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
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