Research track v5 — oil term structure, systematic Fed rollover, stagflation tail

v5 mechanics (frozen 2026-09-21)

• Tier 1 gates, each latched for 45 sessions (identical to v3): G1 · HY credit stress (HY OAS +65 bps over 20 sessions OR >= 425 bps); G2 · CCC stress (CCC & Lower OAS >= 1200 bps OR +150 bps over 20 sessions); G3 · yield exhaustion (DGS10 >= 5.10% OR 200-day z >= +3.0).
• Tier 2 quorum — at least 2 of 5 confirmations, each latched for 15 sessions: claims 4-week MA ≥ trailing 1-year min + 25k; GLD/CPER > 1.15× its 50-day SMA; SPHB/SPLV below its 50-day SMA; Brent term structure — prompt-to-6M calendar spread ≤ $0.50/bbl (contango flip), sourced live from the yfinance Brent contracts (BZ=F vs the +6-month contract built from the month codes F G H J K M N Q U V X Z, e.g. BZH27.NYM), with a roll-yield proxy fallback (BNO 60-day return minus Brent spot 60-day return ≤ -2%) when the contract data is unavailable or thin; T10Y2Y ≥ trailing 12-month min + 0.25. This oil leg replaces v3's BNO 20-day momentum leg (≤ -8.0%).
• States: PHASE 2A when a Tier 1 latch is hot AND the quorum is met (banner: “PHASE 2A: ROTATE DURATION TO 25%, EXIT CYCLICALS”); ARMED when a Tier 1 latch is hot without the quorum; PHASE 1 otherwise. PHASE 2B = 2A AND the automated Fed-rollover flag — DGS2 < (DFEDTARU+DFEDTARL)/2 − 0.25 — computed from FRED daily (banner: “PHASE 2B: DURATION TO 32%”). config.json is not used.
• TAIL_OVERRIDE supersedes all states (purple): weekly DGS10 close > 5.40% AND Brent spot > $120, where the weekly close is the last available observation of the calendar week. Banner: “STAGFLATION TAIL: NO DURATION ADDS - HOLD CARRY/TIPS/GOLD”; all 2A/2B rotation instructions are suppressed while it is active. It exits when either condition lapses for 5 sessions. The 2A/2B machine keeps running underneath, so an exit or the time stop can close 2A while the override is displayed.
• Exits from 2A/2B (first one wins; all require persistence): HY credit below its 50-day SMA for 3 consecutive sessions; SPHB/SPLV above its 50-day SMA for 3 consecutive sessions; or 60 sessions elapsed in state. After any exit, a 10-session cooldown blocks re-entry (no same-day re-entry; an exit day closes non-red). During the cooldown the quorum may still be hot while re-entry is blocked — the strict state definitions then read ARMED only when the quorum is not met, PHASE 1 otherwise.
• Live twin: monitor v5 evaluates these exact rules on live data every day (same code, imported from backtest_v5.py) and logs the oil-leg source and the Fed-rollover and TAIL_OVERRIDE inputs in status.json each day.

Sample discipline — read this first

• Parameters frozen 2026-09-21 (first deploy date; ? days ago). No parameter changes are permitted after this date; any future change ships as a new research track.
• The entire historical record is DESIGN-CONTAMINATED for v5: it was designed after observing the v1–v3 results (v1's live record, v2's out-of-sample failure, v3's reconstructed history). Historical metrics here are illustrative only — they cannot be evidence of skill. The true test is forward performance from the freeze date.
• ETF availability: SPHB/SPLV start May 2011, BNO mid-2010, CPER late 2010, GLD late 2004. ETF-based indicators do not exist before 2011, so this track evaluates 2011-01-01 onward and makes no claims about pre-2011 performance.

Data notes

• Credit gates pre-2023-09 run on the Baa proxy (Moody's BAA10Y, same data break as v1/v2/v3) and are conservative: Baa is investment-grade debt and runs tighter and less volatile than HY. The real HY series would have fired Aug 2007 in a GFC-like episode, so the reconstructed record understates credit-gate lead time.
• Oil leg: Brent +6M contract history is thin, so the backtest's C4 leg uses the roll-yield proxy (BNO 60-day return minus Brent spot DCOILBRENTEU 60-day return ≤ -2%) throughout and is marked approximate. The live track prefers the actual calendar spread and falls back to the proxy; the source used is logged in status.json each day.
• CCC & Lower OAS: FRED BAMLH0A3HYC. Like all ICE BofA series, FRED serves only a rolling 3-year window, so G2 is inactive before ≈2023-09 — there is no long-history CCC proxy.
• TAIL_OVERRIDE weekly close: last available DGS10 observation of the market week (weeks ending Friday), so a partial current week uses its latest observation — the same convention as the v4 invalidation panel.
• Data repair (2026-09-23 hotfix, no parameter change): the DCOILBRENTEU Brent spot input was data-suspect on 41 session(s) (deviation > 15% from the BZ=F front-month close); the BZ=F close stands in on those dates for the tail-override and oil-proxy inputs. Flagged data-suspect.
• Same caveats as v1/v2/v3: FRED publication lags ignored, no vintage adjustment, spliced proxies for pre-ETF history, closing prices only.

Limitations

• This is a research track, not the live system; monitor.py is unchanged. The latches, exits, cooldown, override and every threshold are exogenous design choices — only the freeze discipline is claimed, not optimality.
• For scoring, TAIL_OVERRIDE days count as red days (it is a defensive alert state); that raises its apparent false-positive share relative to a pure recession signal, which the stagflation case accepts by design.
• The exit/cooldown asymmetry is deliberate: quick re-entry after a whipsaw exit is impossible for 10 sessions, so a V-shaped recovery can run for up to two weeks with the state non-red. The flip count in the comparison table is the honest cost of the hysteresis.
• The Fed-rollover flag compares a market price (DGS2) to the target midpoint with a fixed 0.25-pt margin; around target changes it can flicker day to day. It gates only the 2A→2B escalation, never an entry.