Mathematical definitions, gauge weights, regime rules, and model evaluation metrics.
A single composite score mapped from 0 (freezing pessimism) to 100 (peak euphoria). It computes a weighted average of six rolling z-scores — measuring how unusual today's reading is versus the last ~250 trading sessions:
| Gauge | Weight | Feature Source | Measurement Objective |
|---|---|---|---|
z_mom_stretch |
20% | ai_mom_60d (+z) |
60-session compounded return of the 22-name AI basket versus its 1-year distribution. |
z_credit_tightness |
20% | hy_oas (−z) |
US high-yield option-adjusted spread versus history. Abnormally tight spreads = minimal risk compensation = late-cycle complacency. |
z_dd_proximity |
20% | ai_drawdown_250d (+z) |
Closeness to the 250-trading-day peak. Sitting at all-time highs (0% drawdown) represents maximum extension and minimum technical buffer. |
z_rs_eqw |
15% | rs_ai_rsp_60d (+z) |
AI complex relative strength versus the equal-weight S&P 500 (RSP) — money crowding into one theme. |
z_concentration |
15% | rs_spy_rsp_60d (+z) |
Cap-weighted (SPY) versus equal-weight (RSP) 60-day spread — mega-cap concentration building. |
z_btc_risk |
10% | btc_mom_30d (+z) |
Bitcoin 30-day return as a macro risk-appetite and speculative liquidity proxy. |
Each individual z-score is clipped to [−2.0, +2.0] so no single component can force the thermometer. The weighted average z-score is mapped linearly to [0, 100]:
T = clip(50.0 + 25.0 × (Σ wᵢ · zᵢ) / (Σ wᵢ present), 0, 100)
When data sources are missing or calibrating (e.g. credit holidays), weights renormalize automatically and temp_confidence displays the active gauge coverage percentage.
| Band | Range | Interpretation |
|---|---|---|
| frost | < 25 | Extreme pessimism; valuation compression; historically where high-margin long entries emerge. |
| cool | 25 – 45 | Skepticism and caution priced in; orderly pullbacks. |
| warm | 45 – 60 | Normal, balanced market tape. |
| hot | 60 – 75 | Elevated froth; theme crowding; heightened sensitivity to earnings misses. |
| euphoric | ≥ 75 | Parabolic melt-up territory; credit and price complacency at historical extremes. |
| Regime | Rule Logic | Economic Meaning |
|---|---|---|
| expansion | 60d trend > 0, no froth extremes | Healthy uptrend intact across the complex. |
| euphoria | Temperature ≥ 70 with intact 60d trend | Late-stage acceleration with high fragility. |
| distribution | 20d momentum < 0 while above deep-drawdown zone (> −25%) | Short-term momentum rolling over while retail is still active; earliest actionable warning. |
| contraction | AI complex drawdown < −25% | Formal market breakdown underway. |
| capitulation_recovery | Drawdown < −30% with 20d momentum turning positive | Durable bottoming setup following panic selling. |
P(AI complex up next 5d) is estimated by an L2-regularized logistic regression trained on chronological splits (80% train / 20% test) on standard momentum, relative strength, credit change, and volatility features.
(1/N) Σ (pᵢ − yᵢ)². Predicting a constant 0.50 yields an expected Brier score of 0.25 on balanced outcomes. Lower is better.The physical cash-flow floor is tracked via combined quarterly CapEx of Alphabet, Amazon, Meta, and Microsoft alongside Nvidia YoY revenue growth: