What assets does the rotator switch between?

By default, the strategy rotates between SPY (S&P 500 ETF) during Risk-On phases and TLT (20+ Year Treasury Bond ETF) during Risk-Off phases.

What is the Zeberg-Salomon model?

It is a two-state economic model that utilizes the lead-lag relationship between economic indicators to switch between growth assets (Equities) and defensive assets (Bonds).

Can I use custom date ranges for backtesting?

Yes, the provided Python scripts support start and end date parameters, allowing you to test the model across different historical cycles.

Do I need a FRED API key to use this skill?

No, this skill is designed to fetch data directly via FRED CSV URLs and Yahoo Finance, meaning no complex API registration is required for basic use.

How does the skill define an 'Iceberg' event?

An Iceberg event is triggered when the synthesized Leading Index falls below a predefined threshold (default -0.3), signaling that the economy is starting to weaken.

Zeberg-Salomon Economic Rotator

Name: Zeberg-Salomon Economic Rotator
Author: fatfingererr

byfatfingererr

데이터 과학 및 ML

Builds macro-economic models using leading and coincident indicators to automate Risk-On/Risk-Off switching strategies.

소개

The Zeberg-Salomon Rotator is a sophisticated macro-analysis tool that implements a two-state market model based on the economic cycle. By synthesizing FRED and Yahoo Finance data, it identifies critical 'Iceberg' and 'Sinking' events to signal transitions between equity (SPY) and bond (TLT) allocations. It is ideal for quantitative traders and macro analysts looking to automate indicator construction, perform historical backtesting, and monitor real-time economic shifts without requiring complex API keys.

주요 기능

Comprehensive historical backtesting with CAGR and Max Drawdown analysis
Automated construction of Leading and Coincident indices from FRED data
Visual reporting tools for multi-panel trend and performance diagnostics
Detection of 'Iceberg' (warning) and 'Sinking' (confirmation) signals
0 GitHub stars
Two-state Risk-On/Risk-Off switching logic for SPY and TLT allocation

사용 사례

Quantitative backtesting of macro-driven rotation strategies
Real-time monitoring of economic indicators for tactical asset allocation
Macro-economic trend analysis and recession forecasting

소개

주요 기능

Comprehensive historical backtesting with CAGR and Max Drawdown analysis
Automated construction of Leading and Coincident indices from FRED data
Visual reporting tools for multi-panel trend and performance diagnostics
Detection of 'Iceberg' (warning) and 'Sinking' (confirmation) signals
0 GitHub stars
Two-state Risk-On/Risk-Off switching logic for SPY and TLT allocation

사용 사례

Quantitative backtesting of macro-driven rotation strategies
Real-time monitoring of economic indicators for tactical asset allocation
Macro-economic trend analysis and recession forecasting