19.2
Fundamental Macro Momentum
PYTHON PLUGIN
Global Macro
Momentum
Description
Strategy 19.2: Cross-sectional macro momentum on state variables
Strategy Logic
Strategy 19.2: Fundamental Macro Momentum.
Captures returns from market under-reaction to macro trends by ranking
assets across four state variables:
1. Business cycle - GDP growth + CPI forecast changes (proxy: long-term
ROC of price as economic activity indicator)
2. International trade - FX rate changes (proxy: ROC of price in
local currency terms)
3. Monetary policy - short-term rate changes (proxy: momentum in
bond/rate-sensitive ETFs)
4. Risk sentiment - equity excess returns (proxy: recent risk-adjusted
momentum)
Cross-sectional: buy top decile, sell bottom decile. Typical holding
period 3-6 months (63-126 days).
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| momentum_lookback | 126 | int |
| short_lookback | 21 | int |
| vol_lookback | 63 | int |
| long_quantile | 0.8 | float |
| short_quantile | 0.2 | float |
| min_assets | 4 | int |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 10.0% |
| Stop Loss Pct | 6.0% |
| Take Profit Pct | 12.0% |
| Max Drawdown Pct | 15.0% |