swap spread z
What it checks
Swap-Treasury spread blowout → short financials 1-3 months.
Mechanism
10y swap-vs-Treasury captures bank-funding stress; widening z>+2 → financials lose spread.
Signal rule
DSWP10 - DGS10; 252d z; short financials when z > +2; long on relief; hold 20/60d
Data dependencies
fred_macroWorker data table — see services/worker schema.
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Paper alpha
- R² ~8%
- Paper window
- 1986-2010
Fontaine-Garcia 2012: R² ~8% on 1-3mo XLF returns.
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
credit spread shockMacroGilchrist-Zakrajsek 2012 AER show the excess-bond-premium component of credit spreads predicts equity returns at 1-3mo horizons with R² up to 12%. We use raw BAA-10Y (Moody's BAA corp minus 10Y Treasury) from FRED as the cheap proxy. Widening shock = risk-off pressure (short high-beta names with downtrend); sharp compression = risk-on regime (long beta names with uptrend).
macro regimeMacroBeyond 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 rotationMacroYield-curve slope (10y - 2y) gates cyclical vs defensive sector longs.
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