LIVE PATH · REGIME EMITTER | Python / Julia | Interactive study | Research corpus | Citation
Market internals as a risk-regime read — do the confirming/diverging signals predict, or just coincide?
Benchmark is a member of the Blaque Baux family. The core repo is the engine and blueprint — a governed, systematic platform (Julia) with a venue-agnostic execution controller and a Layer-3 live-money safety gate. Benchmark points that engine at the market's own internals and inherits the governance wholesale.
Not investment advice. Educational/research software. Nothing here is validated. See LICENSE.
git clone --recursive https://github.com/blaquebaux/benchmark.git
julia --project=engine -e 'using Pkg; Pkg.instantiate()' # one-time engine setupTraders watch a wall of "internals" to judge whether a market move is healthy or hollow: VIX (fear), the advance-decline line / $TICK (breadth), HYG vs LQD (credit risk appetite), the MOVE index (bond vol), SPY vs RSP (cap- vs equal-weight participation), Dow Theory (DJIA confirmed by DJT, with DJU as the defensive tell), and the put/call ratio $CPC (sentiment). The folk belief is that divergences here warn — breadth rolling over, transports failing to confirm, credit widening — before price does. Benchmark asks the honest question: do these internals actually lead the market (a tradable/sizing regime), or do they merely coincide with it (a dashboard)? If they lead, benchmark becomes the family's third regime publisher (after bonds' stock-bond regime and brics' dollar regime); if not, it's an honest diagnostic.
Data note: several of these are index/breadth tickers a daily-bars vendor doesn't serve, so they're proxied (or flagged) with tradable instruments:
| requested | proxy | |
|---|---|---|
| VIX | VIXY |
VIX-futures ETF |
| HYG vs LQD (credit) | HYG / LQD |
direct |
| $ADD / $TICK (breadth) | RSP / SPY |
equal- vs cap-weight ($ADD & intraday $TICK not on daily bars) |
| DJIA vs DJT (Dow Theory) | DIA vs IYT |
industrials vs transports |
| DJU (defensive) | XLU |
utilities |
| MOVE index (bond vol) | TLT realized vol |
the MOVE index isn't on Alpaca |
put/call $CPC |
— | CBOE sentiment index not available (gap) |
Full detail in research/README.md. The scorecard (Alpaca SIP, 2016–2026):
| # | Question | Verdict |
|---|---|---|
| 1 | Are the internals a coherent dashboard? | ✅ correctly signed (VIXY corr −0.77, credit +0.47, defensives −0.43; risk-off internals spike on the worst SPY days) |
| 2 | Do they lead SPY or coincide? | ❌ coincident — fwd-20d spreads tiny/wrong-signed; peak cross-corr at k=0 (they mirror the tape) |
| 3 | Is the composite a tradable regime? | |
| 4 | Where does it earn its keep? | ✅ on a naive long book (SPY B&H +0.87→+1.11) — value shrinks monotonically with the book's own risk management; redundant on managed sleeves (broad +0.84→+0.80) |
The synthesis: benchmark is a coherent risk dashboard that resolves into a genuine risk-off
regime — which, honestly, is vol-timing, not the breadth/credit edge it looks like. The internals
coincide with the market (they confirm, they don't forecast); the composite still gates profitably
because risk-off regimes persist (high-vol clusters), and that benefit comes almost entirely from the
VIX / bond-vol components — strip them and breadth/credit/Dow-Theory barely clear buy-and-hold. So it's
managed-vol wearing an internals label, overlapping broad's
vol-target and bonds' crash behavior. Publishable as a family
risk-off regime (market_regime.txt) with that caveat — a risk map to READ and size with, not novel
alpha. Same honest lesson as Bubble: diagnostics flag, they
don't time.
The composite is now a governed driver on the engine (live/benchmark_live.jl).
Each run it:
- Publishes the market regime to
~/.config/blaquebaux/market_regime.txt(composite score + arisk_onflag) — the family's third regime signal after bonds' stock-bond and brics' dollar. The file itself carries the honest label: mostly vol-timing, not breadth forecasting. - Trades the regime's own expression — hold 80% SPY when risk-on (the 85% single-name safety-gate cap; the rest cash), flat/cash when risk-off — through the same Layer-3 gate, ledger, reconcile, kill switch and HWM as the spine.
BB_DRYRUN=1 bash live/run_benchmark_daily.sh # compute + publish the regime, place nothingValidation of record is research/benchmark_3_composite_regime.py
— gated SPY beats buy-&-hold net of cost (Sharpe +0.87→+1.11, maxDD −34%→−16%), with the honest caveat
that the edge is vol-timing (strip the vol signals and the non-vol internals barely clear buy-&-hold).
Dry-run verified (today: risk-on, composite +0.20). Not a live-money endorsement; paper by default.
Blaque Baux is a quantitative research initiative and a subsidiary of Carter Warrens. BlaqueBaux.com is the home for the work; the code lives here on GitHub — open to study, test, and build bespoke strategies on top of.
Anyone can point an AI at a market. The edge is understanding what the data actually says — and turning it into something you can act on. We test relentlessly and put most of it on the record as rejected, with the reason; what survives is built, governed, and validated before it is ever called real. That combination — honest research, reproducible evidence, and execution you can trust — is why Carter Warrens leads on strategy and implementation, not merely uses the tools everyone now has.
This repo is one sleeve of the Blaque Baux family — a single governed engine steered in many directions. The core repo is the base/blueprint and holds the full family roster.
engine/ the Blaque Baux platform (git submodule -> blaquebaux/base)
research/ three sketches (internals dashboard, lead-vs-coincide, composite regime) + scorecard
live/ benchmark_live.jl (regime emitter + gated-SPY book) + run wrapper + plist
MIT. (c) 2026 Carter Warrens.