Macro Market Environment

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Market Environment Backtest

Checks whether the Market Environment risk score has actually been useful historically, instead of just looking plausible. This reconstructs the score at every month in the selected date range using real FRED macro data and SPY price history, then compares each month's score against SPY's subsequent 3/6/12-month performance. A well-calibrated score should show negative correlations (higher risk score → lower future return) and "Critical"/"Elevated" months averaging worse forward performance than "Low" months.

"Since 1999" is the recommended default, not the earliest technically possible date: it's the point by which every factor already has real FRED data, since Fed Funds Pressure (EFFR) only starts in July 2000 — an earlier custom start date means that one factor falls back to a fixed baseline constant instead of a real value for the months before its data begins. Custom start dates are still accepted back to 1990-01-01 if you want a longer (but less complete) history anyway. Earlier start dates also fetch more history and take longer the first time (up to ~30 seconds); results for a given period are then cached for a day. Start dates must be at least 13 months before today. Leaving the end date blank scores every month through the most recent one available; setting it only limits which months get a score — the forward return/drawdown for the last few scored months can still look at real price data after that date, since that's necessary to see what actually happened next.

How to read these results
Forward horizon (the 3 panels below)
Each panel repeats the exact same analysis, just changing how far into the future it looks before checking what actually happened. For example, if a month's risk score was reconstructed for January 2020, the "3-Month" panel records SPY's return from January 2020 to April 2020; the "6-Month" panel records it through July 2020; the "12-Month" panel through January 2021. Every scored month is reused across all three panels — only the length of the forward-looking window changes. Comparing all three shows whether the score's predictive value holds up, strengthens, or fades the further out you look.
Risk tranche (Low / Elevated / Critical)
The same Low (score < 50), Elevated (score ≥ 50), and Critical (score ≥ 75) bands used by the live Market Environment gauge, applied retroactively to each historical month's reconstructed score.
Avg forward return / max drawdown
For every month that fell into a tranche, this averages SPY's subsequent total return (and worst peak-to-trough decline) over that panel's horizon. If the score is useful, "Critical" and "Elevated" months should show worse (lower/more negative) averages than "Low" months.
Correlation with forward return / drawdown
Ranges from -1 (perfectly predicts lower returns as the score rises) to +1 (perfectly predicts the opposite). Values near 0 mean no real relationship. A genuinely useful risk score should be negative and ideally get more negative at longer horizons.
Sample size
The number of historical months with enough data to include. Small tranche counts (especially for "Critical", which is rare) mean that tranche's average is less statistically reliable.

About Pensive Trader

Pensive Trader is a stock and ETF research dashboard that combines current market data, interactive charts, screening, watchlists, and statistical analysis in one focused workspace.

What you can do

Statistical analysis

The analysis view combines relative alpha, integral trend persistence, derivative velocity, and time-adjusted relative volume into a composite weight and Bullish/Bearish Score. It identifies the stock's sector and reports unavailable benchmark inputs explicitly. The result summarizes the current price state; it is not a probability, confidence estimate, or forecast of future returns.

Model Insight report

The Model Insight page, available from the header, samples a ticker's recent historical intraday observations and reports how its Bullish/Bearish Score actually behaves: the score distribution, how often each regime appears, which factors drive the composite weight, and how complete the underlying relative-alpha and volume data are. It is a transparency report on the scoring model itself, not a prediction, probability, or forward-return backtest.

Market Environment and backtesting

The Market Environment link, available from the header on every page, computes a 0–100 macro credit-risk score from seven FRED-sourced (or fallback) inputs: Corporate Debt-to-GDP, Equity Risk Premium, Fed Funds Pressure, Core PCE Inflation, Credit Spread Stress, Yield-Curve Inversion, and Federal Debt-to-GDP. The score is classified into Low, Elevated, and Critical tranches, and every factor reports whether it used a live or fallback value. The Backtest link reconstructs that same score at every historical month back to a chosen start date and reports its correlation with SPY's actual subsequent performance, so the model's usefulness can be checked against real data instead of taken on faith. A "Compare:" toggle in the Backtest modal can also switch from "Market only (SPY)" to a chosen ticker, adding that ticker's own historical returns and excess return over SPY for each risk tranche alongside the market-wide results.

Desktop and web access

Use the web dashboard to search, screen, chart, and maintain a watchlist from a browser. The web Watchlist also provides a dedicated sector view with ETF logos, symbols, sector names, prices, changes, and percentage changes in aligned columns. The Windows desktop application adds live ticker detail windows, an always-visible SPY market reference, analysis for selected Market Screener results, a sortable Sectors table for monitoring the configured sector ETFs, and its own Market Environment window, which keeps its already-fetched results on hand and reappears instantly when reopened instead of re-fetching from FRED every time. Pensive Trader is an informational tool and is not financial advice.

Getting Started Open Analysis