Macro Regime Detector#

Detect structural macro regime transitions using monthly-frequency cross-asset ratio analysis. This skill identifies 1-2 year regime shifts that inform strategic portfolio positioning.

When to Use#

• User asks about current macro regime or regime transitions
• User wants to understand structural market rotations (concentration vs broadening)
• User asks about long-term positioning based on yield curve, credit, or cross-asset signals
• User references RSP/SPY ratio, IWM/SPY, HYG/LQD, or other cross-asset ratios
• User wants to assess whether a regime change is underway

Workflow#

1. Load reference documents for methodology context:

   • references/regime_detection_methodology.md
   • references/indicator_interpretation_guide.md

2. Execute the main analysis script: bash

   python3 skills/macro-regime-detector/scripts/macro_regime_detector.py
   
   

   This fetches 600 days of data for 9 ETFs + Treasury rates (10 API calls total).

3. Read the generated Markdown report and present findings to user.

4. Provide additional context using references/historical_regimes.md when user asks about historical parallels.

Prerequisites#

• FMP API Key (required): Set FMP_API_KEY environment variable or pass --api-key
• Free tier (250 calls/day) is sufficient (script uses ~10 calls)

6 Components#

#ComponentRatio/DataWeightWhat It Detects1Market ConcentrationRSP/SPY25%Mega-cap concentration vs market broadening2Yield Curve10Y-2Y spread20%Interest rate cycle transitions3Credit ConditionsHYG/LQD15%Credit cycle risk appetite4Size FactorIWM/SPY15%Small vs large cap rotation5Equity-BondSPY/TLT + correlation15%Stock-bond relationship regime6Sector RotationXLY/XLP10%Cyclical vs defensive appetite

5 Regime Classifications#

• Concentration: Mega-cap leadership, narrow market
• Broadening: Expanding participation, small-cap/value rotation
• Contraction: Credit tightening, defensive rotation, risk-off
• Inflationary: Positive stock-bond correlation, traditional hedging fails
• Transitional: Multiple signals but unclear pattern

Output#

• macro_regime_YYYY-MM-DD_HHMMSS.json — Structured data for programmatic use

• macro_regime_YYYY-MM-DD_HHMMSS.md — Human-readable report with:

  1. Current Regime Assessment
  2. Transition Signal Dashboard
  3. Component Details
  4. Regime Classification Evidence
  5. Portfolio Posture Recommendations

Relationship to Other Skills#

AspectMacro Regime DetectorMarket Top DetectorMarket Breadth AnalyzerTime Horizon1-2 years (structural)2-8 weeks (tactical)Current snapshotData GranularityMonthly (6M/12M SMA)Daily (25 business days)Daily CSVDetection TargetRegime transitions10-20% correctionsBreadth health scoreAPI Calls10330 (Free CSV)

Script Arguments#

bash

python3 macro_regime_detector.py [options]

Options:
  --api-key KEY       FMP API key (default: $FMP_API_KEY)
  --output-dir DIR    Output directory (default: current directory)
  --days N            Days of history to fetch (default: 600)