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Current Economic Model Prediction

October 29, 2019

As of the 25th of October the Economic Model changed signal from sideways to bullish. So far the out of sample predictions since its creation have been quite useful for trading during these tricky markets. While Fed day is tomorrow and could change market sentiment, the economic numbers continue to show that we are not nearing recession territory. This prediction is in contrast to many pessimistic news articles that have been published over the last two months. Ultimately news articles focus on very recent data and tend to isolate a few specific indicators that may no longer have much predictive value (or are context dependent). That was the reason for developing an integrated model that uses 50 different indicators along with dozens of derivatives of the same time series within a decision-tree framework. This model will be featured in real-time on our upcoming website.

5 Comments leave one →
  1. October 29, 2019 5:09 pm

    Hi David, long a fan of your work. Appreciate this announcement and look forward to seeing your new model. My work in gamma exposure leads me to also conclude that this bull has more upside.

    • david varadi permalink*
      October 30, 2019 2:56 pm

      Thanks Stephen, much appreciated. That sounds like interesting analysis- I assume that uses dark pool data?
      best regards,
      David

  2. November 8, 2019 2:33 pm

    This has me very, *very* interested. As someone whose volatility strategy would absolutely love to avoid sideways markets for certain trend-following strategies, I would love to see this model’s history of regime prediction and see how it can help various trend-following strategies avoid sideways markets–and moreover, if with such a model, it would be possible to deploy a mean-reverting model in those times to success.

    • david varadi permalink*
      November 8, 2019 4:19 pm

      Thanks Ilya, hope you are well. I have already done the backtests and will present them at some point soon. The live model is already available (currently for free) on the css analytics website
      best regards,
      david

      • November 8, 2019 10:06 pm

        Would it be possible for the results to be stored in a CSV format?

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