FX Quant Lab
Macro-quantamental G10 FX: sign-oriented cross-sectional scores → composite scorecard → long/short basket → indicative signal-return backtest.
Composite Macro Scorecard
| Ccy | Carry | Infl. | Mom. | Value | Ext. | ToT | COT | Comp |
|---|---|---|---|---|---|---|---|---|
| NOK | 1.10 | 0.62 | 1.16 | 0.51 | 2.39 | 1.26 | · | +2.57 |
| JPY | -0.90 | -0.88 | 1.78 | 2.42 | 0.31 | -1.24 | 1.12 | +0.80 |
| CAD | -0.74 | 0.33 | 0.44 | 0.40 | -0.26 | 1.13 | -0.10 | +0.35 |
| AUD | 1.05 | 0.04 | 0.58 | -0.90 | -0.93 | 0.70 | -1.15 | -0.22 |
| NZD | -1.35 | 1.48 | -0.29 | -0.41 | -0.97 | 0.51 | 0.27 | -0.27 |
| SEK | 1.21 | -2.16 | -1.60 | 0.65 | 0.24 | 0.94 | · | -0.29 |
| EUR | -1.10 | 0.62 | -0.20 | -0.29 | -0.13 | -1.18 | 0.78 | -0.50 |
| USD | 0.53 | 0.73 | -0.67 | -1.22 | -0.81 | 0.14 | · | -0.51 |
| GBP | 0.97 | 0.19 | 0.14 | -0.36 | -0.81 | -1.08 | -1.74 | -0.88 |
| CHF | -0.77 | -0.98 | -1.34 | -0.79 | 0.97 | -1.18 | 0.83 | -1.06 |
Equal-weight blend of available sign-oriented factor z-scores, re-z-scored cross-sectionally into a composite; ranked into a score-weighted long/short basket. USD carries no positioning factor: the only dollar contract in the CFTC financial-futures report is the ICE Dollar Index, a trade-weighted basket that is not comparable with the bilateral currency futures the other currencies are scored from.
Per-currency composite uses only the factors with real data (>= 2 required). ToT is scored for all G10 (export baskets / import baskets sign-flipped / USD BLS X÷M); · cells are omitted from that currency's average, never filled in. Not point-in-time — indicative.
FX composite macro scorecard. NOK 2.57 sigma; JPY 0.80 sigma; CAD 0.35 sigma; AUD -0.22 sigma; NZD -0.27 sigma; SEK -0.29 sigma; EUR -0.50 sigma; USD -0.51 sigma; GBP -0.88 sigma; CHF -1.06 sigma. highest NOK 2.57 sigma; lowest CHF -1.06 sigma.