S&P 500 Allocation Filter Using the 10-Year Treasury Yield Range
Summary
This strategy uses the 10-year U.S. Treasury yield to decide whether to hold the S&P 500 or move to cash. It ranks the latest daily yield within its recent high-low range, using a configurable lookback period. When the yield is above a configurable threshold within that range, the strategy treats conditions as risk-off and closes its long position; otherwise, it enters or maintains a long position. A start-year setting limits when trades may be made, and missing yield data is checked explicitly.
The document describes the rules and implementation but provides no backtest results, performance statistics, or comparison with a benchmark. Its premise is that sharp yield increases can pressure equity valuations, but the range position alone does not measure the speed of yield changes or establish causation. Results may depend on the selected threshold, lookback, data alignment, and execution assumptions, none of which are evaluated here.
Key ideas
- The strategy uses the 10-year Treasury yield as a risk filter for S&P 500 exposure.
- It measures the yield's position between its recent high and low.
- A yield position above the threshold closes the long position and shifts the strategy to cash.
- A configurable start year restricts the period in which orders are placed.
- The document supplies rules but no evidence of historical performance.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.