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macro-regime-detector

基于 RSP/SPY、10Y-2Y 利差、HYG/LQD、IWM/SPY、SPY/TLT 与 XLY/XLP 六项跨资产指标加权评分，将市场归类为集中、扩散、收缩、通胀或过渡状态，输出 JSON 与 Markdown 报告及组合配置建议；数据取自 FMP（可选）与 yfinance，六个分项均无可用数据时不生成报告。

tradermonty
热度 51.76
最近更新 2026-10-19 03:00:30
分类：数据依赖：代码执行 / 第三方 API / 读写文件应用场景：市场分析 / 报告撰写 / 财务 / 数据处理

安装技能

复制下面的话术发给你的 Agent，它会通过 secure-skills 检索并安装该技能。

执行命令安装此 skill： npx secure-skills-cli add tradermonty/claude-trading-skills/macro-regime-detector
Metadata
name
macro-regime-detector
description
Detect structural macro regime transitions (1-2 year horizon) using cross-asset ratio analysis. Analyze RSP/SPY concentration, yield curve, credit conditions, size factor, equity-bond relationship, and sector rotation to identify regime shifts between Concentration, Broadening, Contraction, Inflationary, and Transitional states. Run when user asks about macro regime, market regime change, structural rotation, or long-term market positioning.

Macro Regime Detector

Detect structural macro regime transitions using monthly-frequency cross-asset ratio analysis. This skill identifies 1-2 year regime shifts that inform strategic portfolio positioning.

When to Use

  • User asks about current macro regime or regime transitions
  • User wants to understand structural market rotations (concentration vs broadening)
  • User asks about long-term positioning based on yield curve, credit, or cross-asset signals
  • User references RSP/SPY ratio, IWM/SPY, HYG/LQD, or other cross-asset ratios
  • User wants to assess whether a regime change is underway

Workflow

  1. Load reference documents for methodology context:

    • references/regime_detection_methodology.md
    • references/indicator_interpretation_guide.md

  2. Execute the main analysis script:

    python3 -m pip install -r skills/macro-regime-detector/requirements.txt
uv run python3 skills/macro-regime-detector/scripts/macro_regime_detector.py --output-dir reports/

    This fetches 600 days of data for 9 ETFs. With an FMP key, the client tries FMP first and fetches Treasury rates (~10 API calls total), then falls back to yfinance for unavailable ETF history. Without an FMP key, it runs in yfinance-only mode and uses SHY/TLT as the yield-curve fallback.

    The detector fails closed and writes no report when none of its six components has usable data. Do not treat a missing report or non-zero exit as a valid low-transition regime.

  3. Read the generated Markdown report and present findings to user.

  4. Provide additional context using references/historical_regimes.md when user asks about historical parallels.

Prerequisites

  • Python dependencies (required): install requirements.txt, including yfinance and requests
  • FMP API Key (optional): set FMP_API_KEY or pass --api-key to use FMP and Treasury data before the yfinance/SHY-TLT fallbacks
  • The FMP free tier may not serve every ETF; unavailable symbols automatically use yfinance

6 Components

# Component Ratio/Data Weight What It Detects
1 Market Concentration RSP/SPY 25% Mega-cap concentration vs market broadening
2 Yield Curve 10Y-2Y spread 20% Interest rate cycle transitions
3 Credit Conditions HYG/LQD 15% Credit cycle risk appetite
4 Size Factor IWM/SPY 15% Small vs large cap rotation
5 Equity-Bond SPY/TLT + correlation 15% Stock-bond relationship regime
6 Sector Rotation XLY/XLP 10% Cyclical vs defensive appetite

5 Regime Classifications

  • Concentration: Mega-cap leadership, narrow market
  • Broadening: Expanding participation, small-cap/value rotation
  • Contraction: Credit tightening, defensive rotation, risk-off
  • Inflationary: Positive stock-bond correlation, traditional hedging fails
  • Transitional: Multiple signals but unclear pattern

Output

  • macro_regime_YYYY-MM-DD_HHMMSS.json — Structured data for programmatic use
  • macro_regime_YYYY-MM-DD_HHMMSS.md — Human-readable report with:
    1. Current Regime Assessment
    2. Transition Signal Dashboard
    3. Component Details
    4. Regime Classification Evidence
    5. Portfolio Posture Recommendations

Relationship to Other Skills

Aspect Macro Regime Detector Market Top Detector Market Breadth Analyzer
Time Horizon 1-2 years (structural) 2-8 weeks (tactical) Current snapshot
Data Granularity Monthly (6M/12M SMA) Daily (25 business days) Daily CSV
Detection Target Regime transitions 10-20% corrections Breadth health score
API Calls ~10 ~33 0 (Free CSV)

Script Arguments

python3 macro_regime_detector.py [options]

Options:
  --api-key KEY       FMP API key (default: $FMP_API_KEY)
  --output-dir DIR    Output directory (default: current directory)
  --days N            Days of history to fetch (default: 600)

Resources

  • references/regime_detection_methodology.md — Detection methodology and signal interpretation
  • references/indicator_interpretation_guide.md — Guide for interpreting cross-asset ratios
  • references/historical_regimes.md — Historical regime examples for context