Was ist ein Markt-Schock in der Intermarket-Analyse?

Ein Schock ist ein einzelner Handelstag, an dem das gewählte Trigger-Asset eine außergewöhnlich große Tagesrendite aufweist — abhängig von der Einstellung ein Kurseinbruch (zum Beispiel kleiner oder gleich minus 5 Prozent), ein Kurssprung (größer oder gleich plus 5 Prozent) oder beides. Schwellenwert und Richtung legst du selbst fest. Jeder solche Tag wird als Schock-Event markiert und seine Auswirkung auf das Ziel-Asset gemessen.

Wie liest man die Schock-Reaktion des Ziel-Assets?

Die Reaktion wird über mehrere Horizonte gezeigt: T=0 ist die gleichzeitige Tagesrendite des Ziel-Assets am Schock-Tag, danach folgen kumulative Renditen nach 1, 5, 10, 20 und 60 Handelstagen. Positive Durchschnittswerte (grün) bedeuten, dass das Ziel-Asset nach solchen Schocks im Mittel gestiegen ist, negative (rot), dass es gefallen ist. Die Win-Rate gibt zusätzlich den Anteil der Events mit positiver Rendite an.

Sagt die Intermarket-Shock-Analyse künftige Kurse voraus?

Nein. Das Werkzeug ist eine deskriptive, rückwärtsgerichtete Auswertung historischer Schock-Events und keine Anlageberatung oder Prognose. Es zeigt, wie ein Ziel-Asset in der Vergangenheit auf extreme Bewegungen eines Trigger-Assets reagiert hat. Vergangene Muster garantieren keine künftigen Ergebnisse, und die Aussagekraft hängt stark von der Zahl der gefundenen Events ab.

Intermarket Shocks

When Asset A falls/rises by X% — how does Asset B perform afterwards?

What does this page show? — The Intermarket Shock Analysis examines how a target asset reacts when a trigger asset experiences an extreme daily loss or gain. You define the trigger (e.g. "VIX rises >10%") and target (e.g. SPY) and see: scatter plot with OLS regression, cumulative forward returns, seasonal breakdown by month, and win-rate statistics. Sidebar: Trigger/target pair, threshold, direction, and time window freely configurable.

Methodology

Data Basis

Data source: Supabase (Yahoo Finance + Stooq), 263 instruments
Update: Daily via Nightly Refresh
Period: Selectable 1–50 years

Shock Definition

Shock event: A day on which the trigger asset (A) has a daily return ≥ threshold
Price crash: Filters only negative returns ≤ −X%
Price spike: Filters only positive returns ≥ +X%
Both: Filters absolute returns ≥ |X%|

Horizons

T=0: Daily return of the target asset on the day of the shock event (simultaneous reaction)
1D–60D: Cumulative return of the target asset (B) after N trading days (close-to-close from shock day)
Win rate: Share of events with positive return in the target asset

Visualisations

Heatmap (threshold × horizon): Average return for different thresholds (2%, 3%, 5%, 7%, 10%) × all horizons
Scatter + Regression: Each point = one shock event. Dashed line = linear regression with R². Shows whether stronger shocks lead to stronger reactions. Extreme outliers (IQR filter) are hidden.
Seasonal breakdown: Heatmap month × horizon — in which months do shocks hit hardest?

Understanding Intermarket Shocks — Shock Reactions, Methodology & Limits

SeasonAlpha's intermarket shock analysis examines how a target asset reacts to sudden, extreme moves in a trigger asset. Markets are connected: a sharp jump in the oil price, a slump in the dollar, or a volatility spike in the VIX rarely leaves stocks, bonds, or gold untouched. The tool makes these intermarket relationships around shock events measurable: you pick a trigger-target pair (say crude oil as the trigger and the DAX as the target), and the tool scans the entire price history for days on which the trigger fell or rose unusually hard. It then shows — via scatter plot, bar chart, heatmap, and a seasonal breakdown — how the target asset has typically behaved afterwards.

You read the shock reaction across several time horizons. T=0 is the target asset's same-day return on the shock day itself — the immediate contagion. The horizons 1, 5, 10, 20, and 60 trading days show the cumulative return afterwards: did the target asset recover, keep falling, or move sideways? Green values mean an average positive reaction, red a negative one. The table also reports median, standard deviation, maximum, minimum, and the win rate (share of events with a positive return). The scatter plot with its regression line and R² additionally reveals whether stronger shocks trigger stronger reactions.

The methodology is deliberately transparent. A shock event is a single trading day on which the trigger asset's daily return hits the freely chosen threshold — as a slump (≤ −X %), a jump (≥ +X %), or both (|X| %). Starting from the event day, the tool then measures the target asset's reaction across the chosen horizons (close-to-close). Returns are computed as normalized percentages, not absolute point differences, so assets at different price levels remain comparable. In the scatter plot an IQR filter removes extreme outliers so the regression is not distorted by individual cases. All data comes from daily-updated price series; you configure the time window, threshold, direction, and horizons in the sidebar.

On interpretation: the intermarket shock analysis is a descriptive, backward-looking tool, not investment advice or a forecast. It describes how a target asset reacted to shocks in the past — not how it will react in the future. Its informative value depends heavily on the number of events found: a high threshold yields few but striking shocks, a low one many but milder ones. With a small sample, the average and win rate should be read with caution. Relationships can change over time, and correlation is not causation. Use the results as additional context for your own research, not as a sole basis for decisions.

Frequently Asked Questions

What is a market shock in intermarket analysis? A shock is a single trading day on which the chosen trigger asset shows an unusually large daily return — depending on the setting, a slump (e.g. ≤ −5 %), a jump (≥ +5 %), or both. You set the threshold and direction yourself. Each such day is flagged as a shock event and its effect on the target asset is measured.

How do you read the target asset's shock reaction? The reaction is shown across several horizons: T=0 is the target asset's same-day return on the shock day, followed by cumulative returns after 1, 5, 10, 20, and 60 trading days. Positive averages (green) mean the target asset rose on average after such shocks, negative (red) that it fell. The win rate additionally gives the share of events with a positive return.

Does the intermarket shock analysis predict future prices? No. The tool is a descriptive, backward-looking evaluation of historical shock events and not investment advice or a forecast. It shows how a target asset reacted to extreme moves in a trigger asset in the past. Past patterns do not guarantee future results, and the informative value depends heavily on the number of events found.