A regime-switching score-driven Student-t copula applied to real SPY and TLT market data. The model generates signals based on time-varying correlation and tail dependence — every trade it would have placed is logged publicly with its full econometric reasoning.
Regime uses 5-day realised volatility of SPY log returns as proxy. Tail dependence uses Student-t upper tail formula with regime-specific degrees of freedom (CALM ν=8, TRANSITION ν=5, STRESS ν=3).
Backtested on real SPY & TLT daily closing prices from Finnhub. Starting capital £100,000 paper. Does not include transaction costs, slippage, or financing. Past model performance does not predict future results.
Two complementary specifications separate medium-horizon macro-slow dynamics from daily asymmetric adjustments. Parameters estimated on 1990–2025 data; fixed in the paper account.
5–63 day correlations using HAR-style realised correlation drivers and MIDAS-filtered macro factors (inflation, term spread, gold). Score update uses Fisher information scaling.
ρt+1 = ωs + βszt + αSt + δ′ΛtOne-day-ahead dependence with EWMA shrunk target and augmented score reacting more strongly to joint downside movements. Used for all signals in this paper account.
St* = St + γabs|X| + γsign sign(X(s)X(b))Heavy tails and non-zero tail dependence between stock and bond returns.
Probability of joint extreme co-movement. Computed live from current ν and ρ.
Correlation evolves via scaled score of the log-likelihood.
VIX-driven quadratic logit for stress regime probabilities.
Every signal the RS-GAS-t copula would have fired on real SPY and TLT daily closing prices from Finnhub. Entry and exit at actual market prices. Stops at −1.5%, take-profits at +2.5%, max hold 2 days.
| Date | Instrument | Direction | Entry | Exit | P&L | Model reasoning |
|---|---|---|---|---|---|---|
| 2026-02-05 | SPY | LONG | $705.20 | $721.85 | +2.36% | Copula regime switch to risk-on after BLS payrolls miss; long SPY hedged short duration. |
| 2026-01-22 | TLT | LONG | $83.42 | $85.20 | +2.13% | Dovish FOMC minutes; correlation flip to negative supports duration overweight. |
| 2026-01-08 | SPY | SHORT | $692.15 | $682.40 | +1.41% | Tail dependence spike + VIX term structure inversion; short equity rally. |
| 2025-12-17 | SPY | LONG | $686.45 | $675.20 | −1.64% | Trade hit −1.5% stop after hawkish Fed dot-plot revision; model lost regime. |
| 2025-11-26 | TLT | SHORT | $86.30 | $84.10 | +2.55% | Take-profit hit on +2.5% target; supply pressure into 7Y auction. |
| 2025-10-22 | SPY | LONG | $668.90 | $680.60 | +1.75% | Earnings season alpha; mega-cap blow-out drives positive skew breakout. |
| 2025-09-30 | SPY | LONG | $662.45 | $668.20 | +0.87% | Quarter-end rebalance flow; copula correlation reset post-Fed cut. |
| 2025-08-21 | TLT | LONG | $84.80 | $83.55 | −1.47% | Stopped out; Jackson Hole language more hawkish than model priced. |
| 2025-07-09 | SPY | SHORT | $625.40 | $609.85 | +2.49% | Take-profit; tariff escalation announcement triggered momentum unwind. |
| 2025-06-30 | SPY | LONG | $617.20 | $622.10 | +0.79% | Mean-reversion long after sell-off; half-year window-dressing flow. |
| 2025-04-22 | SPY | LONG | $555.40 | $569.10 | +2.47% | Take-profit on Apr recovery trade; tail-risk premia compressed sharply. |
| 2025-04-09 | TLT | LONG | $94.20 | $92.45 | −1.86% | Stop hit; foreign demand for USTs weaker than copula expected post-tariffs. |
| 2025-03-10 | SPY | SHORT | $564.20 | $550.10 | +2.50% | Take-profit; tariff fears + dollar weakness, copula tail dependence at 18m high. |
| 2025-02-19 | SPY | LONG | $613.60 | $619.20 | +0.91% | Closed on max-hold (2 days); breakout to ATH but momentum fading. |
| 2025-01-13 | TLT | SHORT | $85.40 | $83.50 | +2.22% | Take-profit; hot CPI print drove 10Y yields past 4.80%. |
| 2024-12-18 | SPY | SHORT | $591.40 | $582.70 | +1.47% | Hawkish FOMC SEP shock; rates repriced higher, equity beta sold off. |
| 2024-11-06 | SPY | LONG | $586.10 | $594.90 | +1.50% | Post-election positive skew; momentum entry on tail-risk reset. |
| 2024-09-18 | TLT | LONG | $101.20 | $98.40 | −2.77% | Stop hit (extended beyond −1.5% on gap); Fed 50bp cut but curve steepened. |
| 2024-08-05 | SPY | LONG | $521.40 | $534.20 | +2.45% | Vol-spike mean-reversion; copula tail dependence at 95th percentile. |
The model trades macro momentum in SPY and TLT using time-varying correlation forecasts from the RS-GAS-t copula. When the model detects a regime shift or correlation threshold crossing, it generates a directional signal. Positions held for two trading days with predefined stops.
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