Scoring Formulas

Exact thresholds and weights from the production calculator (v3.8, computed on Railway)

Overview

The system uses four pillars, each scoring from −10 (extremely bearish) to +10 (extremely bullish). Each pillar is computed from weighted sub-components and normalized to the −10/+10 range. The final regime score combines the weighted average with a directional bonus that amplifies conviction when multiple pillars confirm a bearish trend.

Final score formula

base = (trend × 0.375) + (liquidity × 0.275) + (derivatives × 0.20) + (volatility × 0.15)

When trend < −2, a directional bonus fires:

bonus = min(0, derivatives) × 0.20 + min(0, volatility) × 0.30

final_score = base + bonus

37.5%Trend

27.5%Liquidity

20%Derivatives

15%Volatility

Directional Bonus

When trend is bearish (< −2) and confirmed by negative derivatives and/or volatility, the directional bonus adds up to −4.0 additional pressure. This prevents the system from staying in NEUTRAL/CAUTIOUS-BEAR when trend, derivatives, and volatility all agree on weakness. The bonus only fires downward (never adds bullish pressure).

Pillar 1

Trend

weight: 37.5%

Price structure, moving averages, and trend quality. Measures whether BTC is in an uptrend or downtrend, and how healthy the trend is.

Component A: Trend Direction 40% weight within pillar

SMA alignment (20/50/200), distance from key averages, and SMA slope. Price above SMA50/200 is bullish. SMA20 above SMA50 (golden cross setup) adds points. 20-day slope of SMA50 measures trend momentum.

Component B: Trend Quality 35% weight within pillar

Consistency of up-days (20d window), return alignment (20d and 60d returns in same direction), pullback depth relative to ATR, and breakout retention (new highs that hold for 3+ days).

Component C: Structure Retention 25% weight within pillar

How well price holds key levels: ratio of days above SMA50, position within 20-day range (close location value), and pullback severity relative to ATR.

Normalization

Each sub-component scores −100 to +100 raw. Combined: direction × 0.40 + quality × 0.35 + structure × 0.25, then divided by 10 and clamped to −10/+10.

Note: The Fear & Greed Index was previously included as a 5% modifier. Ablation testing showed it slightly hurt monotonicity and Sharpe ratio, so it was removed in v3.7. Its weight was redistributed: +2.5% to Trend, +2.5% to Liquidity.

Pillar 2

Liquidity

weight: 27.5%

Four signals measure capital flows into and out of Bitcoin. ETF flows are the dominant signal (60% combined weight). Missing components are excluded and remaining weights are renormalized.

Component A: ETF Flow Momentum (3-day rolling sum) 45% weight within pillar

Sum of the last 3 trading days of spot Bitcoin ETF net flows. Dominant ETFs: IBIT, FBTC, GBTC, ARKB, BITB. Weekends/holidays use the most recent 3 trading days.

3-day Net Flow (USD M)	Raw Score	Signal
> $1,000M	++10	Exceptional institutional demand
> $500M	++7	Very strong inflows
> $200M	++4	Strong inflows
> $50M	++1	Moderate inflows
> −$50M	0	Neutral (flat flows)
> −$200M	−3	Moderate outflows
> −$500M	−6	Heavy outflows
≤ −$500M	−10	Exceptional outflows / distribution

Component B: ETF Flow Acceleration (3d avg − 7d avg) 15% weight within pillar

Measures whether ETF flows are improving or deteriorating. Positive = flows accelerating. Capped at 0 when 3-day average flow is still negative (deceleration of outflows is not bullish).

Acceleration (USD M/day)	Raw Score	Signal
> $100M	++10	Rapid flow acceleration
> $50M	++6	Strong acceleration
> $15M	++2	Moderate acceleration
> −$15M	0	Stable flows
> −$50M	−3	Moderate deceleration
> −$100M	−6	Strong deceleration
≤ −$100M	−10	Rapid outflow acceleration

Component C: Stablecoin Market Cap 7-day Change 20% weight within pillar

Rising stablecoin supply signals new capital entering the crypto ecosystem (bullish).

7-day Supply Change	Raw Score	Signal
> +3%	++10	Strong inflow
> +1.5%	++6	Moderate inflow
> +0.5%	++3	Slight inflow
> −0.5%	0	Flat / neutral
> −1.5%	−3	Slight contraction
> −3%	−6	Moderate contraction
≤ −3%	−10	Heavy outflow

Component D: Exchange Netflow (7-day % of balance) 20% weight within pillar

7-day change in total BTC held on exchanges, as a percentage of current balance. Negative = outflow (accumulation, bullish). Positive = inflow (distribution, bearish). Thresholds from P5/P25/P50/P75/P95 of historical distribution.

7d Balance Change (%)	Raw Score	Signal
< −1.5%	++10	Heavy accumulation (below P5)
< −0.75%	++6	Strong accumulation (below P25)
< −0.3%	++3	Moderate accumulation
< +0.1%	0	Neutral
< +0.5%	−3	Moderate distribution (above P75)
< +1.0%	−6	Strong distribution
≥ +1.0%	−10	Heavy distribution (above P95)

Dynamic weighting

With ETF data: ETF Momentum 45% + ETF Accel 15% + Stablecoin 20% + Exchange 20%

Without ETF data: Stablecoin 50% + Exchange 50%

Missing components are excluded and remaining weights renormalized.

Pillar 3

Derivatives

weight: 20%

Two signals measure positioning health in perpetual futures markets. Funding rate scoring is gated by the current trend direction: the same funding rate can be bullish in a downtrend (contrarian squeeze setup) but bearish in an uptrend (overleveraged longs).

Component A: Funding Rate Z-Score (trend-gated) 50% weight within pillar

The funding rate is converted to a z-score against a 90-day rolling window, then scored differently based on the current trend pillar value. This makes the signal adaptive: negative funding in a bear trend is contrarian-bullish, while positive funding in a bear trend is very bearish (crowded longs in a downtrend). If 3-day average direction disagrees with z-score direction, the score is dampened to 75%.

When trend > +3 (bull)

Funding Z-Score	Raw Score	Logic
z > +2	−3	Overheated longs in uptrend
z > +1	0	Normal bull positioning
z < −2	++10	Extreme shorts in uptrend: squeeze setup
z < −1	++7	Contrarian shorts: bullish
else	0	Neutral

When trend < −3 (bear)

Funding Z-Score	Raw Score	Logic
z > +2	−10	Crowded longs in downtrend: very bearish
z > +1	−7	Elevated longs in downtrend
z < −2	++7	Extreme negative funding: contrarian bullish
z < −1	++3	Shorts paying: mild contrarian bullish
else	0	Neutral

When trend is neutral (−3 to +3)

Funding Z-Score	Raw Score	Logic
z ≤ −2	++10	Extreme negative: squeeze potential
z < −1.5	++7	Strong negative funding
z < −1	++5	Moderate negative funding
−1 ≤ z ≤ +1	0	Normal range
z < +1.5	−5	Mildly elevated positive funding
z < +2	−7	Elevated positive funding
z ≥ +2	−10	Extreme positive: reversal risk

Fallback: If z-score is unavailable (less than 90 days of funding data), the raw funding rate (× 100 to get %) is scored with symmetric thresholds: > 0.03% → −10, > 0.015% → −7, > 0.005% → −3, ≤ 0.005% → 0, < −0.005% → +3, < −0.015% → +7, < −0.03% → +10.

Component B: Open Interest × Price Interaction 50% weight within pillar

Combines 1-day OI change with 1-day price change to detect healthy vs. unhealthy positioning. Price up + OI up = bullish conviction. Price down + OI up = shorts building or longs trapped (bearish). Also factors in 7-day OI trend (40% of OI score). Uses USD-denominated OI (close_oi × btcPrice) for cleaner capital-at-risk signal (v3.8 improvement).

Price × OI Interaction	Score Range	Signal
Price ↑ + OI ↑	+2 to +10	Bullish conviction: new money entering longs
Price ↑ + OI ↓	+1 to +5	Short squeeze or profit-taking: mildly bullish
Price ↓ + OI ↑	−2 to −10	Bearish: shorts building or longs trapped
Price ↓ + OI ↓	−1 to −5	Capitulation / forced selling: mildly bearish
Flat price or OI	0	No significant interaction

1-day interaction (60%) + 7-day OI trend (40%). Price movement threshold: ±0.3%. OI threshold: ±0.5%.

Pillar 4

Volatility

weight: 15%

Uses 7-day and 30-day realized volatility (annualized log returns) to measure market stress. Healthy trends need moderate volatility. Both extreme compression and elevated vol are negative signals. A trend interaction modifier adjusts the score based on whether vol is rising/falling in bull/bear markets.

Component A: Realized Volatility Level (7-day) 55% weight within pillar

U-shaped scoring: the sweet spot is 35-50% annualized vol (healthy for trends). Both extremes score negatively. Below 25% signals coiled compression; above 95% signals crisis.

7d Realized Vol (ann.)	Raw Score	Signal
< 25%	−5	Extreme compression: breakout incoming
25 − 35%	0	Low: neutral
35 − 50%	++5	Healthy: sweet spot for trending
50 − 70%	0	Normal: neutral
70 − 95%	−5	Elevated: stress building
≥ 95%	−10	Crisis-level volatility

Component B: Volatility Direction (7d / 30d ratio) 45% weight within pillar

Compares short-term vol to medium-term vol. A rising ratio means vol is spiking (bearish). A falling ratio means vol is compressing (generally bullish, suggests stability).

7d / 30d Vol Ratio	Raw Score	Signal
> 1.8	−10	Sharp vol spike
> 1.5	−7	Significant vol expansion
> 1.2	−3	Moderate vol increase
0.85 − 1.2	++5	Stable vol: healthy
0.7 − 0.85	++7	Vol compressing: bullish
< 0.7	++3	Extreme compression: uncertain

Trend interaction modifier (post-hoc, not weighted)

Vol rising + bear trend: −2 (vol confirming weakness)

Vol stable/falling + bull trend: +2 (calm strength)

Vol compressed + neutral trend: +1.5 (potential breakout)

Stress Detection

Before computing the final score, the system checks how many pillars are in bearish territory. This determines the stress state shown alongside the regime.

Condition	Threshold
Trend	< −2
Liquidity	< 0
Derivatives	< −2
Volatility	< −2

HIGH3 or more conditions met

MODERATE2 conditions met

NORMAL0 or 1 condition met

Final Score & Regime Classification

Scoring pipeline

Step 1: Weighted average

base = (trend × 0.375)

+ (liquidity × 0.275)

+ (derivatives × 0.20)

+ (volatility × 0.15)

Step 2: Directional bonus (only when trend < −2)

bonus = min(0, derivatives) × 0.20

+ min(0, volatility) × 0.30

Step 3: Combine and clamp

final_score = clamp(base + bonus, −10, +10)

Step 4: Convert to 0-100 scale for classification

score_0_100 = (final_score + 10) × 5

Each pillar score is in the −10 to +10 range. The final score is also −10 to +10.

Regime thresholds (on 0-100 scale)

0-100 Score	−10/+10 Equivalent	Regime	Description
≥ 70	≥ +4.0	RISK-ON	Strong bull conditions across all pillars
≥ 58	≥ +1.6	CAUTIOUS-BULL	Bullish but with some weakening signals
≥ 42	≥ −1.6	NEUTRAL	Mixed or indeterminate conditions
≥ 30	≥ −4.0	CAUTIOUS-BEAR	Bearish but not fully collapsed
< 30	< −4.0	RISK-OFF	Strong bear conditions across all pillars

Allocation Curve

Each regime maps to an exposure multiplier: RISK-ON 1.75x, CAUTIOUS-BULL 1.00x, NEUTRAL 0.50x, CAUTIOUS-BEAR 0.10-0.30x (depending on subtype), RISK-OFF 0.00x. CAUTIOUS-BEAR is split into two subtypes: "risk" (general caution) gets 0.10x, and "dir" (strong directional evidence, trend < −4) gets 0.30x.

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