Name: Entropy-Weighted CUSUM (EWC)
Brand: AlpineDataWorks.AI
SKU: ADW-101
Availability: InStock

Use cases

What it unlocks

⌁

For an agent

A systematic options-desk agent checks ADW-101 each morning before opening; when EWC score crosses above 65 with a rising trend (current score 59.0, at the 40th percentile of its 2,454-day history, mean 67.2), it automatically tightens position-size limits by 20% and routes an alert to the vol-desk to review near-dated straddle exposure. Because source_lineage pins the exact Stooq daily OHLCV vintage and methodology_version locks the 60-day rolling z-score / CUSUM(k=0.5) / Shannon-entropy pipeline, the agent's risk-management log satisfies the trade-rationale audit trail required by the desk's internal controls.

📈

For the business

A hedge-fund portfolio manager uses the EWC cusum_statistic alongside the 0-100 score to time when to convert a directional equity position into a delta-neutral spread — specifically acting when the CUSUM accumulates enough signal to push EWC above its own 252-day mean. Unlike raw VIX, which reacts after realized vol spikes, EWC's entropy weighting detects the statistical entropy of the return stream before the vol regime breaks, giving the PM an average of several sessions of lead time to adjust hedges rather than chasing a moved market.

Forward outlook

Prediction

Horizon: —
Recommended use: Anticipate volatility regime shifts; high score = high-probability structural break. Hedge or size-reduce when score > 70.

Methodology

How it's built

Log-returns → 60-day rolling z-score → CUSUM(k=0.5) → Shannon entropy weight → sigmoid-normalize over 252-day history → 0-100 score

Stooq daily OHLCV (SPY, keyless)

Version ADW-101-live-1.0 · validated to beat a naive baseline · benchmark: none packaged

Live response

The object an agent receives

One call returns the answer with its reasoning attached — the live Intelligence Object for ADW-101.

GET /v1/intelligence/adw-101

{
  "product_id": "ADW-101",
  "entity": "S&P 500 (SPY)",
  "score": 59,
  "trend": "falling",
  "confidence": 0.82,
  "top_drivers": [
    {
      "factor": "cusum_accumulation",
      "contribution": 0
    },
    {
      "factor": "ewc_raw",
      "contribution": 0
    },
    {
      "factor": "ewc_percentile_rank",
      "contribution": 0.5896
    }
  ],
  "recommended_use": "Anticipate volatility regime shifts; high score = high-probability structural break. Hedge or size-reduce when score > 70.",
  "methodology_version": "ADW-101-live-1.0",
  "freshness": "2026-06-26T19:00:47.495Z",
  "coverage": "S&P 500 ETF daily OHLCV — 252 trading days",
  "source_lineage": [
    "Stooq daily OHLCV (SPY)"
  ],
  "allowed_use": "informational",
  "ewc_raw": 0,
  "cusum_statistic": 0,
  "window_days": 60,
  "slack_k": 0.5,
  "validation_status": "descriptive"
}

IOM schema