
Machine learning for international trading strategies
Financial markets’ broadening access to point-in-time economic indicators across countries offers a robust foundation for diversified international trading strategies. The central challenge lies in combining multiple macro factors into a single positioning signal for each country—drawing on statistical patterns from both global and country-specific (local) experiences. To address this, we propose a novel “global-local” method of machine learning for generating international macro trading signals. This method manages the bias-variance tradeoff by regularizing country-level coefficients toward their global counterparts. Crucially, the strength of this regularization diminishes when historical evidence supports the value of emphasizing local relationships over global ones. We demonstrate the approach by applying it to international equity index futures strategies. The “global-local” method has generated stronger predictive power and higher risk-adjusted returns than either fully country-specific models or globally pooled alternatives.