S&P 500
The 500 largest US companies, measured through the SPY fund.
Market data as of 2 October 2026
Model state
LONG· 100% in the asset- In state: 124 d
- The model may change state on the next signal.
- Last state change 8 April 2026
- The signal comes from the closing price and is executed on the next trading day.
What would change the state
The model moves to CASH when both conditions hold at once:
- Trend < 0not met
- risk risingmet
- Trend Score
- +55
- Strength and direction of the price trend over three horizons, from −100 to +100.
- Current volatility
- 10.5%
- Realised over the last 21 trading days, annualised.
- Expected volatility
- 13.2%
- IVCalibrated model estimate for roughly the next 21 trading days.
What the model says
Report for 2 October 2026S&P 500 gained 0.7% and its trend score rose by 2 points to 55. Current volatility stands at 10.5% with expected volatility at 13.2%, meaning risk is rising. The model stays in LONG and a switch to CASH would need the trend score to become negative.
Written by AI (Google Gemini) from the model's numbers only. Every number in it is checked automatically against the calculation. Not investment advice.
Over time
The history covers 504 trading days.
Model state over time
Last 10 trading days
| Date | Trend Score | Current volatility | Expected volatility | Day's signal | State |
|---|---|---|---|---|---|
| +55 | 10.5% | 13.2% | hold | LONG | |
| +53 | 10.3% | 14.2% | hold | LONG | |
| +41 | 10.5% | 14.1% | hold | LONG | |
| +40 | 10.5% | 13.8% | hold | LONG | |
| +44 | 10.6% | 13.9% | hold | LONG | |
| +67 | 10.5% | 12.8% | hold | LONG | |
| +57 | 10.3% | 13.5% | hold | LONG | |
| +60 | 10.4% | 13.1% | hold | LONG | |
| +67 | 10.1% | 12.2% | hold | LONG | |
| +65 | 10.2% | 12.8% | hold | LONG |
Model parameters on the latest day
- Underlying
- SPY
- Implied volatility index
- VIX
- Implied volatility (VIX)
- 15.31
- α (intercept)
- -0.07206
- β (slope)
- 1.05398
- Training observations
- 8,453
FL_MM_V1
These outputs come from a research model and are for education. They are not investment advice or a price forecast. Past model results do not guarantee future ones.