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Confidence
Posterior probability
SPY Allocation
Current recommended
As Of
Latest aligned feature date
Model
HMM K=5
Train end: 2020-12-31
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WALK-FORWARD REGIME CLASSIFICATION
QUARTERLY RETRAINING · 16 RETRAIN STEPS · 2BPS TRANSACTION COSTS
LOW-VOL
BULL
NEUTRAL
MACRO
CRISIS
LOADING REGIME DATA…
TWO-STAGE EARLY WARNING SYSTEM — MARCH 2020 COVID CRASH
RETROSPECTIVE FINDING · STATIC MODEL TRAINED 2015-2020 · APPLIED TO FULL FEATURE HISTORY
141 DAYS EARLY WARNING
Oct 1 2019 → Feb 19 2020
Stage 1 — Oct 1 2019
MACRO SIGNAL
HY credit spreads widening. Equity allocation reduced to 30% SPY. SPY still making new highs.
Feb 19 2020 · Day 0
SPY ALL-TIME HIGH
Equity market sees nothing. Kroniq has been at 30% SPY for 141 days. Credit already stressed.
Stage 2 — Feb 28 2020
CRISIS STATE
VIX spikes. Cross-asset stress confirmed. Allocation moves to 0% SPY. 79% of drawdown still ahead.
Mar 23 2020 · Trough
DRAWDOWN ABSORBED
SPY -33.92% peak-to-trough. Kroniq at 0% equity throughout. Max drawdown: -8.37% vs -33.72%.
Kroniq v4 Regime History 2015-2024 showing 141-day COVID early warning
Retrospective finding. The static model (trained 2015-2020) applied to the full feature history first flagged Macro stress on October 1, 2019 — 141 calendar days before the SPY February 19, 2020 peak. The 7-feature baseline (no credit spreads) detected stress only 23 days before the peak. Credit spreads extended the early warning by 118 days. The 141-day lead time is event-specific and should not be assumed to generalise as a consistent predictive horizon — see SSRN working paper for full methodology and limitations.
Strategy Sharpe Max DD CAGR
Kroniq Walk-Forward 0.881 -17.46% 9.97%
Kroniq Static OOS 1.107 -8.37% 7.94%
SPY Buy-and-Hold 0.859 -33.72% ~14%
STATE
CONDITIONS
ALLOC
PERSIST
LOW-VOL
VIX < 15, tight credit
100% SPY
95.5%
BULL
Highest return state
100% SPY
92.7%
NEUTRAL
Transitional, residual
70% SPY
92.5%
MACRO
Chronic stress, VIX > 18
30% SPY
81.7%
CRISIS
VIX > 30, OAS > 6.5%
0% SPY
73.0%
GET api.kroniq.finance/regime 200 OK
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COVID early warning 141 days
vs 7-feature baseline +118 days
BIC optimal K K=5
K sweep range K=3 through K=9
OOS period 1,005 days
Retraining steps 16 quarterly
Transaction costs 2bps per rebalance
SSRN working paper Polavarapu 2026 →