Strategy lab
Every strategy from 151 Trading Strategies and all 101 Formulaic Alphas as formulas you can edit and backtest on ten years of daily stocks, ETFs, futures, forex and crypto data. Free, in your browser.
19.2Global macroReference
Fundamental macro momentum
Markets underreact to changing macro trends. Rank countries’ assets by trends in growth, trade, monetary policy and risk sentiment, and buy those with improving fundamentals.
Why there is no chart
Country-level macroeconomic time series.
The lab runs on daily prices for stocks, ETFs, indexes, futures, currencies, crypto and Treasury yields. This strategy from 151 Trading Strategies depends on data outside that set, so it is explained and formalised here rather than backtested.
Hypothetical backtests on daily closes with no slippage unless you add costs. Survivorship bias applies: the stock list is today’s large caps. For learning, not investment advice. Data: Yahoo Finance via yfinance.
- Source
- 151 Trading Strategies
- Section
- 19.2 · Global macro
- Asset class
- Macro
- In the lab
- Explained, not backtested
Fundamental macro momentum (19.2)
Markets underreact to changing macro trends. Rank countries’ assets by trends in growth, trade, monetary policy and risk sentiment, and buy those with improving fundamentals.
Data it needs
Country-level macroeconomic time series.
More in Global macro
- 19.3 Global macro inflation hedge
- 19.4 Global fixed-income strategy
- 19.5 Trading on economic announcements
Source: Kakushadze, Z. and Serur, J. A. (2018). 151 Trading Strategies. Palgrave Macmillan. SSRN 3247865. Summaries are our own.