Baa Aaa Quality Spread Alfred Pit
In plain terms
Research-only causal macro adaptation using exact ALFRED vintages. It is not a paper replication, production signal, or established alpha effect.
How it works
paper-measure adaptation: Fama-French 1989 JFE study default-premium business-cycle predictability and BAA10Y-AAA10Y equals BAA-AAA (10Y leg cancels), but the z thresholds, trend gates, directions, and 63d hold are Alphactor choices
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Alfred series vintages
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
No inherited alpha claim; evaluate this causal adaptation post-cost against legacy and controls.
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