Combining Macro, Technical, Sentiment, and Breadth Signals for Bear Risk

Summary

This indicator builds a bear market risk score from macroeconomic, technical, sentiment, and market breadth inputs. Macro measures include yield curve inversions, high yield credit spreads, dollar strength, and a gold to oil ratio. Technical signals track price relative to moving averages, MACD across daily and weekly timeframes, RSI, and drawdown from a recent high. Sentiment uses VIX levels and spikes alongside the put-call ratio; breadth combines advance-decline participation, new highs versus lows, and the McClellan Oscillator.

Each input is converted into a discrete or partial risk score, averaged within its category, and combined using adjustable category weights. The script displays the result with thresholds and alerts, and offers an analysis table. It provides a rule-based framework and identifies its data sources, but no historical performance evidence or validation of its probability calibration. Missing external data is generally assigned a neutral or zero-risk value, and the note flags that some breadth readings may vary with the chart symbol.

Key ideas

• The model groups risk indicators into macroeconomic, technical, sentiment, and breadth categories.
• It translates individual indicators into bounded risk scores and averages them within categories.
• Users can adjust the relative weight of each category and set warning and danger thresholds.
• The displayed probability is a composite score, with no performance evidence or calibration analysis supplied.
• Some missing data defaults to zero risk, and certain external breadth readings may vary by chart symbol.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.