Jupyter Notebook Two valid methods to combine macro trading factors into a single signal are “conceptual parity” and machine learning. Conceptual parity takes a set of conceptually separate normalized factors and gives them equal weights. Machine learning optimizes models and derives weights sequentially, potentially with theoretical restrictions. Both methods support realistic backtests. Conceptual parity works […]
Macrosynergy is a London based macroeconomic research and technology company whose founders have developed and employed macro quantamental investment strategies in liquid, tradable asset classes, across many markets and for a variety of different factors to generate competitive, uncorrelated investment returns for institutional investors for two decades. Our quantitative-fundamental (quantamental) computing system tracks a broad range of real-time macroeconomic trends in developed and emerging countries, transforming them into macro systematic quantamental investment strategies. In June 2020 Macrosynergy and J.P. Morgan started a collaboration to scale the quantamental system and to popularize tradable economics across financial markets.
