FX Quant Lab
Macro-quantamental G10 FX: sign-oriented cross-sectional scores → composite scorecard → long/short basket → indicative signal-return backtest.
Research/experimental. Sources are latest-value (not point-in-time vintages); backtests lag signals one period and are indicative / in-sample, not tradable PnL. Currencies without real data for a factor are excluded, never estimated.
Composite Macro Scorecard
sign-oriented z · higher = bullish
| Ccy | Real Carry | Excess Infl. | Momentum | Value | External | Terms of Trade | Positioning | Composite |
|---|---|---|---|---|---|---|---|---|
| NOK | 1.76 | 0.17 | -0.17 | 0.54 | 2.30 | 0.97 | · | +2.52 |
| JPY | -0.57 | -0.88 | -0.25 | 2.42 | 0.54 | · | 0.31 | +0.70 |
| CAD | -0.68 | 0.27 | -0.35 | 0.42 | -0.41 | 0.74 | 1.06 | +0.40 |
| USD | 0.07 | 0.96 | 2.54 | -1.19 | -0.97 | · | -1.43 | -0.01 |
| EUR | -0.92 | 0.27 | -0.34 | -0.29 | -0.18 | · | 1.29 | -0.09 |
| SEK | 1.16 | -1.96 | -1.42 | 0.58 | 0.87 | · | · | -0.42 |
| GBP | 0.99 | 0.06 | 0.46 | -0.32 | -0.77 | · | -1.34 | -0.42 |
| AUD | 0.37 | 0.66 | -0.01 | -0.95 | -0.60 | -0.14 | -0.85 | -0.60 |
| NZD | -1.54 | 1.59 | 0.43 | -0.35 | -1.19 | -1.58 | 0.71 | -0.75 |
| CHF | -0.64 | -1.15 | -0.90 | -0.86 | 0.41 | · | 0.25 | -1.32 |
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). Not point-in-time — indicative.
FX composite macro scorecard. NOK 2.52 sigma; JPY 0.70 sigma; CAD 0.40 sigma; USD -0.01 sigma; EUR -0.09 sigma; SEK -0.42 sigma; GBP -0.42 sigma; AUD -0.60 sigma; NZD -0.75 sigma; CHF -1.32 sigma. highest NOK 2.52 sigma; lowest CHF -1.32 sigma.Score-Weighted Long / Short Basket
dollar-neutral, weight ∝ composite zlongNOK 40%
longJPY 11%
longCAD 6%
shortAUD -10%
shortNZD -12%
shortCHF -21%
