Factor Trend Monitor

Adaptive window system | SPY phase overlay | Inflection forecasts | Updated Apr 12, 2026

1. Adaptive Window System

Частотность фактора определяет ширину окна мониторинга. Редкие события = широкое окно (6M), частые = узкое (1-2M).

Factor	Trades/Day	Frequency	Window	Min N	Check Cycle	Alert If
Score Basket (≥1.0)	38.3	FREQUENT	1M	100	Weekly	WR drop >5pp vs prev month
ARKK>2 + LONG	20.2	FREQUENT	2M	50	Bi-weekly	WR drop >8pp or N drop >50%
ES+ARKK+LONG	16.4	FREQUENT	2M	50	Bi-weekly	WR drop >8pp
Score Ultra (≥3.0)	13.7	FREQUENT	2M	50	Bi-weekly	WR drop >8pp
Earn season+ARKK	11.1	MODERATE	3M	50	Monthly	WR drop >10pp (seasonal)
Friday+ARKK	9.5	MODERATE	2M	30	Monthly	WR drop >10pp
UUP<-1%+SHORT	7.1	MODERATE	3M	30	Monthly	WR drop >10pp or UUP regime flip
VIX_low+IWM<-1+SHORT	6.7	MODERATE	3M	30	Monthly	WR drop >10pp
TLT>2%+LONG	4.8	RARE	6M	20	Quarterly	WR drop >15pp (rare event)
Contango+ARKK+LONG	3.3	RARE	6M	20	Quarterly	WR drop >15pp
Quad witch+VIX_low	2.5	RARE	6M	15	After each event	WR < 60% on rolling 4 events
NFP+mega+SHORT	2.1	RARE	6M	15	After each event	WR < 55%
UUP<-1%+Tech+SHORT	1.2	RARE	6M	15	Quarterly	WR < 60%
ARKK+BMO+LONG	1.1	RARE	6M	15	Quarterly	WR < 60%

2. Current Factor Health (Apr 2026)

Rolling WR per adaptive window. Trend score = slope×2 + acceleration×0.5.

Factor	First WR	→	Last WR	Slope	Accel	Score	Trend
ARKK>2 + LONG	79.8%	→	78.8%	+0.70	+16.1	9.5	STRONG UP
ARKK+BMO+LONG	81.4%	→	74.2%	+1.22	+13.9	9.4	STRONG UP
Friday+ARKK	65.8%	→	74.2%	+3.36	0.0	6.7	STRONG UP
UUP<-1%+SHORT	72.7%	→	80.2%	+2.25	0.0	4.5	STRONG UP
ES+ARKK+LONG	79.8%	→	78.8%	+1.79	0.0	3.6	STRONG UP
Score Basket	74.3%	→	67.1%	+0.15	+5.9	3.2	STRONG UP
UUP<-1%+Tech SHORT	80.8%	→	88.6%	+1.56	0.0	3.1	STRONG UP
Contango+ARKK+LONG	68.3%	→	68.3%	0.00	0.0	0.0	STABLE
Quad witch+VIX_low	80.8%	→	80.8%	0.00	0.0	0.0	STABLE
Earn season+ARKK	75.2%	→	74.2%	-0.30	0.0	-0.6	STABLE
Score Ultra	79.8%	→	74.1%	-0.46	0.0	-0.9	STABLE
NFP+mega+SHORT	72.8%	→	61.4%	-2.26	-9.9	-9.5	STRONG DOWN

3. SPY Regime Phases (2021-2026)

Current: BULL | SPY 679 | DD -2.3% | Above MA200

Phase History:

21H1

21H2

22H1

22H2

23H1

23H2

24H1

24H2

25H1

25H2

26H1

Strong Bull Bull Pullback Correction Crash Bear

Factor WR by SPY Phase:

Factor	STRONG BULL	BULL	CORRECTION	PULLBACK	BEAR
Score Basket	65.1%	64.0%	73.9%	67.0%	39.1%
Score Ultra	73.4%	68.3%	79.8%	—	—
ARKK>2+LONG	58.8%	68.3%	79.8%	—	—
ES+ARKK+LONG	66.6%	68.3%	79.8%	—	—
Earn season+ARKK+LONG	78.8%	—	79.8%	—	—
UUP<-1%+Tech+SHORT	88.6%	—	—	—	—
NFP+mega+SHORT	62.5%	—	—	71.7%	—

Key insight: Многие факторы работают ЛУЧШЕ в CORRECTION чем в STRONG BULL (Score Ultra: 79.8% vs 73.4%, ARKK: 79.8% vs 58.8%). Это потому что в correction = bigger gaps, clearer regime, more fear = sharper signals. В calm bull = small gaps, noise, weak regime signals.

4. Inflection Point Forecast (Apr 2026 → Mar 2027)

Предстоящие события которые могут изменить regime и повлиять на факторы.

Apr 14, 2026

Q1 Earnings Season Start

ARKK factors activate. Earn_season+ARKK = 74.7%. Duration: ~6 weeks. Expect score Ultra N to spike.

May 7, 2026

FOMC Meeting

Rate decision. VIX spike risk. If dovish → VXX>3% SHORT fires (59.3%). If hawkish → BEAR risk.

Jun 18, 2026

FOMC + Quad Witching Week

Two events same week. Quad+VIX_low+LONG = 80.8% (if VIX calm). High vol expected.

Jun 30, 2026

Q2 End / Index Rebalance

Sector rotation + window dressing. Sector factors may shift.

Jul 14, 2026

Q2 Earnings Season

Earnings factors reactivate. Check if ARKK regime still holds.

Sep 18, 2026

FOMC + Quad Witching + September Effect

Historically worst month for stocks. Triple event convergence. HIGH VOL.

Oct 13, 2026

Q3 Earnings Season

Full earnings cycle. If VIX elevated → CORRECTION phase factors dominate.

Nov 3, 2026

US ELECTIONS

REGIME CHANGE RISK. VIX will spike pre-election. All regime factors unreliable for 1-2 weeks. Historical: VIX peaks 1 week before, SPY rallies after regardless of result.

Dec 18, 2026

FOMC + Quad Witching + Year End

Santa Rally = TRAP (WR 33.6%). Tax loss selling + rebalancing. Holiday adj+VIX_high = 31.1%.

Jan 13, 2027

Q4 Earnings + New Year

Tax loss selling done. New money inflows. Typically bullish Jan (but our Friday factor = ETERNAL).

Mar 2027

Tariff Renewal Risk

If tariffs extended/expanded → UUP regime may flip (dollar strength = UUP goes UP = our UUP SHORT signal dies). ARKK regime may also shift. Re-evaluate ALL macro factors.

5. Monitoring Rules & Alerts

RED Alert (Stop Trading Factor)

- WR drops below 45% on rolling window
- OR N drops to 0 for 2+ consecutive weeks (factor condition never fires = regime changed)
- OR SPY enters CRASH phase (DD >-15%)
Action: Remove factor from scoring. Do not trade until green.

YELLOW Alert (Reduce Size)

- WR drops 8pp below rolling average
- OR trend score turns negative (was positive)
- OR SPY enters CORRECTION but factor is bull-only
Action: Reduce sizing to 0.5x. Monitor weekly.

GREEN Signal (Increase Size)

- WR 5pp above rolling average for 2+ windows
- AND trend score STRONG_UP
- AND SPY phase compatible
Action: Increase sizing to 1.5x. Current: 7 factors GREEN.

Trend Score Formula:

trend_score = slope_pp_per_window × 2 + acceleration_pp × 0.5

slope = linear regression of WR over rolling windows (higher = WR growing faster)
acceleration = last_third_avg - middle_third_avg (positive = speeding up)

Score > 3.0 → STRONG UP | 1-3 → UP | -1 to 1 → STABLE | -3 to -1 → DOWN | < -3 → STRONG DOWN