A load control system for a building having a heating and cooling system and a window located in a space of the building is operable to control a motorized window treatment in response to a demand response command in order to attempt to reduce the power consumption of the heating and cooling system. When the window may be receiving direct sunlight, the motorized window treatment closes a fabric covering the window when the heating and cooling system is cooling the building, and opens the fabric when the heating and cooling system is heating the building. In addition, when the space is unoccupied and the heating and cooling system is heating the building, the motorized window treatment may open the fabric if the window may be receiving direct sunlight, and may close the fabric if the window may not be receiving direct sunlight.