regime-auditlisted

Workflow composite that runs change-point-detector + hurst-exponent on SPY plus the 11 SPDR sector ETFs. Reports per-name the last detected regime shift, current persistence classification (mean_reverting / random_walk / trending), and cross-sector summary (broad_regime_shift / localized_regime_shift / trend_dominated / mean_reversion_dominated / mixed_stable). Requires Stocks Basic. Runs on the free tier.
rgourley/quant-garage · ★ 6 · Data & Documents · score 63

Install: claude install-skill rgourley/quant-garage

# regime-audit Runs `change-point-detector` and `hurst-exponent` on SPY + 11 SPDR sector ETFs. Reports a matrix view: for each name, when the last regime shift happened, current annualized return + vol per segment, and the Hurst persistence classification. Answers "where has the market regime shifted, and which sectors are in what regime right now?" ## When to invoke - Weekly market context review - Sector rotation prep - "Is this a trending or mean-reverting environment?" - The user says "regime audit", "sector regimes", "regime shift map" ## What you need - `MASSIVE_API_KEY` exported - Stocks Basic minimum Optional: - `--tickers` (default: SPY + 11 SPDR sector ETFs) - `--lookback-days` (default 504) - `--lambda-run` (default 250) — change-point prior mean run length ## What you get back **Layer 1: JSON** with per-ticker `hurst`, `hurst_classification`, `n_change_points`, `last_change_point_date`, `last_change_point_confidence`, `current_segment` (annualized return + vol), `n_segments`. Top-level `by_regime` counts, `n_shifted_recently`, `summary_verdict`. **Layer 2: rendered note**. Header verdict + summary counts, per-name table, one-line Take. ## Foundations used - Composes `change-point-detector` and `hurst-exponent` - Uses `massive-api-patterns` transitively.