← CrashSignal
The scoring math, all of it.
Each indicator maps a raw public reading to a 0–100 fragility score. The mappings are judgment calls — we chose them, we disclose them, and they never change silently. The composite is the weight-renormalized mean of whatever indicators are live; unavailable sources are excluded, never faked.
Indicator mappings
| Indicator | Weight | Source | Score mapping |
|---|
| Shiller CAPE | 25% | multpl.com | 15× → 0 · 40× → 100, linear |
| HY credit spread (OAS) | 20% | FRED BAMLH0A0HYM2 | 6% → 0 · 2.5% → 100, linear (compression = complacency) |
| VIX term structure | 20% | Yahoo ^VIX / ^VIX3M | inverted (≥1.0) → 75–100; steep contango + VIX<13 adds complacency points |
| Yield curve 10y−2y | 15% | FRED T10Y2Y | +1.5% → 10 · 0% → 60 · −0.75% → 95 |
| Top-5 concentration | 15% | S&P 500 weights | 12% → 0 · 30% → 100, linear |
| Margin debt / GDP | 5% | FINRA (monthly) | manual refresh; excluded when stale |
Composite bands
- 0–39 LOW — conditions consistent with resilient markets.
- 40–59 MODERATE — some dials elevated; nothing systemic.
- 60–74 ELEVATED — multiple fragility conditions present simultaneously.
- 75–100 EXTREME — the combination historically seen near major tops. Not a timing signal.
Why complacency scores high, not panic. A market that has already crashed (wide spreads, VIX 50) is less fragile — the leverage is flushed, the insurance is expensive, the sellers already sold. Fragility peaks when everything is calm, expensive, levered, and concentrated. That's what this gauge measures, which is why it will read high during euphoric bull markets — that's the point.
Honest limitations
- Readings can stay elevated for years while markets rise (CAPE has exceeded 30 for most of the last decade). High fragility ≠ imminent crash.
- The weightings and breakpoints are informed judgment, not fitted parameters — we deliberately did not optimize them against historical crashes, because with six inputs and three crashes you can "predict" anything retroactively.
- Some sources publish with a lag (FRED daily series T+1, FINRA monthly).
Not financial advice. CrashSignal is a measurement tool. It does not predict market outcomes and is not a recommendation to buy, sell, or hedge anything.