Signal Dictionary

1-10

Higher numbers mean wider ranges and more opportunity, but also more risk.

Weighted combination of 57 features including VIX, term structure, prior session stats, and event data.

Every trading day. Size positions according to the number.

0-100

Score below 30 = low-vol regime. Above 70 = high-vol regime. Transitions matter most.

Proprietary ensemble of 5 peer-reviewed statistical models spanning regime detection, order flow analysis, change-point detection, memory estimation, and complexity measurement.

Regime changes. A jump from 30 to 70 signals fundamentally different market behavior.

0-100

Above 70 = great trading conditions. Below 30 = consider sitting out.

Composite of rating stability, CRC clarity, event calendar density, and liquidity conditions.

Before placing trades. Below 30 = sit on hands.

0-100

Near 0 = data matched expectations. Above 60 = significant surprise. Above 80 = major shock.

Standardized deviation of actual vs consensus across all releases, weighted by historical impact.

After data releases. High CESI = expect range expansion.

0-100

Above 60 = healthy liquidity. Below 30 = thin markets, expect slippage.

Composite of bid-ask spread z-score, order book depth, and volume relative to 20-day average.

During fast markets. Low LPI = wider stops needed.

-100 to +100

Positive = bullish sentiment. Negative = bearish. Extremes often precede reversals.

Weighted average of equity put/call ratio, VIX term structure slope, and CTA positioning estimates.

Extremes (<-70 or >70) often precede reversals.

0-100

Extreme low readings (below 5) warn of complacency. Extreme high readings (above 95) suggest fear is peaking.

2-period Relative Strength Index applied to VIX closing values.

At extremes. VIX RSI(2) below 5 has preceded SPY pullbacks historically.

0-100

Below 10 = look for long entries. Above 90 = consider taking profits or hedging.

2-period Relative Strength Index applied to SPY closing values.

Short-term mean reversion setups when RSI(2) hits extreme levels.

Bullish / Bearish / Neutral

Bullish = VIX stretched high + SPY oversold. Bearish = opposite. Neutral = no signal.

Combines VIX distance from its 10-day MA with SPY RSI(2) readings.

When VIX and SPY reach simultaneous extremes in opposite directions.

Count

3+ consecutive down days = bullish edge next day. 3+ consecutive up days = mean reversion risk.

Count of sequential closes above or below prior close.

After 3+ consecutive days in one direction. Reversal probability increases with streak length.

Active / Inactive

Active = Monday closed down, so Tuesday has a bullish bias. Inactive = Monday was flat or up.

Binary: checks if Monday's SPY close was below Friday's close.

Tuesday mornings after a red Monday. Size appropriately for a mean-reversion setup.

Active / Inactive

Active = within the turn-of-month window. Expect a bullish tailwind from institutional flows.

Calendar check: trading day -2 through +3 relative to month boundary.

Position sizing. The turn-of-month effect adds a few points of expected value on average.

0 to 1

Below 0.2 = closed near the low, bullish reversal likely. Above 0.8 = closed near the high, bearish lean.

(Close - Low) / (High - Low) for the daily bar.

End-of-day analysis. IBS below 0.2 is a simple but effective mean-reversion filter.

Contango / Backwardation

Contango (VIX < VIX3M) is normal. Backwardation (VIX > VIX3M) signals fear and hedging demand.

VIX / VIX3M ratio, evaluated daily.

Regime identification. Persistent backwardation = crisis mode. Deep contango = low-vol regime.

Probability %

Higher probability = gap likely fills. Small gaps (< 0.3%) fill more reliably than large gaps.

Historical fill rate stratified by gap size, direction, and day-of-week.

Opening range trades. Small gaps fill more reliably than large ones.

Points

Compare to actual ETH range to gauge whether overnight was quiet or active relative to expectations.

Rating-adjusted historical ETH range distribution for the predicted volatility bucket.

Overnight position sizing. Wider expected ETH range = wider stops needed.

Price levels

These levels often act as magnets or barriers during the first 30-60 minutes of RTH.

High, low, VWAP, and volume-based POC from the ETH session.

RTH open. ETH levels often act as magnets or barriers.

Points

Use as a guide for profit targets and stop distances. A Rating 7 day has a much wider range than Rating 3.

Median and percentile ranges from historical sessions matching the predicted rating bucket.

Every session. Sets your profit targets and stop distances.

5 types

Each bucket has its own median range, standard deviation, and tail behavior. Match your strategy to the bucket.

K-means clustering on historical session range distributions, mapped to volatility ratings.

Understanding what a rating of 7 actually means in point terms.

z-score

z-score > 2 = NQ outperforming ES by an unusual amount, expect convergence. < -2 = opposite.

Rolling z-score of daily ES return minus NQ return over a 20-day window.

Pairs/spread trades. Divergence >2 std dev reverts within 3 days 78% of the time.

Price level

Price above Value Area = bullish. Below = bearish. POC acts as a magnet.

Volume profile analysis: POC = price with most volume. VA = 70% of total volume centered on POC.

Identifying fair value. Price outside Value Area tends to return to it.

Long / Short / Flat

Max Long = vulnerable to forced selling on any downturn. Max Short = short squeeze risk on rallies.

Replication of typical CTA trend-following models using moving average crossovers on ES.

When CTAs are max long, forced selling on any downturn can move ES 40-60 points.