INVITE-ONLY SCRIPT
Updated MMM Regime Returns Matrix v1
WWW.MACROMARKETMODEL.COM
MMM Regime Returns Matrix v1
The MMM Regime Returns Matrix turns the MMM nowcasts into a practical asset allocation and strategy tool.
What it does
It reads the Growth, Inflation, and Liquidity nowcast sources, classifies the macro regime, and shows how selected assets have historically behaved after those regimes.
Two regime modes:
4 Regimes (G + I only)
Goldilocks
Overheat
Stagflation
Contraction
8 Regimes (G + I + L)
Goldilocks + Loose / Tight
Overheat + Loose / Tight
Stagflation + Loose / Tight
Contraction + Loose / Tight
Use 4-regime mode as the main live allocator.
Use 8-regime mode as the refinement layer.
Recommended default setup
Regime convention: 4 Regimes
Sampling: Month-End
Attribution: T+1 (implementable)
Threshold mode: Buffered hold
Mid / band: 50 / 5
Source smoothing: 2
Anchor symbol: SPY
Fixed Date: from August 2011 to ensure Growth, Inflation and Liquidity nowcasts are sampled.
Nowcast Sourcing
Please ensure nowcast sources are set up to Growth, Inflation and Liquidity, respectively, as they will default to 'Close':
GROW_NOWCAST_SOURCE, INFL_NOWCAST_SOURCE, and LIQ_NOWCAST_SOURCE
Chart setup:
SPY
1W timeframe
T+1 logic
Under Month-End + T+1:
The regime recorded at T month-end is used to choose the allocation for the following month (T+1). The return earned over that following (T+1) month is then attributed back to the earlier regime (T).
Example:
End of February: record the February regime
March: hold the allocation implied by the February regime
End of March: measure the return from February month-end to March month-end
That March return is credited to the February regime
February regime → March allocation → March return
March regime → April allocation → April return
April regime → May allocation → May return
Regime Labels:
Current raw regime
What the model says right now on the current live bar, using the current G/I/L values. This can move during the month/week because it is not waiting for the sampling period to close.
Latest sampled regime
The most recent regime captured at the official sampling point — e.g. the latest completed month-end or week-end sample. This is the clean sampled regime, not the live intraperiod wobble.
Actionable regime now
The regime the user should use for the current T+1 allocation period.
Latest attributed regime
The regime to which the latest completed return observation is assigned for the stats engine. Under T+1, last month’s sampled regime explains this month’s return. So:
April sampled regime → May allocation / May return attribution.
Best workflow:
read Actionable regime now -> inspect the matrix for the broad picture -> inspect the detail table for the selected regime -> rank assets primarily by Sharpe -> confirm with N, Worst%, and Win%, or whichever metrics are suitable for your strategy goals -> allocate toward assets that historically fit the current regime and reduce exposure to assets that historically do not
The above is the most simplistic and rudimentary framing for what this tool can be used for. Once you are familiar with how it interacts with macro regimes, you can build out and refine more complex strategies that remain anchored by data.
Use 4-regime mode for the core allocation view.
Use 8-regime mode to see whether liquidity meaningfully sharpens the decision.
Metrics:
Sharpe
Annualized Return %
Annualized Volatility %
Average Return %
Win Rate %
N
Best %
Worst %
Validation Modes:
Off = full sample
Block OOS = only out-of-sample test blocks are scored
Use Block OOS to stress-test whether a regime effect still holds outside training history.
FAQ
What is this for?
To help turn MMM macro regime data into practical asset allocation and strategy decisions.
Which regime mode should I use?
Use 4 regimes as the default live decision layer. Use 8 regimes as the tactical refinement layer.
Why use T+1?
Because it is implementable and avoids look-ahead bias.
Why use Buffered hold?
It reduces noisy flipping around the 50 midline.
Why do 4-regime counts look bigger?
Because each broad family pools both liquidity states together.
What should I rank by?
Start with Sharpe, then confirm with N and then the remaining metrics, depending on the goals of your strategy.
Can this generate alpha on its own?
It is strongest as a macro-aware allocation filter, not as a standalone precise-entry system. That said, with some work on your part, it absolutely has the capacity to aid in building out alpha-generating strategies.
Best use case?
Use it monthly to identify which assets deserve emphasis in the current macro regime, then combine that with simple implementation rules such as trend, risk limits, and sizing discipline. As you become familiar with the whole suite, you can use it to build per-regime asset allocation strategies that outperform the benchmark in each regime.
MMM Regime Returns Matrix v1
The MMM Regime Returns Matrix turns the MMM nowcasts into a practical asset allocation and strategy tool.
What it does
It reads the Growth, Inflation, and Liquidity nowcast sources, classifies the macro regime, and shows how selected assets have historically behaved after those regimes.
Two regime modes:
4 Regimes (G + I only)
Goldilocks
Overheat
Stagflation
Contraction
8 Regimes (G + I + L)
Goldilocks + Loose / Tight
Overheat + Loose / Tight
Stagflation + Loose / Tight
Contraction + Loose / Tight
Use 4-regime mode as the main live allocator.
Use 8-regime mode as the refinement layer.
Recommended default setup
Regime convention: 4 Regimes
Sampling: Month-End
Attribution: T+1 (implementable)
Threshold mode: Buffered hold
Mid / band: 50 / 5
Source smoothing: 2
Anchor symbol: SPY
Fixed Date: from August 2011 to ensure Growth, Inflation and Liquidity nowcasts are sampled.
Nowcast Sourcing
Please ensure nowcast sources are set up to Growth, Inflation and Liquidity, respectively, as they will default to 'Close':
GROW_NOWCAST_SOURCE, INFL_NOWCAST_SOURCE, and LIQ_NOWCAST_SOURCE
Chart setup:
SPY
1W timeframe
T+1 logic
Under Month-End + T+1:
The regime recorded at T month-end is used to choose the allocation for the following month (T+1). The return earned over that following (T+1) month is then attributed back to the earlier regime (T).
Example:
End of February: record the February regime
March: hold the allocation implied by the February regime
End of March: measure the return from February month-end to March month-end
That March return is credited to the February regime
February regime → March allocation → March return
March regime → April allocation → April return
April regime → May allocation → May return
Regime Labels:
Current raw regime
What the model says right now on the current live bar, using the current G/I/L values. This can move during the month/week because it is not waiting for the sampling period to close.
Latest sampled regime
The most recent regime captured at the official sampling point — e.g. the latest completed month-end or week-end sample. This is the clean sampled regime, not the live intraperiod wobble.
Actionable regime now
The regime the user should use for the current T+1 allocation period.
Latest attributed regime
The regime to which the latest completed return observation is assigned for the stats engine. Under T+1, last month’s sampled regime explains this month’s return. So:
April sampled regime → May allocation / May return attribution.
Best workflow:
read Actionable regime now -> inspect the matrix for the broad picture -> inspect the detail table for the selected regime -> rank assets primarily by Sharpe -> confirm with N, Worst%, and Win%, or whichever metrics are suitable for your strategy goals -> allocate toward assets that historically fit the current regime and reduce exposure to assets that historically do not
The above is the most simplistic and rudimentary framing for what this tool can be used for. Once you are familiar with how it interacts with macro regimes, you can build out and refine more complex strategies that remain anchored by data.
Use 4-regime mode for the core allocation view.
Use 8-regime mode to see whether liquidity meaningfully sharpens the decision.
Metrics:
Sharpe
Annualized Return %
Annualized Volatility %
Average Return %
Win Rate %
N
Best %
Worst %
Validation Modes:
Off = full sample
Block OOS = only out-of-sample test blocks are scored
Use Block OOS to stress-test whether a regime effect still holds outside training history.
FAQ
What is this for?
To help turn MMM macro regime data into practical asset allocation and strategy decisions.
Which regime mode should I use?
Use 4 regimes as the default live decision layer. Use 8 regimes as the tactical refinement layer.
Why use T+1?
Because it is implementable and avoids look-ahead bias.
Why use Buffered hold?
It reduces noisy flipping around the 50 midline.
Why do 4-regime counts look bigger?
Because each broad family pools both liquidity states together.
What should I rank by?
Start with Sharpe, then confirm with N and then the remaining metrics, depending on the goals of your strategy.
Can this generate alpha on its own?
It is strongest as a macro-aware allocation filter, not as a standalone precise-entry system. That said, with some work on your part, it absolutely has the capacity to aid in building out alpha-generating strategies.
Best use case?
Use it monthly to identify which assets deserve emphasis in the current macro regime, then combine that with simple implementation rules such as trend, risk limits, and sizing discipline. As you become familiar with the whole suite, you can use it to build per-regime asset allocation strategies that outperform the benchmark in each regime.
Release Notes
Added Anchored Sampling as a toggle on/off to ensure sampling can be fixed to a period in which there is growth, inflation and liquidity nowcasts available. For SPY, 1W as the default chart setup, this would be from August 2011.Release Notes
Fixed bug relating to TradingView error: 'Set the Fixed Start Date time for MMM Regime Returns Matrix v1"Invite-only script
Only users approved by the author can access this script. You'll need to request and get permission to use it. This is typically granted after payment. For more details, follow the author's instructions below or contact cointradernik directly.
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Author's instructions
WWW.MACROMARKETMODEL.COM FOR ACCESS
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Invite-only script
Only users approved by the author can access this script. You'll need to request and get permission to use it. This is typically granted after payment. For more details, follow the author's instructions below or contact cointradernik directly.
Note that this private, invite-only script has not been reviewed by script moderators, and its compliance with House Rules is undetermined. TradingView does NOT recommend paying for or using a script unless you fully trust its author and understand how it works. You may also find free, open-source alternatives in our community scripts.
Author's instructions
WWW.MACROMARKETMODEL.COM FOR ACCESS
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.