🌐 Regime Detection

Daily SPY close with each bar shaded by its regime label. Background bands flip color where the model detected a regime change.

Daily posterior probability the model assigned to its winning regime label. Higher = the model was very sure; dips toward 0.5 = transition periods where the regime is genuinely ambiguous.

For each detected regime: how often it occurred, the average daily return, the volatility (annualized), and the daily-vol average of the rolling-20d-volatility feature used for classification.

Day-over-day probability of moving from one regime (rows) to another (columns). Diagonal = staying-power; off-diagonal = transition probabilities.