Theme 1: Economic Trends

This collection of Jupyter notebooks introduces quantamental indicators of macroeconomic trends.

Macroeconomic trends refer to the internationally comparable daily information states of the latest dynamics of economic aggregates, such as production, price indices, credit, trade, etc. Popular examples are real-time estimates of GDP growth, consumer price inflation, and employment changes. Public releases of these indicators are widely watched in financial markets, but few people track their trends continuously and consistently across all countries. Macroeconomic trends are the largest set of category groups on JPMaQS, with a plausible and empirically proven predictive power for returns across asset classes.

Indicators are organized in categories, i.e. panels of one type of indicator over as many currency areas or markets as are available. Then the categories are grouped by similarity and each group is presented in a notebook.

The notebooks define and document the categories, describe their panels of time series, and provide some examples to illustrate their relevance for trading and algorithmic strategies. Most importantly, the notebooks are downloadable and can be used as a basis for exploring the respective categories interactively and relating them to generic financial returns with a few lines of Python code. All notebooks use the Macrosynergy Python package of standard functions for downloading, plotting, and analyzing data in standard JPMaQS format.