Signals › Equity, Volatility & Cross-Asset
Drawdown as a POSITIVE magnitude (percent below the trailing 12-month high), never level. FRED carries only ~10 years of SP500 (S&P licence: no reproduction), so the feature is built on NASDAQCOM for the whole history to keep one consistent scale (audit M-02). Audit 2026-10-02 fixed an inverted sign (C-01).
licensed: not shown on the public site.
Inside the normal range. Not a strong reading either way.
Equity, Volatility & Cross-Asset: Extract cycle information from market internals rather than index level. The model averages the standardised signals in each block into a block score, then combines the twelve block scores in a probit. Today the 12-block model reads 1.6%.