MCC Quant Research SPY

Asset: SPDR S&P 500 ETF Trust (NYSE: SPY)

Timeframe: Weekly / Monthly (HTF dominant)

Vehicle Role: Core Equity Engine (Systemic Beta)

Fund Mandate: Primary Capital Growth + Collateral Anchor

Issue: December 30, 2025

1. Market Regime & Quant Score

Market Regime: ➡ Secular Bull Market → Late-Cycle Expansion with Controlled Greed ➡ Short-term: Extended, vulnerable to mean reversion ➡ Long-term: Structural uptrend intact (no regime break)

Weighted Quant Components (HTF):

• Moving Average Structure (40W / 200W): 82%

• Trend Strength (DMI / ADX): 74%

• Ichimoku Cloud (HTF): 79% (price extended above cloud)

• Momentum (MACD / RSI): 68% (bullish but stretched; RSI ~64–77)

• Market Structure Integrity: 85% (higher highs / higher lows intact)

• Volume Confirmation: 71% (no distribution spike yet)

RSI Offset (overbought penalty): -9%

➡ Total Quant Regime Score: 78 / 100

Fear / Greed Quant State:➡ Controlled Greed → Early Distribution Risk(no panic, but upside asymmetry reduced at highs)

Interpretation: SPY is in a late-stage bull extension. This is not a top, but expected behavior is pullback / consolidation into rising structure, consistent with Graham-style reversion and Ibn Khaldun late-cycle excess.

2. MCC Portfolio Context

• Role inside MCC engines: Core equity anchor; benchmark-relative performance driver.

• Volatility Behavior: Low–moderate (compared to tech/crypto); spikes during macro stress.

• Rotation Logic:

  • Trim into greed

  • Re-enter on structural pullbacks

  • Hedge with gold / private credit during compression

• Capital Priority: Preserve capital first, compound second.

3. BUY SCENARIO — Structural Accumulation (No Chasing)

Primary Buy Zones (from chart)

• Zone A (Preferred): $575–$585

  • Prior breakout + Fib 61.8% cluster

  • Rising trendline confluence

• Zone B (Deep Value): $445–$460

  • Fib 38.2% + historical range support

  • Requires macro shock / volatility event

Acquisition Quality Rating: 82 / 100 (High for Core Asset)

Example Allocation ($10,000 notional):

• Zone A: $6,500

• Zone B: $3,500

4. SELL / RISK-OFF SCENARIO (NO SHORTS)

Sell / Trim Zones

• Trim Zone: $685–$705 (current zone)

• Aggressive Trim: $780–$810 (extension / MCC target)

Purpose:Reduce exposure during greed, rotate profits into:

• Private credit (10–15% APY)

• Gold / miners

• Tactical cash

5. ROI BY LEVEL (MANDATORY)

Assuming Average Entry: $580

ROI Matrix

Target Level	Price	ROI %
Mean Reversion Fail	$520	-10.3%
Base Recovery	$685	+18.1%
Bull Continuation	$780	+34.5%
MCC Expansion Target	$810	+39.6%
Cycle Extreme (Speculative)	$995	+71.5%

Downside Stress (Black Swan):

• $445 → -23.3%

• $315 (200W test) → -45.7%

6. Risk Profile

• Volatility: Low–Moderate

• Drawdown Risk (cycle): 20–45%

• Trend Strength: Strong (HTF)

• Success Probability (12–24M): 75–85%

• Total Risk Score: 25 / 100 (LOW RISK)

Macro Sensitivities:

• Rates (real yields)

• Liquidity contraction

• Earnings compression

7. MCC Quant Rules Applied

• Core assets are never chased.

• Buy fear, trim greed.

• Recycle yield engines into equity pullbacks.

• Maintain convexity without leverage at cycle highs.

8. Strategic Interpretation (MCC Risk Mandate)

• Above $680: Trim / hedge

• $575–$585: Core re-accumulation

• Below $450: Aggressive long-term buy

• Parabolic extension: Rotate profits, do not add

SPY remains the spine of the system, but risk-adjusted returns improve significantly only on pullbacks.

9. One-Liner

#SPY remains structurally bullish, but MCC waits for pullbacks—greed trims, fear compounds.

⚠️ LEGAL DISCLAIMER (MANDATORY)

This content is quantitative research and technical analysis for educational purposes only and does not constitute financial advice, investment recommendations, or solicitation to trade. Investing in securities involves risk, including potential loss of capital. Past performance does not guarantee future results. Always conduct your own research and consult a licensed financial professional before making investment decisions.