Jobless claims regime: SPY or Treasuries
Value (%)
- Strategy 2026-09-30
- 7.36%
- SPY 2026-09-30
- 88.51%
- Test window
- Oct 2021 – Sep 2026
- Starting balance
- $100,000
- Fee per trade
- 0.1%
- Benchmark
- SPY
This is the result. The four steps below show how the strategy was built and tested.
1. Describe the idea to Aurora
A prompt like this one describes the strategy in plain English.
“Build a portfolio that follows these rules. Data: an uploaded series of U.S. weekly initial jobless claims. Hold SPY while claims are below their value 252 periods earlier. Otherwise hold SHY (1-3 year Treasuries). Trade only when the regime flips. Backtest it between Oct 1, 2021 and Sep 30, 2026 with $100,000 to start, a 0.1% fee on each trade, SPY as the benchmark.”
2. Check the rules Aurora writes
These are the exact rules the backtest ran.
Rule 1
Data: an uploaded series of U.S. weekly initial jobless claims.
Rule 2
Hold SPY while claims are below their value 252 periods earlier.
Rule 3
Otherwise hold SHY (1-3 year Treasuries).
Rule 4
Trade only when the regime flips.
3. Backtest it against SPY after fees
The claims data I uploaded ends July 31, 2026. After that, the rule keeps using the last value.
- Strategy return
- +7.4%
- SPY return
- +88.5%
- Largest fall
- −28.9%
- Sharpe ratio
- 0.17
- Closed trades
- 42
- Fees paid
- $7,974
4. Test it on dates it never saw
Next, run a walk-forward test, which freezes the rules and checks them on later dates they never saw. See a walk-forward test on unseen dates
The results describe historical observations. They do not establish live trading performance.