A Financial Regime Index for Long and Short SPY Swing Trades

Summary

This document presents a configurable swing strategy for SPY based on a composite financial regime index. The visible script setup uses daily data by default and draws on US and global equities, high-yield and investment-grade bonds, volatility, currency, Treasury yields, and a Treasury-bill proxy. It includes controls for lookback, smoothing, winsorized z-scores, equal or inverse-volatility weighting, trade direction, entry and exit thresholds, and a price-trend filter.

The supplied excerpt ends in the helper functions, before the index construction and trading rules are shown. As a result, the precise component transformations, weighting calculation, signal interpretation, and exit mechanics cannot be established from this document. It provides no backtest results or performance evidence. The strategy header specifies assumptions such as full-equity sizing, commissions, slippage, and no pyramiding, while the comments describe the script as non-repainting; these are implementation settings and claims, not evidence of realized performance. Any assessment of robustness or behavior would require the omitted code and independent testing.

Key ideas

• The strategy is designed to trade SPY using a composite indicator intended to represent financial conditions.
• Its visible inputs include several equity, credit, volatility, currency, yield, and cash-equivalent series.
• The setup supports equal or inverse-volatility weighting and configurable entry, exit, and trend-filter parameters.
• The excerpt omits the index calculation and trading conditions, so the signal logic cannot be fully assessed.
• No backtest results are included to establish performance or robustness.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.