Equities

The weekly H.8 commercial bank deposits year-over-year Z-score, read as a slow-moving regime signal for ES forward returns. Thirty-six years of history across 238 state transitions. The clearest edge is on the downside: Deposit Contraction has preceded SPY forward 60-day returns of plus 0.90 percent versus a plus 2.31 percent unconditional baseline, an edge of minus 1.41 percentage points. The 2021-2023 Fed hiking cycle produced the longest Deposit Contraction stretch on tape (440 trading days).

The year-over-year change in HG copper (Dr. Copper) read as a global-growth proxy composite for ES forward returns. Thirty-six years of history, 605 state transitions, three-state machine. The counterintuitive edge: Copper Normal has delivered the strongest fwd 60-day SPY returns at plus 3.02 percent versus a plus 2.31 percent baseline, while Copper Growth Surge delivers only slightly above baseline. The 2020-2021 post-COVID copper super-rally (293 days in Surge) is the signature case.

The VIX (CBOE Volatility Index) read with inverted polarity as a volatility-regime proxy for SPY forward returns. Thirty-six years of history, 1,435 state transitions, three-state machine. The contrarian edge: VIX Elevated states (risk-off) have historically preceded SPY forward 60-day returns of plus 3.39 percent versus a plus 2.31 percent baseline, at HAC t of plus 4.31 significant at the 1 percent level. VIX Low states have delivered below-baseline returns. The signal is the classic volatility-risk-premium pattern.