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.
19.3Global macroReference
Global macro inflation hedge
Commodity shocks pass through to headline inflation first and core inflation later; commodities can hedge that lagged pass-through.
Why there is no chart
Headline and core inflation data by country.
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
- 19.3 · Global macro
- Asset class
- Macro
- In the lab
- Explained, not backtested
Global macro inflation hedge (19.3)
Commodity shocks pass through to headline inflation first and core inflation later; commodities can hedge that lagged pass-through.
Data it needs
Headline and core inflation data by country.
More in Global macro
- 19.2 Fundamental macro momentum
- 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.