Market Personality · Report
ES — E-mini S&P 500
ES is in a textbook trending state with volatility in its normal band — the kind of market where trend-following strategies (breakouts, moving-average crossovers, momentum) tend to work the way the backtest said they would. We built this read from 37 years of ES daily data.
Archetype: Healthy Trend
Archetype verdict
E-mini S&P 500 is a Healthy Trend market right now — the archetype label is how the full 37-year read of its personality rolls up into one tag. Standard trend regime at normal volatility. Most trend-following systems work as advertised.
Three readings drive that call (all scored against ES’s own history, not against other markets):
- Volatility: Normal — 71st percentile — in the typical band
- Trend strength: Trending — 80th percentile — medium-term persistence runs high
- Tail risk: Clean — 20th percentile on kurtosis — no fat-tail shocks piling up
- If you’re a trend trader: This is your environment. Breakouts and moving-average crossovers historically behave the way the backtest said they would. Keep normal position sizing.
- If you’re a mean-reversion trader: Fading moves is the lower-probability play right now — wait for the tail regime to break or the Hurst reading to roll below 0.5.
- If you’re sizing for risk: Vol is in the 71st percentile of ES’s own history — a touch warm. Consider trimming positions 10-15% from your baseline until vol normalizes.
DNA radar
This radar chart is ES’s fingerprint today. Each of the six spokes measures one trait of the market — how strongly it trends, how volatile it is, how fat its tails are, and so on — ranked against ES’s own 37-year history. A big spike on one spoke means ES is unusually strong on that trait right now. The overall shape is the market’s personality at a glance.
5-year trajectory
Today’s radar is only one frame. This strip shows four frames — 5 years back, 2 years back, 1 year back, and today — so you can see ES’s personality evolve over time. All four use the same yardstick (ES’s full history), so any change in the shape is a real change in the market, not a change in how we’re measuring it. The label under each frame is the archetype we called at that time.
How to read it: a growing polygon means the market is heating up on those traits. A shrinking polygon means it’s cooling off. Big label changes between frames (e.g. Healthy Trend → Full Crisis) are the real regime shifts worth paying attention to.
Current-state scorecard
Here’s the full read — all 16 traits we track, measured over four lookbacks (1 year, 2 year, 5 year, lifetime). Each number is a percentile: how today’s reading ranks against this market’s own history over that window. BIG 6 tags the six traits that drive the radar chart above. Use the arrow column to see whether each trait is rising, flat, or falling vs its 2-year distribution.
← swipe horizontally on mobile to see all columns.
Trend column: ↑↑ strongly rising vs 2-year distribution, ↑ rising, → flat, ↓ falling, ↓↓ strongly falling. Thresholds are 0.5 and 2.0 standard deviations. Percentile ranks use the full lifetime distribution — a 70th-percentile reading means today is higher than 70% of all observed days. The 1-year column uses only ~252 days and should be read as a short-term signal, not a precise rank.
Markets like this
These are the three markets whose long-run personality most resembles ES — same temperament, not necessarily same direction. We compare each market’s 37-year fingerprint on the Big-6 traits, standardized so markets at different price scales can be compared fairly. Important: “personality peer” is not the same as “price peer.” Two markets can trade in lockstep and have totally different personalities, and vice versa.
The distance number is a similarity score. Smaller = more alike. NQ at 1.04 is a close cousin; CL at 2.19 is a more distant relative. Under the hood: each market’s Big-6 traits are averaged over its full history, z-scored across the 18-market universe (winsorized at ±2.5σ so a single extreme market can’t pull the geometry), then compared with Euclidean distance. Short-history markets (BTC) have more sample uncertainty in their lifetime mean — treat them as lower-confidence matches. See the full map on the personality clusters page.
Recent signals
These are the archetype-sequence patterns whose forward-return behavior has survived a per-market empirical test on ES. When a transition matches one of these patterns, history shows a reliable short-to-medium-term edge on this market. Signal narratives, horizons, and historical Sharpe come from an in-house 37-year backtest; see how signals are tested.
Market snapped directly from Full Crisis into Healthy Trend — the classic V-shaped recovery pattern.
Market emerged from Full Crisis into Working Range — volatility is coming down and price settles into a range.
Market moved from Full Crisis into Crisis Trend — the worst is losing its grip and directional behavior is returning.
Violent-Range volatility is easing into a normal Working Range — the stress event is fading.
Momentum Run collapsed into Working Range — the momentum trade is losing energy and historically rolls over.
Working Range quieted down into Quiet Range — volatility compression without stress is historically constructive.
Market cracked from Nervous Range into Full Crisis — the crash is already pricing in; recovery historically arrives over 63d.
Healthy Trend accelerated into Momentum Run — the trend is going vertical and historically tops out fast.
Crisis Trend deepened into Full Crisis — the stress event is reaching its climax.
Signals are historical; past performance does not guarantee future results. These are not trade recommendations — they are the empirically-validated patterns we watch for on this market.
Macro lens
Separate from the per-market pair signals above, these are findings where ES‘s personality archetype carries information about an external macro regime — an inflation print, a yield-curve inversion, a drought. These are empirical “when this market’s personality looks like X, that external macro regime tends to follow” findings — context signals, not trade recommendations.
When the S&P 500 enters a Crisis Trend archetype, U.S. IG credit spreads blow past 2% within six months 44% of the time — roughly double the base rate.
Equity-market crisis archetypes historically lead investment-grade credit stress by weeks to months. When ES shows Crisis Trend, treat it as a leading read on the IG credit cycle, which in turn drives the broader financial-conditions index. Context signal for cross-asset positioning, not a direct trade.
When the S&P 500 goes Violent Range, the MOVE index climbs through 120 within six months 85% of the time — nearly 3.5× the 25% base rate.
Treasury-vol spikes (MOVE ≥ 120) are classically associated with sharp Fed repricing events. Equity-market violent ranges and momentum runs historically precede these moments. One of the strongest lead-indicator findings in the catalog — 85% hit rate at 3.46× lift.
When the S&P 500 enters a Crisis Trend archetype, the Fed slips into effective easing (negative shadow rate) within six months in 92% of all cases — the sharpest lead-indicator signature in the catalog, at 3.01× lift.
A standout finding. The Fed reaction function is historically clear: when equities tip into Crisis Trend, the policy response of effective QE arrives within two quarters almost without fail (60 of 65 historical cases). Full Crisis follows the same pattern at 75% hit rate. Direct read on the Fed put. Context signal for cross-asset positioning, not a trade.
When the S&P 500 enters a Violent Range archetype, NFIB small-business optimism collapses below 90 within six months 42% of the time — well above the 16% baseline.
Small-business sentiment is an unusually clean recession trip-wire (<90 only in deep slumps). When equity-market chaos takes hold — Violent Range, Crisis Trend, Full Crisis or Momentum Run — the NFIB collapse tends to follow. 50 years of history support the pattern.
When the S&P 500 enters a Violent Range archetype, EM corporate credit spreads blow past 5% within six months 61% of the time — nearly 3× the base rate.
EM credit and U.S. equity volatility are tightly linked through global risk-off cycles. Violent Range on ES is the single sharpest lead indicator for EM corporate credit stress (2.74× lift, n=36). Cross-asset risk-off context.
When the S&P 500 enters a Crisis Trend archetype, Fed total assets expand by 10%+ YoY within six months 76% of the time — 2× the 37% base rate.
Equity crisis states and Fed balance-sheet expansion are tightly coupled through the Fed response function. This signal complements the equity × Fed easy-money read: both show Crisis Trend on ES is a highly reliable lead for QE policy response within two quarters.
When the S&P 500 enters a Crisis Trend archetype, the U.S. unemployment rate rises by 1pp+ YoY within six months 64% of the time — 3.63× the baseline, the sharpest lead-indicator in the entire catalog.
Rising unemployment is the quintessential recession signal. Crisis Trend on ES is the strongest precursor — appearing nearly 5× its base rate during active unemployment-rising months. Together with the ES × Fed easy-money and ES × NFIB collapse signals, it forms a tight equity-recession triad.
When the S&P 500 enters a Violent Range archetype, CFTC speculative long positioning on the index hits a 5-year extreme within six months 44% of the time — 1.56× the baseline.
A positioning tell: periods of equity-market chaos (Violent Range) historically precede peak-crowded speculative long positioning. Context signal for equity-futures positioning cycles.
Past co-movement does not guarantee future results. Macro-lens entries are context signals — not trade recommendations.
37-year history
Three ways to look at ES’s full 37 years of personality. First chart: every Big-6 trait over time, with the “normal range” shaded in cream and the big macro events (crashes, policy pivots, crises) marked. Second chart: the whole 37 years compressed into one map so you can see how the market has moved through regime-space. Third chart: a month-by-month color calendar of which archetype ES was in — scroll it like a weather map of the market.
Coverage: 1989-11-30 to 2026-11-05 · 9,307 daily observations.
Feature history
One panel per Big-6 trait, over all 37 years. Hover any point for the exact reading. Drag the bar at the bottom to zoom into a specific era (e.g. 2008, 2020). The cream band is the p10-p90 envelope — the middle 80% of all-time readings. Treat it as a “normal zone” with a caveat: markets with fat tails routinely visit the extremes, so a value outside the band isn’t anomalous, just historically unusual. Triangles along the top mark major market events (structural breaks — crashes, policy turns, war); hover to see each one.
Personality map
This map shows where ES has lived over 37 years. The shaded region is a density map — darker patches are where the market has spent most of its time. The labeled circles (1990s, 2000s, 2010s, 2020s) are decade medians, color-matched to time (navy = early, gold = recent). The gold diamond is today, with the exact reading. Left-to-right is how strongly the market was trending (right = more trend, left = chop). Up-down is how volatile it was vs ES’s own history (0 = quiet, 100 = extreme). Read it as: is today close to where the market usually lives, or at the edge of unfamiliar territory?
Regime calendar
Every month of ES’s life, labeled as one of 12 personality types (combinations of volatility, trend, and tail risk). Each color is one archetype — the legend below the chart ranks archetypes by how much of the history the market has spent in each. Hover any band to see the exact month and archetype. Triangles are the same macro-event annotations from the first chart.
Methodology
The 16 traits. We group them into four families (click any underlined term for a quick definition):
- Trend traits (does the market keep going in one direction?): Hurst exponent (R/S estimator), variance ratios, ADF p-value, OU half-life, lag-1 autocorrelation.
- Volatility traits (how big are the daily swings, and are they sticky?): annualized vol (std dev of daily log returns, rolling 252-day window, scaled by √252), vol-of-vol, GARCH(1,1) persistence.
- Shape traits (are the tails fat? which side are shocks on?): skewness, excess kurtosis (Fisher), leverage correlation.
- Complexity traits (is the price path noisy or clean? do cycles repeat?): sample entropy, spectral entropy, fractal dimension, rolling max drawdown.
How we pick the archetype. Three pieces — volatility level, trend strength, tail risk — combine into a 12-box grid of personality types. We use ES’s own history (not a cross-market ranking), so a quiet market and a wild market can both be scored fairly against themselves. The classifier reads exactly three of the sixteen traits (Hurst percentile, annualized-vol percentile, kurtosis percentile) through hand-set thresholds. The other 13 traits inform the scorecard but not the archetype label.
How to read a percentile. “70th percentile vol” means today’s vol is higher than 70% of ES’s own history — NOT higher than 70% of other markets. Every number on this page is scored against ES itself. Cross-market comparisons live on the personality clusters page.
Caveats worth knowing.
- Percentile series look ahead. Readings on the feature-history chart are ranked against the market’s full lifetime, including data after the x-axis date. A 2008 reading at the 90th percentile is high relative to what we now know of history, not relative to what was known in 2008. This is a snapshot characterization, not a point-in-time rank series.
- The archetype classifier reads only 3 of 16 traits. Features like skewness, entropy and the complexity family feed the scorecard but not the label.
- Hurst is a structural measure, not a daily-trend signal. Hurst > 0.5 indicates long-memory in the 252-day rolling return series — useful for characterizing regime. It does NOT reliably predict positive next-day return autocorrelation. Our in-house empirical test on 37 years × 18 markets found no such link. Don’t read a “trending” Hurst label as a day-trading signal.
- Rule-based classifier. Thresholds are hand-set. The classifier does not learn from alert performance (that lives in TA Profile).
- Short-window instability. 1-year percentiles use ~252 days; on recently-listed markets (e.g. BTC) they are noisier than lifetime stats. Read the Lifetime column when confidence matters.
- Rolling windows lag sharp breaks. Expect feature readings to lag sharp regime breaks by a few bars.
- Event markers are hand-curated. The triangles on the feature history and regime calendar are macro-event annotations, not the output of a change-point detection algorithm. Alignment between an event and a visible shift on the chart is for reference, not a statistical claim.
Full plain-English definitions for every feature in the Feature glossary.
Related
- Market Personality hub — back to the market index.
- Personality clusters — both the structural map and today’s state map across all live markets.
- Feature glossary — plain-English definitions for all 16 features.
- Live risk-state detector (Phase 4 continuous stress score) — coming soon.