How Does The S&P 500 Perform When Interest Rates Are Rising? (Setup, Rules Backtest, Performance)

Interest rates and the stock market have an inverse relationship. When interest rates rise, share prices fall, and vice versa. This is a generally believed parading in finance, which we decided to test to see whether it holds up in reality.

We backtest the following trading rules:

* We buy and hold the S&P 500 when the 10-year interest rate level is above its 12-month SMA

* We sell and move to cash when the 10-year interest rate level is below its 12-month SMA

For the backtest, we are going to use the S&P 500 index. The data is not adjusted for dividends. Below is the equity curve.

We have published the detailed performance statistics here >>

https://www.quantifiedstrategies.com/how-does-the-sp-500-perform-when-interest-rates-are-rising/