Weekly SPY Allocation Using Trend, Volatility, and Credit Regimes

Summary

This regime-based allocation strategy combines three daily market signals: SPX relative to its 200-day simple moving average, the VIX-to-VIX3M ratio, and a standardized HYG-to-IEF credit ratio. Each signal contributes one point when its condition is favorable. The total determines a target SPY allocation: full equity exposure when all three agree, half exposure when two do, and no exposure otherwise. The script adjusts the position at the end of each week.

The document presents the approach as a portfolio allocation method and explains the economic intuition behind its trend, volatility, and credit inputs. It provides no backtest results, comparative benchmarks, or robustness analysis. The code also differs from parts of the prose: it tests whether the credit ratio’s 100-day z-score is above a negative threshold, rather than whether a moving average of that z-score is positive. Its weekly order timing and daily SPY chart requirement further constrain how the implementation should be interpreted.

Key ideas

• The regime score combines SPX trend, the VIX term ratio, and a credit-market ratio.
• Three favorable signals target full exposure, two target half exposure, and fewer target no exposure.
• The script updates SPY holdings at the end of each week and requires a daily SPY chart.
• The written description of the credit filter differs from the source logic, which checks a z-score threshold.
• No performance or robustness evidence is provided in the document.

Tags

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