Credit Spread Shock 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
adaptation: Gilchrist-Zakrajsek 2012 AER uses the EBP decomposition; raw BAA10Y is a disclosed public-data proxy (legacy docstring already honest)
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.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
Uses Fed-funds, term spread, and credit spread (FRED data) to flag risk-off vs risk-on regimes and scale exposure accordingly.
Compare the market's implied volatility (VIX) with how much the S&P 500 actually moved over the past month. When implied exceeds realized (investors are overpaying for insurance) and near-term fear is below longer-term fear (VIX below VIX3M), stay long; otherwise go to cash.
The 24 hours before each scheduled Fed announcement, the market drifts up ~0.5% — one of the cleanest known anomalies, especially on press-conf meetings.
Explore Credit Spread Shock Alfred Pit on alphactor.ai
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