Macro#402tier 2experimental liveNew

`mortgage 30y housing short`

cadence: Weeklydata: lowlong onlyshort only

2018

Mian, A., Sufi, A. (2014). "House of Debt." Greenwald, D. L. (2018). "The Mortgage Credit Channel of Macroeconomic Transmission." Review of Financial Studies.

Read the paper →

What it checks

When 30-year mortgage rates spike, housing demand falls within a few months. Short homebuilders, mortgage REITs, home improvement, and home furnishing stocks during sustained mortgage rate spikes; go long on equivalent compressions.

Mechanism

30-year fixed mortgage rate (FRED MORTGAGE30US) is the binding affordability metric for US housing demand. Spikes materially compress housing-related cash flows with a 3-6 month lag, affecting homebuilders, mortgage REITs, home-improvement, and home-furnishing names.

No production champion data for this family yet. Stats appear once the discovery pipeline promotes at least one strategy with this family tag, or once a multi-family blend that includes it earns a champion slot.

Signal rule

MORTGAGE30US 6m z>=+1 + 60d downtrend fires SHORT 60d on housing-exposed names; z<=-1 + uptrend fires LONG 60d.

Data dependencies

daily_prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
fred_macro
Worker data table, see services/worker schema.

Expected edge

Paper alpha: -5 to -8% over 60d (housing cohort)
Paper window: T+1 to T+60d

Mian-Sufi 2014 / Greenwald 2018; ~5-8% over 60d in housing-exposed cohort on mortgage rate spikes.

Example tickers where this is likely to fire

DHI LEN PHM TOL NLY AGNC HD LOW W WSM

Illustrative only, the signal fires based on the live data, not a fixed list.

Related families

macro regimeMacro

Beyond regime_overlay (#10) which uses VIX + SPY trend, this family keys off the macro regime detected from FRED data: term-spread inversion (10Y−2Y < 0), credit-spread widening or compression (BAA−10Y z), and Fed funds cycle direction. Single-name version: gate the simple long-trend signal (SMA50 > SMA200) on the FRED macro regime — full long only in risk-on, half-size in neutral, flat in risk-off, short in inversion.

yield curve sector rotationMacro

Yield-curve slope (10y - 2y) gates cyclical vs defensive sector longs.

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mortgage 30y housing short