The One Miss: GameStop, January 2021
The Market Risk Classifier's single false positive across 35 years of crisis data. The system caught the event. VIX hit 37. The spike reversed so fast that the scoring model counts it as a miss. Here is exactly what happened.
SPX + VIX vs. MRC Classification
What happened, day by day
VIX ranged between 21 and 27. The S&P 500 climbed steadily from 3,700 to 3,855. The Market Risk Classifier classified STABLE every day.
The system classified SHIFTING. VIX closed at 23.02, unchanged from the prior session. The system saw conditions shifting before VIX moved.
The system classified CRISIS. VIX spiked from 23.02 to 37.21 in a single session, driven by the GameStop short squeeze. The S&P 500 fell 2.6% to 3,750. This was the VIX peak. It never closed above 35 again.
The system held CRISIS for seven trading days as VIX unwound from 37 to 21 and the S&P 500 recovered from 3,714 to 3,871. By February 4, VIX was back at pre-crisis levels.
The system transitioned to SHIFTING as conditions normalized. The S&P 500 continued higher, closing at 3,934 on February 12, above the pre-crisis peak.
Why the scorer marks this as a false positive
The CRISIS scoring model checks whether systemic market stress persists after the classification. The hit criteria: VIX closes at or above 35, or the S&P 500 falls 3% or more over 5 sessions, 6% over 10 sessions, or 10% over 20 sessions.
On January 27, VIX closed at 37.21 on the classification day itself. But VIX never closed above 35 again. In the 10 business days following the classification, VIX fell from 37 to 22, and the S&P 500 recovered from 3,750 to 3,910. None of the forward-window hit criteria were met.
The crisis peaked on the exact day the system caught it, then reversed immediately. The scoring model is designed to identify sustained systemic crises (COVID, the 2008 financial crisis, Volmageddon). GameStop was real, but it was the wrong kind of crisis for the scoring horizon: a retail-driven short squeeze that spiked hard and reversed in days.
What this tells you about the system
The system is sensitive enough to catch unusual events
GameStop was not a macroeconomic shock. It was a retail-driven short squeeze. The Market Risk Classifier's inputs sit upstream of price, which is why it classified CRISIS on the same day VIX spiked. The system does not distinguish between the cause of the crisis, only whether conditions meet the classification threshold.
The scoring model is strict
A system that counted peak-day classifications as hits would have a perfect record and an inflated one. The scoring model looks at what happens after the call. A crisis that reverses immediately is not the same as a crisis that persists. The model reflects that distinction.
We publish the miss
The crisis record says 12 of 13, not 13 of 13. The single false positive is documented here, on the validation page, and in the footnotes of every surface where the crisis precision appears. A system that hides its misses is a system that cannot be trusted with its hits.
Every risk shape, every episode, every hit and miss, with the scoring methodology.