Regime Classification for Multi-Day Volatility Portfolios
Historical backtested performance published in validation records (1990-2025, engine-scored) | Lead time and episode windows: see validation records
Historical market state research for volatility arbitrage, multi-strategy funds, and equity vol portfolios
Daily pre-market classification (STABLE, SHIFTING, ELEVATED, SHOCK, CRISIS)
Delivered by 07:30 AM ET | Rules-based | Zero model drift
Historical backtested research (2012-2024). Research classification only. Not investment advice.
The Multi-Day Volatility Challenge
Researchers analyzing multi-day volatility positions explore different frameworks than those used for intraday analysis.
Research Questions
How did historical regime states correlate with multi-day vol exposure outcomes?
What patterns existed between regime transitions and hedge effectiveness?
How did regime classifications relate to vol pricing dislocations?
What relationship existed between SHIFTING states and subsequent gamma conditions?
Traditional volatility measures are often reactive. Research question: Can exogenous regime classification provide earlier context?
Historical Regime Patterns for Multi-Day Volatility Research
Based on historical backtesting (2012-2024), regime states showed correlation with volatility environments relevant to multi-day positioning
CALM STATE
Historical characteristics:
- •Baseline / non-alert context
- •Meta state derived from suite definition
- •See validation records for historical summary statistics
Research context:
Historically observed during periods suitable for vol arb research and multi-day premium collection analysis.
TURNING STATE
Historical characteristics:
- •Transition / inflection classification
- •Lead time documented in validation records
- •See validation records for episode windows and limitations
Research context:
Historical pattern observed before volatility regime breaks in historical analysis. This pattern appeared before subsequent stress episodes in historical analysis.
SYSTEMIC STRESS STATE
Historical characteristics:
- •Crisis-grade classification for rare dislocation regimes
- •Lead time documented in validation records
- •See validation records for scoring windows and limitations
Research context:
Pattern historically associated with maximum tail risk and gamma trap conditions (as observed in April 2025 episode).
April 2025: Historical Classification Example
Market Risk Classifier classified CRISIS on April 4, 2025 (in historical backtesting), before VIX doubled from 30 to 60
Timeline (backtested classification)
Industry analyses noted that some volatility measures understated short-term risk during this period. In historical backtests, this pattern appeared before the volatility spike.
* Historical backtested classification example. Not predictive. Research only.
Historical Research Applications for Multi-Day Vol Analysis
Based on backtested performance (1990-2025), institutional research teams have explored these regime classification applications
MULTI-DAY POSITION CONTEXT
Historical research question:
How did regime state classifications at market open correlate with subsequent multi-day volatility outcomes?
HEDGE TIMING RESEARCH
Historical research question:
How did CRISIS classifications correlate with periods when hedges showed maximum value in historical analysis?
REGIME TRANSITION PATTERNS
Historical research question:
Did SHIFTING state classifications precede periods of regime shifts in historical data?
TERM STRUCTURE OPPORTUNITIES
Historical research question:
How did regime classifications relate to volatility term structure dislocations (1-day vol vs 30-day VIX)?
Research Data Delivery
Daily Classification
A daily risk shape delivered by 07:30 AM ET (pre-market, trading days)
Delivery Methods
API, webhook (HMAC-signed), or email
Format
JSON with timestamp and SHA-256 cryptographic signature
Historical Data
Complete episode validation records (2012-2024) available via validation packet request
Technical Integration
- REST API with sample payloads
- Webhook integration (< 2 hours setup)
- Email delivery (no integration required)
Auditability
- All classifications timestamped and version-controlled
- SHA-256 signed payloads for tamper-evidence
- Reproducible from public NOAA/NASA source data
Historical Validation (2012-2024)
Rules-Based Methodology
Deterministic thresholds (no ML, no look-ahead bias)
Exogenous inputs (NOAA/NASA environmental data)
Combines exogenous data (NOAA/NASA) with market structure inputs (SPX and VIX)
Walk-forward testing: rules validated across multiple eras
Performance Summary (2012-2024 Backtest)
Access Market State Classification
Join institutional researchers who use Market Risk Classifier to gain pre-market context on volatility regime transitions.
Research classification only for institutional use. Not investment advice. Mindforge is not a registered investment adviser.