Quantfolio US Macro Model
by Bjørnar Mundal, on 05 February 2020 03:03
We recently launched our US Macro Model to Deep Alpha. The model is an upgrade of the US Macro Model we have been running since 2018. We have reviewed the old model and improved it, by using the framework in Deep Alpha.
The overall goal we have when building models is to build a model that can provide an early warning that we are in a bear market, before the market drops. In order to do this, we look at a broad range of macro economic indicators and we use a quantitative framework built on our core technology.
Framework for model:
- All indicators used have first been lag adjusted and cleaned
- All Indicators that pass training and cross-validation, and therefore has confidence level 4, is included in the model. These indicators has gone through and passed solid testing, and has a proven record of predicting bear markets.
- All indicators that has confidence level 1-3, but prove to have high F1 score (<0.5) during the model period (1-1-1996 - d.d.) are included, since these indicators has a proven track record in the model period.
- We strive to not include highly correlated indicators
- All indicators must make economic sense
Macro Model Backtest:
Model overlay on S&P 500:
The model is currently bullish and slightly improving. The models updates daily and gives the present status on the S&P 500.
There are two ways to gain access to the model:
1) Through your account on Deep Alpha
2) Signing up for the the newsletter below: