Market-Structure Anomaly Score

How to read it

Five internal dimensions — breadth (RSP/SPY), concentration (ex-Mag-7/SPY), credit (HYG/LQD), small-cap (IWM/SPY) and factor/beta (SPHB/SPLV) — are each measured as a recent ratio move and standardised against ~3 years of their own history. The anomaly is the Mahalanobis distance across all five: how far today's combined configuration sits from its norm given how these internals normally co-move. A divergence between dimensions that usually move together — say small-caps rising while breadth narrows — therefore reads as more unusual than either move alone, while a shared move counts once rather than several times. The quadratic form decomposes additively, so each dimension's contribution % is its correlation-aware share of the distance; the covariance is shrunk toward the identity (Schäfer–Strimmer λ) for stability. Direction flags whether the abnormality is a firm-index-over-weak-internals warning or an improving-internals recovery; lifecycle tracks whether it is new, worsening, persisting or resolving. The percentile self-recalibrates to the metric, but the 50/70/85/95 bands remain uncalibrated pending backtest — directional, not exact.

For information and discussion only — a reading of market internals, not investment advice. Feeds the Daily Read; pairs with Regime Baselines and the Cross-Toolbox Alert Stack.