Best Indicators for a Macro Momentum Strategy

Hi everyone,

I'm a 20yr old execution trader working in the UK with FX and FI products for a centralised trading desk.

My goal is to be a Macro PM (probably quite popular right now) and its safe to say I couldn't see myself doing anything else other than playing the markets given how crazy its been for me and the firm since joining in the industry 8 months ago.

I produce trade ideas to get noticed by PM's, although they hate the fact i dont have a degree, with some ideas posting huge gains (long EUR vs NOK, CAD and USD in early March seemed very contrian to the people i worked with but clearly it paid off, thankfully).

I would like to ask the community for some help when it comes to build systematic models and more specifically the indicators/ financial assets people use to see whats actually priced in e.g. we can all look at the monthly CPI and compare YoY in different economies but where can i find what the market is pricing in and use it to see if there is a growing divergence from reality?

Current model: FX Trend
- Price above 60MA = Buy
- MACD above signal line + its 3MA = Buy
- Volatility Risk Premia (1yr historic - 1yr implied) compared to G10 currency's and ranked = Buy Cheapest 2 ccy/ Sell Expensive 2 ccy

A simple model I know but given the risk rally recently its caught gains where it should have. However, this doesn't really take into effect Macro data or divergence between economics as its just asset pricing. Im really looking to build something that can produce quality signals based of the FX, yields, inflation, curve spreads, GDP etc.

AQR produce some really interesting peices on macro momentum/ trend following which seems like the most justifiable strategy to make excess returns but they dont say exactly how the models are built and how to produce a valid signal, obviously, its proprietary so why would they, but thats what im ultimately trying to learn. How to systematise investment rationale processes easier, which indicators/ assets should i be focusing on for a good view on the macro picture around the world/ divergence and become a better learner and infomation processor.

Thanks to everybody who has any insight.

Comments (1)

Jun 2, 2020 - 5:26pm
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