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Kroniq Research Series · Regime Detection API
The Intelligence
of Market Timing
Cross-asset Hidden Markov Model regime detection using credit spreads, volatility, and multi-asset signals. Real-time regime classification for institutional systematic strategies.
LIVE REGIME SIGNAL · api.kroniq.finance
REGIME
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CONFIDENCE
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Posterior prob.
ALLOCATION
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SPY exposure
Architecture
Three-engine regime detection framework
Built for institutional systematic funds that need regime-aware risk management unavailable in existing commercial products.
ENGINE 01
Regime Radar API
Real-time classification using 9-feature cross-asset Gaussian HMM. K=5 states confirmed via rigorous BIC sweep K=3–9 with stability validation. Returns regime, confidence posterior, and allocation weights per request.
ENGINE 02
Strategy Router
Maps regime state to asset allocation across SPY, TLT, GLD, and Cash. Five regimes × four asset classes with transaction cost modeling and confidence gating. 2bps per rebalance assumption.
ENGINE 03
Explainability API
Plain-English regulatory audit trail per classification. Designed for institutional compliance requirements. Dynamic feature attribution in development.
SIGNAL 01
Credit Spread Integration
ICE BofA US High Yield OAS (FRED: BAMLH0A0HYM2) as leading indicator. Extended COVID early warning from 23 days (equity only) to 141 days — credit markets price deterioration before equity reacts.
SIGNAL 02
Cross-Asset Features
Nine features: SPY returns + volatility, VIX level + change, TLT returns, GLD returns, SPY-TLT rolling correlation, credit spread level + change. Full covariance Gaussian HMM.
VALIDATED
Walk-Forward OOS
16 quarterly retrains over 2021–2024. Expanding window with StandardScaler refit at each step — no lookahead bias at any stage. State labels reassigned using fixed economic rules per retrain to prevent label drift.
API Response
Structured regime signal
Single endpoint returns current regime, confidence posterior, recommended allocation, and full state probabilities.
GET api.kroniq.finance/regime
200 OK
{
"regime": "Macro",
"confidence": 0.9999,
"allocation": 0.30,
"signal_driver_hint": "credit_spread OAS",
"as_of": "—",
"model_train_end": "2020-12-31",
"mode": "live"
}
"regime": "Macro",
"confidence": 0.9999,
"allocation": 0.30,
"signal_driver_hint": "credit_spread OAS",
"as_of": "—",
"model_train_end": "2020-12-31",
"mode": "live"
}
Regime Taxonomy
Five production states
States confirmed via BIC selection across K=3–9. K=6–8 rejected — micro-states under 25 days insufficient for reliable live routing.
LOW-VOL
VIX < 15, tight credit, calm
100% SPY
BULL
Highest return state
100% SPY
NEUTRAL
Transitional, residual
70% SPY
MACRO
Chronic stress, VIX > 18
30% SPY
CRISIS
VIX > 30, OAS > 6.5%
0% SPY
API Access
Request institutional access
Kroniq is currently in early access for systematic funds and quantitative research teams. Working paper on SSRN — methodology, walk-forward validation, and full results.
Methodology paper · API documentation · Demo key on approval