Mingdom Alpha
as of 2026-09-30
Report date
2026-09-30
Web data generated
2026-09-30 1:41 PM PDT
Alpha report generated
2026-09-30 1:41 PM PDT
Alpha web build revision f0e5a86caf26Alpha web package 20260930T204336686069Z-735cc190e1b4

Market overview

US equities2026-09-30 close

Cautiously bullish

3-6 month outlook
Maintain normal risk

Hold your normal equity allocation. Do not add an overweight.

Price state

Trend intactCovered

Higher = stronger trend. Midrank of available observations; latest revisions. Four-week rank change uses the same current reference window. These are condition ranks, not forecast probabilities.

SPY vs 200-day average
6.2%
2026-09-30
From one-year high
-2.0%
2026-09-30
Realized volatility percentile
15 / 100
2026-09-30
0.14Past year
-0.04
2025-09-302026-09-30

Underlying level rank: 43 / 100

Window comparison, underlying level rank: 3y 24/100 · 5y 43/100 · 10y 43/100. Different windows describe different historical environments.

An intact trend supports holding exposure. A trend break calls for a risk review; a large drawdown alone does not establish a bottom.

Definition & limits

SPY versus its 200-day average, distance from its trailing one-year high, and 63-session realized volatility ranked within its recent two-year history.

A deep decline is not automatically a better short or a confirmed bottom. Moving averages lag; these candidate states are not buy/sell rules.

2021-10-01 to 2026-09-30 · 1254 observations. Midrank of available observations; latest revisions. Four-week rank change uses the same current reference window. These are condition ranks, not forecast probabilities.

Historical study

Exploratory conditional study; adverse paths and recovery behavior differ. Few independent bear-market episodes limit certainty.

Following 63 trading sessions, about three months. 1994-01-31 to 2025-12-31.

SPY outcomeThis conditionAll eligible months
Median return3.8%3.7%
Average return3.0%2.9%
Experienced a 10% drawdown12.5%21.1%
Monthly observations240384
Nonoverlapping windows75107

Drawdown is a peak-to-trough decline during the following window, not necessarily a loss from entry. Monthly windows overlap; even nonoverlapping windows can belong to the same market crisis. These historical frequencies are not forecast probabilities.

Estimated 95% interval for the historical mean: 2.1% to 3.9%, using quarterly block resampling. This is uncertainty in the mean, not the range of a future return.

Horizon: Weeks to six months
Alpha adjusted SPY prices

Allocation rules & evidence

Add toward target

SPY above its 200-day average; RSP and IWM leading over three months; 50-day and 200-day breadth each at least 50%; ordinary volatility; NFCI at or below zero and not rising.

Reduce below target

SPY closes below its 200-day average, or NFCI is above zero and rising over four weeks. Review a reduction below your normal equity target.

Normal allocation means your own equity target. These judgment rules do not set a percentage. Positioning and real yields inform context but do not change the allocation rule.

Historical trade-off

Monthly SPY exposure: 100% above the 200-day average, 50% below. 2011-06-01 to 2026-02-02.

StrategyAnnual returnWorst drawdown
Hold SPY14.0%-33.7%
Reduce on trend breaks11.5%-22.8%

Exploratory study, not a forecast. Next-close execution, 0.1% trading cost, no cash yield. Financing added no allocation changes in the matched-data comparison. The 50% allocation is illustrative.