The Caution Score — A Composite Regime Risk Signal
The Caution Score is a single number from 1 to 100 that combines three independent signals into one measure of how elevated the risk of a regime transition currently is — based entirely on 30 years of historical data.
When It Appears
The score only appears when at least 2 indicators are diverging from the current regime. With only 1 diverging indicator, the historical lift over the base rate is too small to be meaningful — 2 or more diverging indicators is where the signal genuinely starts to matter.
The Three Inputs
1. Combination Flip Probability
Learn more →The historical probability of a regime flip within 20 trading days given the exact combination of indicators currently diverging. Only included when at least 10 historical matches exist.
2. Score Momentum
Learn more →The historical flip probability given how far the composite score has dropped from its episode peak. Only included when the drop exceeds 10 points.
3. Regime Clock
Learn more →The historical flip probability given where the current episode sits within the distribution of all historical episodes — how many episodes have already ended by this point.
How They Are Combined
Each input is estimated from a different number of historical observations. A simple average would treat a signal based on 50 instances the same as one based on 1,500 — which would be misleading. Instead, each input is weighted in proportion to the statistical confidence behind it: inputs estimated from larger samples receive more weight, inputs from smaller samples contribute less.
The result is a probability-weighted average of the three flip probabilities, expressed as a score from 1 to 100. A score of 36 means the weighted-average historical probability of a flip within 20 days is approximately 36%.
What the Score Means
Validated across all div≥2 days in 30 years of data:
| Score | P(flip 10d) | P(flip 20d) | P(flip 30d) | N (days) |
|---|---|---|---|---|
| ≥30 | 38% | 59% | 72% | 2,594 |
| ≥35 | 43% | 64% | 75% | 1,858 |
| ≥40 | 48% | 67% | 76% | 1,291 |
| ≥45 | 53% | 73% | 80% | 770 |
| ≥50 | 61% | 83% | 89% | 305 |
| ≥55 | 69% | 85% | 95% | 133 |
| ≥60 | 89% | 98% | 100% | 55 |
Flip probability by caution score threshold — validated across 30 years (div≥2 days)
Below 40 — Low
Early warning only. Base-rate territory.
40–49 — Moderate
67% flip probability within 20 days.
50–59 — Elevated
83% flip probability within 20 days.
60+ — Critical
98% flip probability within 20 days. Historically rare — only 55 instances in 30 years.
What It Is Not
Not a timing signal
A score of 60 means conditions have historically preceded a flip at high frequency. It does not mean the flip happens tomorrow.
Not a trading signal
The Caution Score is a risk awareness tool. Trading decisions require additional context around entry, sizing, and cost.
Not adaptive to new events
The score reflects what has happened historically under similar conditions. Unprecedented events with no historical precedent cannot be incorporated.
Component Pages
For educational and informational purposes only. Not financial or investment advice. Historical probabilities are not guarantees of future results.