Mindforge IntelligenceStrategy Integration Brief[ How MRC Plugs Into Your Book ]
Market Risk Classifier (MRC) classifies each U.S. trading day into one of five risk shapes (STABLE, SHIFTING, ELEVATED, SHOCK, CRISIS), delivered before the open. The differentiating input is exogenous environmental data — signals not in anyone else's stack and orthogonal to the regime models in the rest of yours.
The classifier also incorporates SPX and VIX as inputs alongside the environmental signals. Walk-forward validated 1990-2025. This brief covers how five strategy archetypes use the daily state as a position-sizing input.
Your strategy doesn't change.
Your sizing does.
Page 2: the five risk shapes. Page 3: find your strategy. Pages 4–8: one archetype each. Backtest: 1990-2025 walk-forward. mindforge.tech/terms
Every archetype rule in this brief references these five names. Each state has its own classification logic, precision, and historical frequency. There is no mapping between any one strategy and any one state — every archetype uses all five.
Default state. Markets quiet, VIX median 14. Hedges decay; vol carry earns.
Regime inflection. 95% precision, 2-day median lead before stress shows in price.
Selective heads-up. ~5 days/year (2%), 76% precision. A confirmation tier — pair with other evidence before sizing.
Rapid vol dislocation. 92.86% precision (13 of 14). VIX already elevated at firing.
Crisis classifier. 100% precision (9 of 9), 1990-2025. Includes COVID and Aug 2024.
Distribution: 1990-2025 walk-forward. Precision figures from versioned performance records.
Each line is one archetype: the claim, the historical effect, and the strategies it covers. Pick the one that fits what your desk runs and flip to its page. Every archetype uses all five risk shapes from the previous page.
Programs that buy protection pay premium every day whether or not the protection is doing work. MRC tells you which days are STABLE, the regime where that premium has historically decayed without paying for itself. Size the protection book down on STABLE days; ramp it back up the moment MRC flags any non-STABLE state. Same protection during stress. Less premium spent during quiet.
Trend strategies make money when regimes hold and lose money when regimes break. The pain concentrates in a small number of regime-change days. MRC flags those days as SHIFTING, ELEVATED, SHOCK, or CRISIS before the break shows up in price. Hold full size during STABLE (where trends actually work). Scale down or go flat the moment MRC flags a regime change. Same trend signal. Same execution. Smaller worst-case path.
Selling vol earns carry when markets are quiet and breaks expensively when the regime shifts. SHIFTING flags the regime shift before VIX moves materially. Desks have used the morning SHIFTING classification to lighten short-vol exposure, restoring it once STABLE is classified again. The historical re-entry signal is consistent: 83% of crisis episodes ended with a SHIFTING classification within 10 trading days, which is when carry conditions historically returned.
Long-volatility books bleed premium during STABLE and earn convexity during crises. The same annual budget gets a much better payoff if you spend less during STABLE and more during MRC-flagged crisis states. CRISIS flagged 9 of 9 events in the 1990-2025 backtest, so the scaled-up notional has historically landed where the convexity actually lives. Same dollar budget. Deeper protection where it matters.
Different factors win in different regimes. Momentum crashes hardest during regime breaks; quality and low-vol earn during stress; value rotates with macro. MRC provides an exogenous regime input to drive factor tilts, instead of inferring regime from the same prices the factors already use (which is circular). The framework here is a methodology spec; the historical backtest is reproducible on your firm’s own factor return series.
The regime signal scales the trades you already make. Vol-targeting, signal selection, instrument choice, and risk framework all stay exactly as they are today.
Delivered before the U.S. open via API or webhook. No intraday updates. Your risk system reads it once, looks up the sizing rule, applies it before you trade.
The 60-day pilot includes the full 1990-2025 backtest dataset. Your team merges it with internal backtest infrastructure and reproduces every figure on these pages on your own book.
What does the hedge overlay change?
Where do the numbers come from?
Institutional 60-day pilot for qualified research teams. Reproduce every figure in this brief on your own factor data, hedge book, or strategy series.
Begin a 60-day pilot. 60-day license term with 30 days extended access. Full production feed, historical archive, and institutional documentation. Pilot fee credited against annual subscription upon conversion.
Research use only • Not investment advice • Past performance ≠ future results • Full terms
Research use only. Not investment advice. Past performance ≠ future results. Mindforge is not a registered investment adviser. Full terms · Methods