The importance of macroeconomic information for global financial markets is well known.
What is less well-understood is how to use quantitative-fundamental (quantamental) information to develop algorithmic trading strategies and backtest discretionary trading principles. This online academy explains all the basics and provides helpful resources to produce strategies and backtests quickly and cost-efficiently.
Macro quantamental indicators
Macro quantamental indicators capture the information state of the market with respect to macroeconomic activity, balance sheets and sentiment. These indicators are distinct from regular economic time series, since they are based solely on information that was available at the time of recording. Consequently, they can be compared to market price data and are well-suited for backtesting trading ideas and implementing algorithmic strategies. The academy explains the principles of the construction and formats of the data in the J.P. Morgan Macrosynergy Quantamental System (“JPMaQS”), provides in-depth information and analysis in the form of downloadable Jupyter notebooks, and provides introductory Jupyter notebooks for use of these indicators in research and trading strategy development.
Developing macro trading factors
Quantamental indicators can add tremendous value to macro trading strategies, especially when combined with market price information. However, using these indicators requires knowledge of macro quantamental data, including the relatively low frequency of meaningful trends, the importance of panel analysis across diverse markets, and the need to combine and transform individual indicators. The academy provides theoretical guidance, specialized data science approaches, and downloadable Jupyter notebooks with example trading factors to assist in this process.
JPMaQS quantamental indicators are a unique premium data set that allows users to assess the impact of macroeconomic information states on subsequent financial market developments designed to support the development of trading signals and backtesting of investment principles and trading strategies. It updates daily for the operation of systematic strategies. As a premium data set JPMaQS and related services come with subscription costs that are tailored for institutional investors.
For academic research of relevant projects, we can, however, provide free sets of macro quantamental data and generic macro returns. Please click here for details