JANEWAY
Just A Neutral Engine With Autonomous Yield
- Status
- active
- Version
- v1
- Trades
- 0
Uses bond-market stress as a risk indicator
When investors are worried, they demand higher interest rates to lend to risky companies — the gap between junk-bond yields and investment-grade yields widens. That gap leads stock-market stress by days to weeks. This signal shrinks position sizes automatically when the gap is wide.
Kill Criteria
Alpha Decay Monitor
Not enough closed trades yet to evaluate decay. Threshold is 30 closed trades; until then this card tracks accumulation rather than judgment.
Mechanism (Technical)
Credit markets typically lead equities by days-to-weeks during stress regimes because credit investors are more sensitive to default probability than equity investors are to earnings contraction. The HY–IG OAS spread (BAMLH0A0HYM2 vs BAMLC0A0CM) has been a persistent leading indicator in Nagel (2016) and subsequent credit-literature; we use it as a regime classifier, not a prediction.
Sizing
Recent Trades
No trades logged yet.
Lifecycle Events
- 2026-04-23 18:42:33 UTCRESUMEDtransition: proposed→active
- 2026-04-23 18:42:32 UTCFIREDtransition: none→proposedcontract_path: /Users/joshuagafni/Documents/Janeway/Repositories.nosync/janeway/signals/credit_spread.yamlcontract_version: 1
References
- Nagel (2016) — 'The Liquidity Premium of Near-Money Assets'
- Gilchrist & Zakrajsek (2012) — 'Credit Spreads and Business Cycle Fluctuations'
- FRED series BAMLH0A0HYM2, BAMLC0A0CM