sessions at least 5 points below the entry threshold of the current state.
A shock is an absolute move of at least 3σ, 3% in 1 session, or 7% in 5 sessions. A downside shock immediately raises the warning score to at least 60.
Pullback-label priority: short-term overheating (RSI at least 70 and 50-session deviation at least 8%) → rebound signs within a downtrend → drawdown of at least 10%, awaiting stabilization → potential pullback with a rising trend, price above its 200-session average and drawdown of at least 5% → normal range.
Long-term trend: rising / flat / falling, using ±0.5% thresholds for the 20-session change in the 200-session average. Early rebound: above the 5-session average, positive 5-session return and no new 20-session low; confirmed when also above the 50-session average.
Yahoo Finance / yfinance. Data are obtained unofficially for research. Derived indicators are displayed; raw prices are not distributed in public CSV files. Successful retrieval does not establish permission to redistribute.
Official mutual-fund NAVs, Japanese sectors and credit indicators have not been collected. FX history is limited to approximately 2 years of Yahoo hourly bars. Retrieved series may be revised, so these results do not fully reconstruct the data versions available at each historical date. Assessments can be reproduced from saved inputs, settings and code versions.
Finalized sessions are checked 90 minutes after retrieval. If an update fails, the previous assessment is retained with a delay notice and its reference date. Scores and thresholds are initial hypotheses, not guarantees of an advantage or protection from losses.