Health Score (19-component composite)

Last verified2026-06-10

Composite 0–100 measure of structural market health — not direction. A high score means the plumbing is intact (liquidity flowing, credit calm, institutions buying). Normal markets score 55–60.

Components (19, sum to 100)

Component	Max	What it measures	Metric
Energy	10	Energy regime (WTI, crack spread, XLE)	`energy_regime`
HY OAS	8	High-yield credit spreads	`hy_oas`
Stagflation	8	Weighted breakevens (5Y 40%, 10Y 20%, 5Y5Y 20%, 5Y-10Y inversion 20%)	`stagflation`
DIX	7	Institutional dark-pool buying activity	`dix`
GEX	7	Options dealer gamma exposure	`gex`
Breadth	7	% of S&P 500 above 50-day SMA	`breadth_50d`
Liquidity	7	Fed net liquidity direction	`net_liquidity`
Breakeven	6	5Y breakeven inflation expectations (lower is better)	`breakeven_5y`
Vol Term	5	VIX term structure (contango/backwardation)	`vix_regime`
SPY/ZGL	5	Price vs zero gamma level	`spy_vs_zgl`
0DTE PCR	5	Same-day options put/call ratio	`zero_dte_pcr`
Sectors	5	Sector breadth favorability	`sectors`
Correlations	5	Weighted per-pair health (SPY/VIX, SPY/Oil, SPY/DXY, SPY/TNX)	`correlations`
BTC	3	Bitcoin as liquidity proxy	`btc`
SKEW/VIX	3	Tail-risk hedging activity	`skew_vix`
Real Yield	3	10Y TIPS real yield level	`real_yield`
Copper/Gold	2	Growth expectation proxy ratio	`copper_gold`
USD/JPY	2	Carry trade unwind risk	`usdjpy`
HYG	2	Credit ETF selling pressure confirmation	`hyg_confirmation`

Each band-classifier maps the raw value to a per-component points award between 0 and the listed max. Logic lives in app/signals/score.py — pure, FastAPI-free, directly unit-testable.

Missing inputs: abstain and renormalize

A component whose input is missing (e.g. a data-source outage left GEX, 0DTE, or the gamma walls dark) does not score 0 — scoring it 0 would drag the composite down and read as deteriorating health when it is really just absent data. Instead the component abstains: it contributes nothing and its max leaves the denominator. The score is then:

score = 100 × Σ points(available) / Σ max(available)

This is a no-op on a full-coverage day — when every component is available the denominator is 100 and the result equals the plain additive sum, so normal days are numerically identical to before. On a partial-coverage day it changes the read: an upstream data-source outage that zeroes GEX / 0DTE / SPY-ZGL no longer reads as risk-off; those components are excluded, and the score reflects only what was actually measured.

Each component carries an available flag so the dashboard can distinguish a genuine scored-0 (input present, bottom band) from a missing input (greyed out). The /api/v1/signals/score/breakdown response surfaces n_available and max_available so a consumer sees the coverage the score was computed on, plus a coverage_status of "insufficient_data" when max_available drops below 50 (too thin to trust). The Sectors component likewise abstains when sector breadth is missing — it no longer falls back to a silent middling “mixed” default that looked like a real read.

Score ranges

Score-range readings

Favorable70+Conditions support risk-taking. Most supports intact.

Mixed50 – 70Some supports intact, others not. Be selective.

Cautionary30 – 50Multiple supports weakening. Reduce risk.

Adverse< 30Structural supports broken. Defensive only.

The 50–60 band is where most days live.

Regime-conditional rebalancing

score_weights.json → regime_overrides lets any regime declare scaling factors per component. Currently configured:

energy_shock (energy_regime in SHOCK/CRISIS/SHOCK_UP/RISING): Correlations doubles 5→10 (cross-asset transmission dominates), BTC drops to 0, Sectors scales 0.6× (5→3). Total stays at 100.
energy_relief (FALLING/SHOCK_DOWN): Correlations 0.6× (5→3), Breadth boosted 1.43× (7→10).

Adding an override: {trigger: {field, in|eq}, scales: {component: factor}}. Factors must sum-offset so the post-override max stays at 100.

Score vs regime — when they disagree

The dashboard’s bridge text (italicized line under the regime name) labels the divergence:

Score	Regime	Label	Meaning
70+	RISK-ON	Favorable	Score and regime agree
70+	Not RISK-ON	Favorable, with caution	Score high but a lagging signal holds the regime back
50-70	Any	Mixed	Some supports intact, others not
50-70	RISK-OFF/PANIC	Mixed, deteriorating	Mid-range score but conditions worsening
30-50	Any	Cautionary	Multiple supports weakening
< 30	PANIC/RISK-OFF	Adverse	Structural supports broken
< 30	Other	Adverse, holding	Score very low but regime hasn’t caught up yet

Scale headroom

A May 2026 regime-quantile audit confirmed the 0-100 scale spans cleanly without saturation:

Regime	n	p5	p50	p95	max
PANIC	18	23	28	39	40
RISK-OFF	289	28	37	49	57
TRANSITIONAL	308	20	47	55	77
CAUTIOUS	467	42	50	58	74
RISK-ON	205	48	55	82	87