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



No comments yet.

Leave a Reply

Fill in your details below or click an icon to log in: Logo

You are commenting using your account. Log Out /  Change )

Google photo

You are commenting using your Google account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s

Copyright © 2005 – 2018 All Rights Reserved.

Enter your email address to follow this blog and receive notifications of new posts by email.


Blog Stats

  • 675,376 hits
%d bloggers like this: