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SPY next-5d return

What it is

SPY next-5d return — registry key spy_next_5d_rtn.

Realized forward return persisted for matcher calibration. Five-trading-day lag.

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

Realized SPY 5-day forward return: (spy_close[T+5] − spy_close[T]) / spy_close[T]. Backfilled when row T+5 lands. Same backfill helper. Used by the base-rates matcher.

Where it surfaces

• API field: signals.spy_next_5d_rtn on GET /api/v1/signals/latest
• Surface: daily_signals row (daily-cadence persistence)
• Surface: /signals/history time series

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

• Publishes: daily
• Lag days: 5

Backfilled onto row T when row T+5’s spy_close lands.

See also

• /kb/api/get-signals-latest — API endpoint that serves this field.