Using Macroeconomic Forecasts to Improve Mean Reverting Trading Strategies
“In particular, a set of yield curve trading strategies are based on the view that the yield curve mean-reverts.”
AssetBonds and creditcurrency pairs
StrategyMacro signalspairs trading
InputsPrice and volumemacro
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodMacro signals and regime strategies by year
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