Market X-Ray · Toolbox 7
Market-Structure Anomaly Score
A single weak ratio is a normal alert. This asks the higher-level question: is today's whole combination of internals — participation, concentration, credit, size and factor/beta — historically unusual? It scores the standardised multivariate distance of today's configuration against the engine's own ~3-year history. This is the 63-day structural lens — distinct from the short-term cracks on the Regime page.
Updated daily · data as of 2026-07-31
Today's market structure reads high — 93th percentile of abnormality, the signature of a mixed / conflicting anomaly. The anomaly is driven mostly by credit and high-beta and breadth. The dimensions conflict, so the read is genuinely mixed rather than one-sided. It has persisted for more than a week.
What drives it — five dimensions
Each internal dimension's recent move, standardised against its own history (z). The anomaly is the multivariate distance — how far today's whole vector sits from the norm, not any single dimension.
2% of the distance
broadening participation
-6% of the distance
near its norm
57% of the distance
credit confirming
1% of the distance
near its norm
47% of the distance
defensives leading (risk-off tilt)
Statistical context
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.