Multi-horizon market opportunity across structural, stress, and tactical conditions.
Long-term backdrop
Structural sets the 1–5 year backdrop; Stress refines entry quality from current or recently elevated volatility.
Long-term market backdrop and multi-year opportunity.
55
Normal
Mid-range calibrated conditions.
FROST Structural (0–100)SPY cumulative return indexNeutral (50)63-session Δ corr 12%
2026-07-20: Structural 63.5 · SPY 525.4 (+425%)
63-session Δ correlation with SPY: 0.12. Rising structural score over ~3–6 months is the primary bullish signal.
Entry quality created by current or recently elevated volatility.
49
Normal
21-session median volatility 16.7 (Calm · 14 ≤ volatility < 17). volatility has normalized, but a recent stress episode still supports one-year entry quality versus long calm stretches. Live vol is no longer elevated. Peak 85.7 on 2026-04-17, 63 sessions ago.
Regime stability 100% — last 15 sessions in current band
Vol band Calm · 21d median 16.7
Recent stress episode — peak 85.7 on 2026-04-17, 63 sessions ago. Volatility normalized; stress-driven entry context still above long calm stretches.
FROST Stress (0–100)SPY cumulative return indexNeutral (50)63-session Δ corr -29%
2026-07-20: Stress 49.2 · SPY 345.3 (+245%)
Score ranks 21-session median stress index vs ~10 years. Green callout = recent stress episode still supports stress entry quality after vol normalizes. Raw vol band uses history-lesson clamps.
Short-term tactical conditions over the next several trading sessions.
63
Positive tailwind
Short-term conditions are in their strongest historical quintile and have been associated with better subsequent returns.
STRETCH
+1.43
raw 20.08
MOM1M
+0.15
raw 0.00
VRP
+0.64
raw 6.95
FEAR
-0.06
raw 18.65
TREND
+1.00
raw 1.00
FROST Pulse (0–100)SPY cumulative return indexNeutral (50)63-session Δ corr -69%
2026-07-20: Pulse 63.7 · SPY 553.3 (+453%)
SPY is forward-filled to each scored session and shown as a cumulative return index (100 at the first scored session) on the left axis. The opportunity score stays on the right axis (0–100). Correlation badge uses session-over-session changes — not level overlap.
When FROST Structural landed in each band, these are the subsequent real SPY outcomes across history.
Score clamp: 0 ≤ score < 20
Low calibrated opportunity — multi-year real returns.
Score clamp: 20 ≤ score < 40
calibrated reading — momentum often mattered more than level alone.
Score clamp: 40 ≤ score < 60
Mid-range calibrated conditions — typical long-run backdrop.
Low: -3.2% total (-0.7% CAGR)
High: 69.5% total (11.1% CAGR)
Score clamp: 60 ≤ score < 80
Constructive calibrated setup — sharp rises often preceded strong subsequent years.
Low: 33.8% total (6.0% CAGR)
High: 107.1% total (15.7% CAGR)
Score clamp: 80 ≤ score ≤ 100
Strongest calibrated tailwind zone — upward momentum aligned with bull phases.
Low: 51.7% total (8.7% CAGR)
High: 78.0% total (12.2% CAGR)
Each dot is a prior FROST opportunity reading paired with the subsequent 5-year real SPY CAGR. Hover the blue median line for score and CAGR at any point. The line spans the full 0–100 score axis (trend extrapolation where data is sparse). 2,165 sessions with 5y forward real SPY returns · Spearman ρ +0.65 (95% CI +0.47 to +0.73) · monotonicity 1.00.
Shaded IQR · smoothed median · scatter sample.
When FROST Stress landed in each band, these are the subsequent real SPY outcomes across history.
Score band: 0 ≤ score < 10
Strong complacency — historically weakest one-year entry quality.
Low: 15.3% total (2.9% CAGR)
High: 90.6% total (13.8% CAGR)
Score band: 10 ≤ score < 35
one-year entry quality versus history.
Low: -3.2% total (-0.7% CAGR)
High: 95.5% total (14.3% CAGR)
Score band: 35 ≤ score < 65
No strong FROST Stress one-year entry signal.
Low: 5.4% total (1.1% CAGR)
High: 95.1% total (14.3% CAGR)
Score band: 65 ≤ score < 85
Stress improving one-year entry quality —
Low: 16.8% total (3.1% CAGR)
High: 94.8% total (14.3% CAGR)
Score band: 85 ≤ score ≤ 100
Market stress historically associated with stronger subsequent one-year real returns.
Low: 29.8% total (5.4% CAGR)
High: 107.1% total (15.7% CAGR)
Each dot is a prior frost stress opportunity score paired with the subsequent 5-year real SPY CAGR. Hover the blue median line for score and CAGR at any point. The line spans the full 0–100 score axis (trend extrapolation where data is sparse). 2,896 sessions with 5y forward real SPY returns · Pearson r +0.26 · Spearman ρ +0.27.
Shaded IQR · smoothed median · scatter sample.
When FROST Pulse landed in each quintile band, these are the subsequent real SPY outcomes across history.
Score clamp: 0 ≤ score < 20
Historically —.
Low: -40.3% total (-40.3% CAGR)
High: 50.4% total (50.4% CAGR)
Score clamp: 20 ≤ score < 40
Cooler than normal — market heat.
Low: -41.8% total (-41.8% CAGR)
High: 47.8% total (47.8% CAGR)
Score clamp: 40 ≤ score < 60
Mid-range calibrated conditions — typical long-run backdrop.
Low: -46.0% total (-46.0% CAGR)
High: 47.8% total (47.8% CAGR)
Score clamp: 60 ≤ score < 80
Elevated joint conditions — valuations and mood running hot.
Low: -47.5% total (-47.5% CAGR)
High: 49.3% total (49.3% CAGR)
Score clamp: 80 ≤ score ≤ 100
Historically extreme joint conditions — euphoria and stretch.
Low: -48.6% total (-48.6% CAGR)
High: 72.4% total (72.4% CAGR)
Each dot is a prior FROST opportunity reading paired with the subsequent 1-year real SPY CAGR. Hover the blue median line for score and CAGR at any point. The line spans the full 0–100 score axis (trend extrapolation where data is sparse). 4,386 sessions with 1y forward real SPY returns · Spearman ρ +0.01.
Shaded IQR · smoothed median · scatter sample.