quantmodel — Port + verify Countercyclical Trend Following vs AS metrics

Source report: research/findings/countercyclical-trend-following-scale-batch.md

Objective

Port + verify Countercyclical Trend Following vs AS metrics.

Notes: CTF replicated 2015+: corr 0.961 CAGRΔ -0.08%. Spec/backtest/ctf.py + BAA10Y (public FRED OAS truncated). Findings: countercyclical-trend-following-scale-batch.md.

Approach

Reuses existing report research/findings/countercyclical-trend-following-scale-batch.md — tables/metrics preserved verbatim via source_report pointer. Body below summarizes grounded evidence from that report and adjacent artifacts.

Files / code / data changed

Associated commits (inferred from log grep t48):

40169ab7 research: t48 Countercyclical Trend Following replicated vs AS (#45)
40169ab7 research: t48 Countercyclical Trend Following replicated vs AS (#45)
Source report: research/findings/countercyclical-trend-following-scale-batch.md
Task-history entry: research/findings/task-history.json#t48

Results

Key table from source report (preserved):

Condition	State	Portfolio
HY spread > 10y median	Growth	50% SPY (TF), 40% IWN, 10% GLD (TF)
HY calm & YC slope < 10y median	Inflation	50% SPY (TF), 10% IWN, 40% GLD (TF)
HY calm & YC slope ≥ 10y median	Slowdown	50% LQD, 40% IEF, 10% IWN

Conclusions and metrics are in research/findings/countercyclical-trend-following-scale-batch.md; see detail page for preserved tables/metrics.

Conclusions

CTF replicated 2015+: corr 0.961 CAGRΔ -0.08%. Spec/backtest/ctf.py + BAA10Y (public FRED OAS truncated). Findings: countercyclical-trend-following-scale-batch.md.

Problems / follow-ups

See source report or PR discussion for follow-ups. No unsupported follow-ups fabricated.