It sounds to me like you just trading the IG or HY spread. We can look at that history and compare it. Let's try python this time. import pandas_datareader.data as web import datetime start = datetime.datetime(1996,12,31)# earliest for spread data hy_sprd = web.DataReader("BAMLH0A0HYM2", "fred",start) hynd = web.DataReader("hynd", "yahoo") #just get needed columns and dates combined combined = pd.concat([hy_sprd.BAMLH0A0HYM2, hynd.Close], axis=1, join='inner') # the cumulative percentage change pct_chg = combined.pct_change().cumsum() # invert and re-scale just for easy graph pct_chg['hy_sprd_inv'] = -pct_chg.BAMLH0A0HYM2 / 3 import matplotlib %matplotlib inline pct_chg.loc[:,['hy_sprd_inv', 'Close']]...