US High-Yield credit spread (ICE BofA HY OAS) read as a systemic-risk gauge — not a tradeable line. A spread isn't a price you hold, so instead of a buy/sell backtest we read its level, percentile and regime, and test it as an overlay on the equity strategy: does an extra "go to cash when credit is stressed" rule make the S&P strategy safer?
200-day SMA · credit 50-day avg
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Loading credit read…
Current HY spread
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0calm · 350elevated · 550stress →
Read
Percentile (own history)
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Direction (20d)
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Credit regime
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Equity regime (S&P)
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Strategy performance — does credit make the equity strategy safer? · 200-day SMA
Same price-vs-moving-average equity strategy as the MA pane (using the trend you picked above), but with one extra rule: go to cash when the S&P trend is down or credit is in stress. You only ever trade the S&P — credit is just an early risk-off trigger. Switch the trend toggle above and watch these three change.
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Backtest period: —
Buy & hold
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Total return
CAGR
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Sharpe
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Ann. vol
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Max DD
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Equity MA only
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Total return
CAGR
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Sharpe
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Ann. vol
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Max DD
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+ Credit overlay
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Total return
CAGR
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Sharpe
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Ann. vol
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Max DD
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Overlay time in market
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vs equity-only
Days credit forced an exit
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equity said long, credit said out
Overlay trades
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in / out switches
The strategy in plain English — when do we buy, when do we sell?
A simple rules-based strategy for the S&P 500. You are always either fully in (holding the S&P) or fully out (in cash earning the risk-free rate). Two things decide it: the S&P's own trend, and whether credit is calm or stressed.
🟢 Enter — buy & hold the S&P
only when BOTH are true
Trend is up: the S&P closes above its 200-day SMA for 2 trading days in a row.
Credit is calm: the high-yield spread is at or below its own 50-day average.
🔴 Exit — move to cash
the moment EITHER happens
Trend breaks: the S&P closes below its 200-day SMA for 2 trading days in a row.
— or — Credit stress: the high-yield spread rises above its 50-day average (spreads widening = risk-off).
The credit trigger, precisely. Each day we compare today's HY spread to the average of the last 50 days of the spread. Above that average → credit is "stressed" → we go to cash even if the S&P trend still looks fine. Back below it → credit is "calm" again → the credit block clears, and we re-enter once the S&P trend is also up. The 2-day confirmation on the trend side stops us flip-flopping on a single noisy day. You can test the equity trend with any of the six moving averages (SMA or EMA × 50/100/200) using the toggle above — the credit rule always uses the spread's own 50-day average.
HY spread & its 50-day average vs the S&P — watch for the spread rising while equities keep climbing
How to read this. The spread is a gauge, not a trade. Its direction and percentile matter more than any single level, and the sharpest signal is divergence — equities calm while credit widens. The overlay shows whether acting on that divergence would have helped.
On the data. The live gauge above uses ICE HY OAS — the sharpest real-time credit read — but ICE licensing caps its free history at ~3 years. For the backtest we therefore default to Moody's Baa spread, a slightly less jumpy investment-grade measure with 40 years of history, so the overlay is tested across 2008, 2011, 2020 and 2022 rather than one calm stretch. Toggle to HY OAS (3y) to see the sharper-but-shorter version. Even so, these are gross, pre-cost, single-market results — a strong risk-adjusted case, not a guaranteed edge. Not investment advice — see Disclaimer · Terms.