SPY Regime Allocation Using Trend, Volatility, and Credit Signals

Summary

This strategy classifies the market as risk-on, caution, or risk-off using three daily signals: whether the S&P 500 is above its 200-day average, whether the VIX is below the three-month VIX, and whether a high-yield-to-Treasury ETF ratio has a 100-day z-score above a fixed threshold. The number of positive signals determines the regime. At each confirmed week-end, the strategy targets full, half, or zero allocation to SPY, respectively, and adjusts its share count toward that target.

The script is designed to run on a daily SPY chart and displays the regime and component signals. It provides an implementable rule set, but the supplied document contains no performance results or comparative evidence. Its thresholds, data series, weekly rebalancing, and position sizing are fixed, so the rules may behave differently across periods or instruments. Backtest assumptions such as slippage and initial capital are specified, but do not establish that the strategy is profitable.

Key ideas

• The strategy combines an equity trend test, a VIX term comparison, and a credit stress measure.
• Each positive component contributes one point to a three-level market regime classification.
• A risk-on classification targets full SPY exposure, caution targets half exposure, and risk-off targets no exposure.
• Position changes are made at the confirmed close of each week.
• The document specifies rules but provides no evidence of historical strategy performance.

Tags

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