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Macro Factor & Regime Classification

Market Regime & Factor Screener

Apply quantitative factor rules—such as Price > 200 DMA and Beta < 1.0 against the benchmark index—to classify macroeconomic regimes and screen for resilient assets.

Technical & Factor Parameters

Adjust moving average distances, benchmark beta, and RSI

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Regime Classification

Bear Market Defensive Qualifier

⭐ Bear Market Qualifier ACTIVE

Signal Strength

77/100

Dominant factor: Low-Beta Relative Strength

Systemic Risk Rating

Low

Beta: 0.85x benchmark volatility

200 DMA Trend Filter

Bullish (Above)

+4.5% deviation

What These Readings Indicate

Trading above its 200-day average with below-market beta. Historically this combination has been associated with smaller drawdowns than the index during broad selloffs - a description of past behaviour, not a prediction.

This is a description of what these four indicator readings conventionally signal. It is not a recommendation to buy, sell or weight anything, and no single technical reading has reliable predictive power on its own.

  • Asset trades above 200 DMA with Beta < 1.0, exhibiting structural downside protection.
  • Defensive sector profile reduces earnings volatility during economic slowdowns.
Factor Investing & Quantitative Regime Modeling10 min readSanguine Straphanger

Macroeconomic Market Regime Modeling: Quantitative Screening of Cyclicals vs. Defensives and the 200-DMA Low-Beta Rule

Market regimes dictate which asset factors outperform. While high-beta cyclicals lead during macroeconomic liquidity expansions, low-beta defensive assets trading above long-term trend lines generate the highest risk-adjusted alpha during late-cycle contractions and bear markets. Below is the quantitative architecture of regime detection.

1. The 200-Day Moving Average Trend Filter

In institutional quantitative finance, the 200-day Simple Moving Average (SMA200) serves as the primary boundary between secular bull trends and structural bear drawdowns. Assets trading strictly above their SMA200 demonstrate sustained institutional accumulation.

Formula 1: Bear Market Qualifier InequalityQuantitative Filter
Qualifier = &Iopf;(Pt > SMA200) × &Iopf;(βbenchmark < 1.0)

Pt = Current asset price at time t.

β = Regression slope of asset returns against the benchmark index (Nifty 50 / S&P 500).

&Iopf; = Indicator function returning 1 when condition is satisfied.

2. Factor Sensitivity Across Economic Phases

Market RegimeBenchmark StateOptimal Factor AllocationTarget Beta Band
Early Bull ExpansionPrice > 200 DMA (Advancing)Cyclicals, Autos, High-Beta Tech1.20 – 1.60
Late-Cycle / Bear QualifierIndex Stalling / Breadth DivergenceDefensives, FMCG, Utilities, Low-Beta0.50 – 0.85
Deep Macro ContractionPrice < 200 DMA (Declining)Short Duration Bonds, Cash, Gold< 0.30

Frequently Asked Questions & Quantitative Reference

A beta of less than 1.0 signifies that an asset experiences mathematically lower percentage volatility and systemic downside capture than the aggregate market benchmark, preserving capital during broad index drawdowns.
Factor Modeling Disclaimer

Educational & Modeling Purposes Only: Moving average indicators, beta metrics, and market regime classifications are quantitative models designed for academic exploration and technical analysis. They do not constitute formal buy/sell recommendations or guaranteed investment strategies.