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crisis-response-v1.md

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Crisis Response V1

This is the frozen V1 research contract for deterministic event-response research. The historical research backtest can still compare TACO fake-crisis entries and true-crisis defense in one report so the validated baseline remains auditable.

The production-facing plugin contract is now split:

  • crisis_response_shadow is a defense-only legacy compatibility mount for TQQQ leveraged equity black-swan risk. SOXL receives broad crisis/macro context through the general market_regime_notification target instead of a strategy-level crisis plugin mount. The crisis plugin may emit true_crisis / defend or no_action / watch_only; it must not emit TACO routes or sleeves.
  • TACO rebound work is separate from crisis defense and remains research-only for MAGS-style pullback strategies. A TQQQ overlay candidate should be promoted through a separate validation path before any runner mount.

Default state

  • Production default: disabled.
  • Initial rollout mode: shadow notification only.
  • Live impact: none. The plugin does not place orders, mutate allocations, or maintain a paper ledger.
  • Crisis plugin destination context: cash or money-market / Treasury-bill parking sleeve can be shown as review context, but any action is manual and outside the plugin contract.

Inputs

  • Price stress scanner for historical TACO research and separate research artifacts.
  • Confirmed crisis-price scanner for true-crisis candidates.
  • Sparse rubric/context opinions only after a scanner opens; no daily model polling.
  • Trade-war / tariff / policy event calendar for TACO research only. It must not cause crisis_response_shadow to buy rebounds.

Routing

The historical research router uses this conservative priority:

  1. true_crisis: bubble-burst or financial-crisis risk. Activate crisis guard and suppress new TACO entries while active.
  2. taco_fake_crisis: policy / tariff / trade-war shock without active true-crisis guard. Historical research can compare an event sleeve, but the promoted plugin path is notification-only.
  3. no_action: unclear, non-systemic bear market, rate bear, or context conflict.

The production-facing crisis shadow plugin narrows this to:

  1. true_crisis: suggest defense only.
  2. no_action: keep the base strategy unchanged; policy/TACO context can be logged but not traded by this plugin.

Frozen V1 parameters

  • TACO notification: the promoted plugin artifact does not carry a sleeve size. Historical backtests may still compare event sleeves, but those values are research inputs, not runtime instructions.
  • Crisis drawdown: configured benchmark drawdown from trailing high <= -0.20 (QQQ for TQQQ, SOXX for SOXL).
  • Crisis confirmation: 5 trading days.
  • Crisis risk multiplier: 0.25; do not full-clear risk exposure in V1.
  • Defense-only shadow crisis plugin default: 0.0 risk multiplier when a true-crisis route is emitted for manual review.
  • Bubble proxy: configured benchmark 252-trading-day return >= 0.75, remembered for 126 trading days.
  • Financial proxy: XLF drawdown and relative weakness vs SPY.
  • Safe asset in long history tests: SHY; live safe asset can be mapped by the execution platform, for example BOXX/SGOV/CASH, but that is not part of this V1 research contract.

Backtest commands

Long synthetic TQQQ stress sample:

PYTHONPATH=src:../UsEquityStrategies/src:../QuantPlatformKit/src \
python scripts/backtest_crisis_response.py \
  --download \
  --event-set full \
  --price-start 1999-03-10 \
  --start 1999-03-10 \
  --attack-symbol SYNTH_TQQQ \
  --synthetic-attack-from QQQ \
  --synthetic-attack-multiple 3 \
  --safe-symbol SHY \
  --overlay-sleeve-ratios 0.05 \
  --crisis-drawdown=-0.20 \
  --crisis-risk-multiplier 0.25 \
  --crisis-confirm-days 5 \
  --output-dir data/output/crisis_response_1999_synthetic

Real TQQQ live-history sample:

PYTHONPATH=src:../UsEquityStrategies/src:../QuantPlatformKit/src \
python scripts/backtest_crisis_response.py \
  --download \
  --event-set full \
  --price-start 2010-02-11 \
  --start 2010-02-11 \
  --attack-symbol TQQQ \
  --synthetic-attack-multiple 0 \
  --safe-symbol SHY \
  --overlay-sleeve-ratios 0.05 \
  --crisis-drawdown=-0.20 \
  --crisis-risk-multiplier 0.25 \
  --crisis-confirm-days 5 \
  --output-dir data/output/crisis_response_real_tqqq_2010

Required audit outputs

  • response_decisions.csv: historical research route audit; each candidate must land in true_crisis, taco_fake_crisis, or no_action.
  • context_opinions.csv: sparse rubric/context opinions only on confirmed crisis-price trigger days.
  • true_crisis_signal.csv: final crisis-guard active series.
  • taco_event_calendar.csv: historical TACO research events. Production-facing TACO logging requires a separately promoted overlay plugin.

Research guardrails

Future signals can be added only as candidate context features. They should not change V1 routing unless a backtest proves all of the following:

  1. No material degradation in post-2015 / post-2010 bull-market windows.
  2. No forced defense during 2022-style rate-bear regimes unless the new evidence clearly shows systemic crisis risk.
  3. Clear auditability: every route must explain why it was true crisis, fake crisis, or no action.
  4. Parameter robustness: small changes should not flip the conclusion.