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SPY 5d fwd max-drawdown

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SPY 5d fwd max-drawdown

What it is

SPY 5d fwd max-drawdown — registry key spy_fwd_maxdd_5d.

Forward 5-trading-day max drawdown. Research substrate for the drawdown-risk grading lane (ai_brief_risk_predictions). Always <= 0; floored at 0 when SPY never closes below the reference. No bands, no scoring contribution.

Data-pyramid tier

T0 — Raw input. This metric sits at the raw input layer of the platform’s six-tier data pyramid (T0 raw inputs → T5 actionable read). The tier reflects how far the value is from a raw measurement — not how strongly it is validated. Abstraction and validation are separate axes: a higher tier is not a claim of stronger evidence.

Horizon & validation

No validated skill horizon is on file for this metric — read it as context / a data carrier, not a validated edge. Stamps are added only when a gated research verdict lands.

Source

Source module: capture
Data source: computed

Derived metric — produced inside the platform (app/signals/capture.py or equivalent) rather than fetched as a raw upstream value. See the How it's computed section below for the formula.

How it’s computed

(min(close[T+1..T+5]) − close[T]) / close[T], floored at 0 — forward 5-trading-day max drawdown (always <= 0). Backfilled by capture.backfill_realized_maxdd.

Where it surfaces

Health-score / alignment role

Data carrier — no implication, no health-score contribution.

Persisted for downstream consumers (sparklines, base-rate matcher, calibration substrate) but does not classify into BULLISH / NEUTRAL / BEARISH and does not contribute to the 0-100 health score.

Release cadence

Backfilled onto row T once the T+1..T+5 window closes.

See also