I’ve always been meaning to build a macro model of sorts, be it to inform stock trading, or to use it to position across different asset classes.

Meanwhile, I’m using this page to jot down some notes on this.

Potential Inputs

  • Lucena Research (Prof Tucker Balch) published a blog post (link here) showing his macro model using Federal Reserve data. For each of 10 data series, he came up with a heuristic such that each data series votes +1 or 0. He then combines them using weights (that appear to sum to 1 assuming a linear combination), with the final indicator being a value between 0 to 1.  He shared 4 of the 10 data series that he used
    • Continued Claims on Insured Unemployment
    • Delinquency Rate on Business Loans
    • Civilian Employment-Population Ratio
    • Federal Debt: Total Public Debt as Percent of GDP



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