term structure curvature
What it checks
Tent-shaped curvature in the yield curve signals macro regime change — when it spikes, defensives outperform cyclicals.
Mechanism
Yield-curve curvature spikes signal macro-regime change; routes flows from cyclicals to defensives (or reverse on the flip).
Signal rule
(DGS2 - 2*DGS5 + DGS10) rolling rank >= 0.9 (top decile, 5y) -> LONG defensives / SHORT cyclicals T+1; hold 21/63/126d.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
fred_macroWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- ~0.5%/month
- Paper window
- 21/63/126d
Cochrane-Piazzesi 2005; ~0.5% per month on curvature signal.
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
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.
Explore term structure curvature on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.