The Intelligence
of Market Timing

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.

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.

Plain-English regulatory audit trail per classification. Designed for institutional compliance requirements. Dynamic feature attribution planned — static templates live now.

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.

Nine features: SPY returns + volatility, VIX level + change, TLT returns, GLD returns, SPY-TLT rolling correlation, credit spread level + change. Full covariance Gaussian HMM.

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.