Failure-Mode Ontology

A market regime characterized by persistent positive directional movement with shallow drawdowns over extended windows; total return typically +8% to +25% over 4-6 months (annualized roughly +15% to +50%), maximum drawdown less than 10-15%, persistence at least 3 trading months.

A market regime characterized by persistent negative directional movement that sustains or deepens across the case window without full recovery; total return typically -20% to -60% over 4-6 months, maximum drawdown -25% to -70% with median around -50%.

A market regime characterized by extended range-bound oscillation without decisive directional resolution; total return roughly -10% to +25%, persistence at least 4 months, net direction small relative to volatility.

A market regime characterized by sustained elevation of realized volatility relative to the asset baseline, decoupled from directional bias. Operational gating: median realized vol ≥ 1.5× the asset's normal-window vol AND at least 2 distinct (non-overlapping) 30-day windows with vol ≥ 1.5× baseline (persistence requirement). Descriptive layer (not gating): peak rolling-30-day vol ≥ 3× baseline count, vol-of-vol level, max-DD-window — reported alongside without classifying. Peak/spike behaviour is treated as a modality rather than constitutive (a separate VOL_INSTABILITY failure-mode is the appropriate axis for spike-character regimes; planned for future). VIX-specific: observable as VIX index level above its 90th percentile.

A market regime characterized by sustained suppression of realized volatility well below the asset baseline (0.4-0.7x); persistence greater than 2 months, drawdowns shallow (less than 8% for non-VIX assets).

A market regime characterized by a concentrated downside dislocation event. Operational gating: peak-to-trough drawdown ≥ 20% within a single rolling 30-day window AND realized volatility during that crash window ≥ 1.5× the asset's normal-window vol. Sub-classification (descriptive, not gating): tail-intensified (excess kurtosis ≥ 1.5 OR daily-return 1st percentile ≤ -3%) versus broad-distribution. Drawdown range across anchor cases is typically 20-55%; recovery within the case window is permitted. The definition captures observable price dynamics — microstructure effects (liquidity, gap-structure, order-book stress) are not directly modeled and are covered separately by LIQUIDITY_STRESS.

A market regime characterized by gradually accumulating downside losses without a single concentrated crash event; total return typically -25% to -60% over approximately 6 months, monotonic drawdown growth without single-day shock dominance.

Diagnostic path pattern (NOT a failure-mode bucket as of 2026-05): a market case characterized by a meaningful drawdown immediately followed by a rapid retracement. Maximum drawdown -15% to -35% with at least 80% retracement within 2-4 months. The V-shape is a composite of two orthogonal phases — strategies actually fail under the down-leg (SHARP_CRASH) and miss the up-leg (TREND_UP). For score aggregation, V_RECOVERY-shaped cases are decomposed into their constituent failure modes; the V_RECOVERY label is retained as descriptive path-pattern annotation only.

A market regime characterized by repeated directional reversals at signal-relevant levels, generating false confirmation signals; at least 3-5 sign-changes greater than 5% over 3-6 months, net case return near zero.

A market regime characterized by deteriorating execution conditions - widening spreads (3x or more vs. baseline), gap-down opens (2 or more days with overnight gaps greater than 3%), and reduced fill quality - typically co-occurring with significant directional drawdowns.