Macro Drawdown Radar · U.S. S&P 500
20% drawdown · Current traffic light
Valuation: Red · Macro: below Watch · Credit: below Watch · Market: Watch. The daily shock detector is calm. These conditions signal risk—not an exact crash date or a guarantee of safety.
Current-state backtest frequency
14 of 94 historical Amber months. A monthly-cycle benchmark, not a calibrated probability for today’s daily score or a trade signal. The 3-month estimate uses a separate daily sample.
Plain-English guide
Green below 55 means limited broad confirmation. Amber from 55–69 means vulnerability is building. Red at 70+ means historical conditions were materially more dangerous.
The 14.9% benchmark means 14 of 94 Amber months in the 2000–2022 monthly validation had a 20% forward drawdown within 12 months. It is not a promise, a countdown or a newly calibrated daily forecast.
One extreme valuation reading is vulnerability, not timing. Risk becomes more convincing when credit and market momentum deteriorate together and housing or labor also weakens.
Below 70 is Calm, 70–89 is Watch, and 90+ is Shock. A Shock reading means fast stress is occurring; its history is short, so confirm it with price, volatility and credit.
No broad warning. Continue normal monitoring.
Review exposures and scenarios, but do not call a crash from vulnerability alone.
24 of 56 historical cycle-Red months had a 20% forward drawdown: 42.9%. This is not a separately tested credit-confirmed subset.
Check whether the market, VIX and spreads confirm a fast-moving event.
Decision dashboard
All readings are direction-adjusted: higher is always worse. Individual inputs are percentiles; combined readings are scores. Credit inputs remain one statistical family.
Buffett market-cap-to-GDP proxy
Period starts · market cap: 1 Jan 2026 · GDP: 1 Apr 2026Median of spread level, widening, bank lending standards and financial conditions. Two spread inputs are shown below.
10-year Treasury minus effective Fed Funds; this card displays the spread-level percentile
Observation: 1 Sept 2026Building-permit level compared with its historical range
Observation period: 1 Jul 2026Initial unemployment claims and their 13-week change
Week ending 22 Aug 2026Real M2 growth after adjusting nominal M2 for consumer prices
Period starts · M2: 1 Jul 2026 · CPI: 1 Jul 2026S&P 500 price change over 63 calendar days; the broader Market pillar also includes trend and volatility
Latest close: 2 Sept 2026Five/ten-calendar-day downside speed, VIX, volatility acceleration and a Baa spread proxy
SPX: 2 Sept 2026 · VIX: 1 Sept 2026Confirmation breadth · 2 of 4 at Watch or higher
Valuation: Red · Macro: below Watch · Credit: below Watch · Market: Watch
Backtest results
| Previously missed episode | First warning | Lead to 20% breach | Signals that added coverage |
|---|---|---|---|
| 1968–70 | May 1969 | 12 months | Curve inversion, restrictive real Fed Funds, real-M2 contraction and Baa spreads |
| 2007–08 | Jan 2008 | 8 months | Credit widening, falling permits, curve re-steepening, claims and market trend |
| 2020 | 31 Jan 2020 | 41 days | Volatility and VIX acceleration, 5/10-day downside speed and Baa widening |
The long-cycle additions were chosen after reviewing the earlier misses, so 7/7 is a retrospective hypothesis check—not an untouched accuracy claim. The compact probability model remains frozen; the enriched rules now need a new point-in-time validation.
False-alarm audit
Eight Red months clustered into two regimes after removing crash-linked, boundary and post-crash observations.
Red months with no new 20% forward drawdown. This raw 57.1% figure mixes true false alarms with repeated, boundary and post-crash readings.
14.3% of Red months remain after applying the mutually exclusive classification below.
First qualifying Red observation for each holdout crash
5.4% of Red monthsAdditional Red months tied to the same approaching crash
35.7% of Red monthsWarnings 13–18 months before breach, just outside the 12-month target
3.6% of Red monthsRed during an existing drawdown or before recovery, including March–May 2020
41.1% of Red monthsRed outside the pre-crash, boundary and post-crash definitions
14.3% of Red months| Independent false-alarm regime | Red months | Observed outcome |
|---|---|---|
| Jul 2015–Mar 2016 | 7 | 9.1% maximum next-12m monthly drawdown |
| Jan 2019 | 1 | 3.3% maximum next-12m monthly drawdown |
These categories are an explanatory audit, not a newly optimized trading rule.
The cycle layer measures 6–12 month vulnerability. The daily layer uses downside speed, VIX, volatility acceleration and spread widening to detect sudden market stress.
FRED histories are revised rather than point-in-time vintages. The daily shock history contains only the 2020 and 2022 20% events. The 30% probability model failed validation and remains excluded.
Baa–Treasury spread, initial claims, building permits, M2, S&P 500, VIX, NFCI and SLOOS.