Retest Re-Entry Monitor — RESEARCH SHADOW (no allocation role)
As of 2026-11-13 · generated 2026-11-14T02:02:19+00:00 · shadow JSON · evidence: Backtest: Retest
Current shadow phase
IDLE
since 2025-06-26 · 349 sessions
SPX total-return proxy
754.37
as of 2026-11-13
Sessions left in retest window
0
126-session window · no mid-window disarm
Frozen L6c hypothetical size
0%
no allocation role
Key levels and current distance
| Level | Value | Current SPX_TR distance |
|---|---|---|
| Trailing 252-session high | 779.09 | market is -3.2% below it |
| Running low | n/a | n/a |
| Rebound high | n/a | n/a |
| Trigger level = 0.95 × rebound high | n/a | n/a |
| Anchor / stop reference | n/a | n/a |
SPX_TR means the documented total-return proxy in daily CI mode; the pinned acceptance output uses Bloomberg SPX_TR directly.
Gate dashboard — what the frozen L6c rule WOULD deploy at a trigger today
Last-trigger reference only — no open retest window and no current deployment implication. Readings as of 2025-04-21; rebound-high date 2025-04-09.
Δ10Y during pullback
+8.0bp
0% if >0bp · 70% if ≤−20bp
HB/LV s20
-11.4pp
20-session simple % change · >+10pp → 70%
HB/LV vs SMA50
-11.4%
Context only; not an L6c veto
Hypothetical size
0%
0% / 35% / 70% · analytical only
Frozen hypothesis, not a validated allocation rule.
0% if Δ10Y > 0; 35% base if ≤ 0; 70% if Δ10Y ≤ −20bp OR
s20 > +10pp. Missing inputs make the reading and size unavailable.
Last 10 shadow events
| Date | Event | Level | Details |
|---|---|---|---|
| 2025-06-26 | DISARM | 603.67 | |
| 2025-04-21 | TRIGGER | 505.50 | anchor 488.38; rebound high 539.67; trigger level 512.68; hypothetical size 0% |
| 2025-04-09 | WINDOW OPEN | 488.38 | rebound high 539.67; trigger level 512.68 |
| 2025-03-13 | ARMED | 540.80 | |
| 2023-06-02 | DISARM | 409.71 | |
| 2022-12-16 | TRIGGER | 365.57 | anchor 338.54; rebound high 387.07; trigger level 367.72; hypothetical size 70% |
| 2022-11-10 | WINDOW OPEN | 338.54 | rebound high 374.74; trigger level 356.00 |
| 2022-09-27 | STOPPED | 345.01 | anchor 345.20 |
| 2022-08-26 | TRIGGER | 383.25 | anchor 345.20; rebound high 406.31; trigger level 386.00; hypothetical size 0% |
| 2022-07-28 | WINDOW OPEN | 345.20 | rebound high 383.97; trigger level 364.77 |
Canonical state definitions
- ARMED: SPX_TR closes at least 10% below its trailing 252-session high (min_periods=252). A new high disarms ARMED, ARMED_WAIT, and ENGAGED, but never interrupts an open retest window.
- RETEST-WINDOW: opens at +10% off the running low. Anchor = the running low at open; rebound high updates from the open. Trigger = first close at or below 0.95 × rebound high within 126 sessions.
- ARMED_WAIT: follows expiry at
i − open_i ≥ 126. A new low below the expired window's anchor is required before another window can open. - ENGAGED / STOPPED: a close below anchor stops the shadow cycle. The next session re-arms from the stop price as its running low, with no new-low requirement.
RESEARCH SHADOW — analytical only.
L5b is validated in-sample only. L6c is a frozen pre-registered hypothesis awaiting
out-of-sample validation. Both have no allocation role; the v7
portfolio and every existing monitor remain unchanged. Proxy documentation:
Not Bloomberg SPX_TR. Overlap diagnostics through 2026-10-30: annualized return difference −0.123pp, daily return-difference MAE 10.9bp, correlation 0.9858; threshold dates can differ.