Using Treasury Yield Range Position to Time S&P 500 Exposure

Summary

This strategy uses the 10-year US Treasury yield as a macro risk filter for long exposure to the S&P 500. It measures the latest daily yield close against the high and low of a configurable recent lookback window, expressing the close’s location as a fraction of that range. When the position exceeds a chosen threshold, the strategy closes its S&P 500 long and remains in cash; otherwise it enters or maintains a long position. A start-year setting limits when trading begins, and the script can display risk-off periods on the chart.

The document explains the motivation that sharp yield increases may pressure equity valuations, but it supplies no historical performance statistics or evidence that this relationship reliably predicts declines. The rule treats a yield’s location within its range as a risk signal, not its rate of change, so it may classify a high but stable yield as risk-off. Results also depend on the selected yield series, lookback, threshold, chart timeframe, and execution assumptions. This is a backtestable hypothesis rather than demonstrated capital protection.

Key ideas

• The signal locates the daily 10-year Treasury yield close within its recent high-low range.
• A yield position above the selected threshold closes the S&P 500 long and shifts the strategy to cash.
• At or below the threshold, the strategy enters or maintains a long position.
• A configurable start date and lookback determine the backtest window and signal context.
• The document presents a rationale but no performance evidence for the risk filter.

Tags

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