TRAI — Daily Quant Day-Trading Research

Quantitative regime model

Combines five independent market-state measures into one score from −100 (risk-off) to +100 (risk-on), plus an ADX trend-strength read. Complements the simple VIX-threshold label on the dashboard.

Computed: Nov 6, 2026, 5:34 PM ET · Data through: 2026-11-06
Source: Yahoo Finance public chart API, daily bars (2y): SPY, ^VIX, ^VIX9D, ^VIX3M and the full TRAI universe for breadth.

Regime score

-55.0

risk-off

Trend state (ADX14)

18.0

choppy

VIX label (legacy)

25.64

stress · 95% pctile

SPY RV20

20.2%

99% percentile of last year

Breadth

40%

above 50d MA · 42% above 20d

VIX / VIX3M

1.042

backwardation (stress)

Score components today (each −1 … +1; positive = risk-on)

Realized-vol percentile (SPY RV20 vs 1y) — -0.97 × weight 0.2
VIX percentile (vs 1y) — -0.90 × weight 0.15
VIX term structure (VIX/VIX3M) — -0.92 × weight 0.2
Trend (SPY vs 50d, 50d vs 200d) — 0.00 × weight 0.25
Breadth (% universe > 20d & 50d MA) — -0.18 × weight 0.2

Regime score history (green band ≥ +25 risk-on, red band ≤ −25 risk-off)

SPY close vs 50-day and 200-day moving averages

SPY50d MA200d MA

Breadth: % of universe above 20d / 50d moving average

% > 20d MA% > 50d MA

Advance/decline line (cumulative (advancers − decliners) / names)

Volatility: SPY 20d realized vol percentile and VIX percentile (1y lookback)

RV20 percentileVIX percentile

VIX term structure: VIX/VIX3M (above 1 = backwardation / stress)

VIX/VIX3MVIX9D/VIX

SPY ADX(14) — trend strength (≥ 25 trending, < 20 choppy)

Last 20 sessions

Date	Score	Label	VIX label	Trend	VIX	RV20	% > 50d	A/D	VIX/VIX3M	ADX
2026-11-06	-55.0	risk-off	stress	choppy	25.64	20.2%	40%	-0.10	1.042	18.0
2026-11-05	-56.4	risk-off	stress	choppy	28.18	20.4%	42%	-0.86	1.103	17.2
2026-11-04	28.1	risk-on	transitional	choppy	16.61	12.9%	55%	0.32	0.884	16.4
2026-11-03	-6.7	neutral	stress	choppy	20.83	11.2%	47%	-0.04	0.979	17.2
2026-11-02	-7.6	neutral	stress	choppy	21.15	11.3%	51%	0.03	0.979	16.3
2026-10-30	4.5	neutral	transitional	choppy	19.42	11.6%	48%	-0.23	0.935	15.3
2026-10-29	39.7	risk-on	transitional	choppy	17.20	10.1%	55%	0.33	0.888	13.8
2026-10-28	45.2	risk-on	transitional	choppy	16.91	10.0%	56%	0.06	0.880	14.0
2026-10-27	36.4	risk-on	transitional	choppy	17.52	10.0%	51%	0.14	0.895	14.7
2026-10-26	26.4	risk-on	transitional	choppy	18.39	9.8%	51%	0.11	0.922	15.0
2026-10-23	13.5	neutral	transitional	choppy	19.45	9.8%	48%	-0.42	0.950	14.7
2026-10-22	17.5	neutral	transitional	choppy	19.03	9.8%	49%	0.03	0.946	13.5
2026-10-21	47.6	risk-on	transitional	choppy	16.68	8.8%	49%	0.11	0.891	12.6
2026-10-20	36.0	risk-on	transitional	choppy	17.31	9.0%	46%	0.42	0.912	12.5
2026-10-19	22.1	neutral	transitional	choppy	18.44	8.9%	38%	-0.04	0.941	12.0
2026-10-16	3.7	neutral	stress	choppy	19.99	10.5%	39%	-0.29	0.975	11.0
2026-10-15	44.3	risk-on	transitional	choppy	16.46	9.6%	44%	0.33	0.890	10.0
2026-10-14	34.2	risk-on	transitional	choppy	16.87	10.3%	39%	-0.14	0.898	9.4
2026-10-13	61.9	risk-on	transitional	choppy	15.27	9.6%	45%	-0.11	0.850	9.0
2026-10-12	62.5	risk-on	transitional	choppy	15.21	9.8%	49%	0.01	0.848	9.4

Distribution over the last 260 sessions: risk-on 163 · neutral 78 · risk-off 19. Weights are fixed and unoptimized (to avoid curve-fitting). Screening/research, not investment advice.