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?