StockSharp.Strategies.0372_Fed_Model 5.0.0

Prefix Reserved 
dotnet add package StockSharp.Strategies.0372_Fed_Model --version 5.0.0
                    


                    

                
NuGet\Install-Package StockSharp.Strategies.0372_Fed_Model -Version 5.0.0
This command is intended to be used within the Package Manager Console in Visual Studio, as it uses the NuGet module's version of Install-Package. 
<PackageReference Include="StockSharp.Strategies.0372_Fed_Model" Version="5.0.0" />
For projects that support PackageReference, copy this XML node into the project file to reference the package. 
<PackageVersion Include="StockSharp.Strategies.0372_Fed_Model" Version="5.0.0" />
                    


                            Directory.Packages.props
                        

                    

                
<PackageReference Include="StockSharp.Strategies.0372_Fed_Model" />
                    


                            Project file
For projects that support Central Package Management (CPM), copy this XML node into the solution Directory.Packages.props file to version the package. 
paket add StockSharp.Strategies.0372_Fed_Model --version 5.0.0
                    


                    

                
#r "nuget: StockSharp.Strategies.0372_Fed_Model, 5.0.0"
#r directive can be used in F# Interactive and Polyglot Notebooks. Copy this into the interactive tool or source code of the script to reference the package. 
#:package StockSharp.Strategies.0372_Fed_Model@5.0.0
#:package directive can be used in C# file-based apps starting in .NET 10 preview 4. Copy this into a .cs file before any lines of code to reference the package. 
#addin nuget:?package=StockSharp.Strategies.0372_Fed_Model&version=5.0.0
                    


                            Install as a Cake Addin
                        

                    

                
#tool nuget:?package=StockSharp.Strategies.0372_Fed_Model&version=5.0.0
                    


                            Install as a Cake Tool

Fed Model Strategy (C# Version)

This macro timing system compares the earnings yield of the equity market to the yield on 10‑year Treasury notes. When stocks offer a higher yield, the strategy holds an equity ETF; when bonds yield more, it moves to cash. A monthly regression on the yield gap forecasts the next month’s value to reduce noisy switches.

At the end of each month the algorithm forecasts the coming month’s yield spread using the last year of data. If the forecast is positive it buys equities, otherwise it holds the cash proxy. Positions change only when the forecast crosses zero, minimizing turnover.

Details

  • Entry Criteria:
    • At month end, regress the last RegressionMonths observations of (EarningsYield - BondYield) and forecast the next value.
    • Buy the equity ETF when the forecast is above zero and the order meets MinTradeUsd.
  • Long/Short: Long equities or cash only.
  • Exit Criteria: Exit the equity position when the forecast yield spread turns negative.
  • Stops: None.
  • Default Values:
    • Universe – [equity ETF, optional cash ETF].
    • BondYieldSym – 10‑year Treasury yield series.
    • EarningsYieldSym – equity market earnings yield.
    • RegressionMonths = 12.
    • CandleType = 1 day.
    • MinTradeUsd – minimum trade value.
  • Filters:
    • Category: Macro.
    • Direction: Long only.
    • Timeframe: Monthly.
    • Rebalance: Monthly.
There are no supported framework assets in this package.

Learn more about Target Frameworks and .NET Standard.

This package has no dependencies.

NuGet packages

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Version Downloads Last Updated
5.0.0 239 8/7/2025

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