Market Context Analysis: Model, Index Tape, and Constitution Rules

A single market label can hide important disagreement. A model can produce a strongly directional score while major indexes show mixed or opposing evidence.

TradeRegimen's Market Context keeps those facts in separate layers. The interface shows the unchanged model output, evaluates the index tape independently, and reports their agreement. Any effect on calculated size or entry checks comes from rules the user explicitly selected in their Constitution.

Layer 1: The Attributed Zweig SuperModel

The Zweig SuperModel remains a 10-point model. Its implemented structure is 8 monetary points and 2 momentum points. TradeRegimen preserves both the raw score and the model's own classification, including labels such as MAX BULLISH or MAX BEARISH.

Those labels belong only to the attributed model output. They are not presented as an overall instruction, because the index tape can confirm, partially confirm, or conflict with the same direction.

A raw model classification is one fact in Market Context, not a final recommendation.

Layer 2: SPY and QQQ Tape Observations

The tape layer evaluates SPY and QQQ using four observations per index. Each observation is reported as Up, Down, Mixed, or Unavailable.

• Daily 10/20: the relationship between daily 10- and 20-period trends.
• Weekly 10/20: the corresponding relationship on weekly data.
• 5-DMA: the latest index behavior relative to its 5-day moving average.
• New highs/new lows: whether participation supports an upward or downward reading.

An index is directionally confirmed only when at least three of its four observations agree. Missing data does not count as confirmation, and a Mixed observation remains visible instead of being forced into a directional vote.

Layer 3: Cross-Signal Agreement

Cross-Signal Agreement compares the confirmed SPY and QQQ directions with the Zweig model direction. The calculation is deterministic:

1. High: both indexes confirm the model direction.
2. Mixed: confirmation is partial and no index opposes the model.
3. Low: an index opposes the model, or neither index confirms a directional model.
4. Unavailable: the model or required tape facts cannot be evaluated.

Reason codes accompany the level so the same inputs always produce the same explanation. This matters when reviewing why a configured rule was met or conflicted.

How Constitution Rules Use Context

Market Context facts remain visible even when no rule is configured. A user who enables Market Context sizing must explicitly select both a tape confirmation requirement and a mismatch action.

Confirmation requirements

• None: no index confirmation is required.
• One index: at least one index must confirm and neither may oppose.
• Both indexes: both SPY and QQQ must confirm.

Mismatch actions

• Flag only: report a nonblocking conflict.
• Configured cap: cap the multiplier at 0.5 and the position count at three.
• Block: create a user-configured blocker and calculate zero new shares.

These rules do not replace the rest of the Constitution. Base risk, total exposure, correlation, loss limits, and position-count checks continue to operate independently.

Reading a Market Context Result

Start with the attributed score, then inspect whether each index has enough observations to establish direction. Read the agreement level and its reason codes. Finally, check whether your own Constitution rule was met or conflicted.

This ordering avoids turning one prominent label into a conclusion. It also leaves an auditable trail from raw observations to any sizing cap or blocker the user chose to configure.