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 | 1.95 | 0.40 | 1.26 | 0.51 | 2.39 | 1.58 | · | +2.79 |
| CAD | -0.71 | 0.13 | 0.23 | 0.40 | -0.26 | 1.17 | 0.87 | +0.52 |
| USD | 0.59 | 0.91 | 0.40 | -1.22 | -0.81 | 0.17 | · | -0.02 |
| JPY | -0.84 | -1.14 | 1.79 | 2.42 | 0.31 | -1.22 | -1.73 | -0.16 |
| AUD | 0.79 | 0.27 | 0.46 | -0.90 | -0.93 | 0.62 | -0.95 | -0.23 |
| GBP | 0.46 | 0.66 | 0.03 | -0.36 | -0.81 | -0.98 | -0.29 | -0.42 |
| SEK | 0.71 | -1.91 | -1.50 | 0.65 | 0.24 | 0.55 | · | -0.48 |
| NZD | -0.48 | 0.91 | -1.10 | -0.41 | -0.97 | 0.47 | -0.00 | -0.51 |
| EUR | -1.41 | 1.04 | -0.98 | -0.29 | -0.13 | -1.14 | 1.22 | -0.55 |
| CHF | -1.04 | -1.27 | -0.59 | -0.79 | 0.97 | -1.20 | 0.88 | -0.94 |
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 2.79 sigma; CAD 0.52 sigma; USD -0.02 sigma; JPY -0.16 sigma; AUD -0.23 sigma; GBP -0.42 sigma; SEK -0.48 sigma; NZD -0.51 sigma; EUR -0.55 sigma; CHF -0.94 sigma. highest NOK 2.79 sigma; lowest CHF -0.94 sigma.Score-Weighted Long / Short Basket
dollar-neutral, weight ∝ composite zMethod
G10 only. Seven factors — real-rate carry, excess inflation vs target, 3m/12m momentum vs USD, REER/PPP value, external balances, terms of trade, COT positioning — each cross-sectionally z-scored. The composite is an equal-weight mean of whichever factors have real data for that currency; a missing factor is omitted, never estimated. The long/short basket ranks the composite. The backtest lags one period and is in-sample on latest-value series (not ALFRED vintages). Independent code on public FRED, BIS, OECD, and CFTC series, in the style of published global FX scorecards — not affiliated with Macrosynergy or JPMaQS. Indicative, not investment advice.
