CE - 42MACRO Fixed Income and Macro

26 ส.ค. 2023

This is Part 2 of 2 from the 42MACRO Recreation Series
However, there will be a bonus Indicator coming soon!

The CE - 42MACRO Fixed Income and Macro Table is a next level Macroeconomic and market analysis indicator.
It aims to provide a probabilistic insight into the market realized GRID Macro regimes,
track a multiplex of important Assets, Indices, Bonds and ETF's to derive extra market insights by showing the most important aggregates and their performance over multiple timeframes... and what that might mean for the whole market direction.
For traders and especially investors, the unique functionalities will be of high value.

Quick guide on how to use it:
https://docs.google.com/document/d/1b-ZVyQghSqDETX_GF_-OSIBCa4e0CBGqENbdfId9I-s/edit?usp=sharing

WARNING
By the nature of the macro regimes, the outcomes are more accurate over longer Chart Timeframes (Week to Months).
However, it is also a valuable tool to form an advanced,
market realized, short to medium term bias.

NOTE
This Indicator is intended to be used alongside the 1nd part "CE - 42MACRO Equity Factor"
for a more wholistic approach and higher accuracy.


Methodology:
The Equity Factor Table tracks specifically chosen Assets to identify their performance and add the combined performances together to visualize 42MACRO's GRID Equity Model.
For this it uses the below Assets:

• Convertibles ( CWB )
  
• Leveraged Loans ( BKLN )
  
• High Yield Credit ( HYG )
  
• Preferreds ( PFF )
  
• Emerging Market US$ Bonds ( EMB )
  
• Long Bond ( TLT )
  
• 5-10yr Treasurys ( IEF )
  
• 5-10yr TIPS ( TIP )
  
• 0-5yr TIPS ( STIP )
  
• EM Local Currency Bonds ( EMLC )
  
• BDCs ( BIZD )
  
• Barclays Agg ( AGG )
  
• Investment Grade Credit ( LQD )
  
• MBS ( MBB )
  
• 1-3yr Treasurys ( SHY )
  
  
• Bitcoin ( BITO )
  
• Industrial Metals ( DBB )
  
• Commodities ( DBC )
  
• Gold ( GLD )
  
• Equity Volatility ( VIXM )
  
• Interest Rate Volatility ( PFIX )
  
• Energy ( USO )
  
• Precious Metals ( DBP )
  
• Agriculture ( DBA )
  
• US Dollar ( UUP )
  
• Inverse US Dollar ( UDN )
  
  • Functionalities:
    • Fixed Income and Macro Table
      
    • Shows relative market Asset performance
      
    • Comes with different Calculation options like RoC,
      Sharpe ratio, Sortino ratio, Omega ratio and Normalization
      
    • Allows for advanced market (health) performance
      
    • Provides the calculated, realized GRID market regimes
      
    • Informs about "Risk ON" and "Risk OFF" market states
      
    Visuals - for your best experience only use one (+ BarColoring) at a time:
    You can visualize all important metrics:
    - GRID regimes of the currently chosen calculation type
    - Risk On/Risk Off with background colouring and additional +1/-1 values
    - a smoother GRID model
    - a smoother Risk On/ Risk Off metric
    - Barcoloring for enabled metric of the above
    If you have more suggestions, please write meFixed Income and Macro:
    The visualisation of the relative performance of the different assets provides valuable information about the current market environment and the actual market performance.
    It furthermore makes it possible to obtain a deeper understanding of how the interconnected market works and makes it simple to identify the actual market direction,
    thus also providing all the information to derive overall market health, market strength or weakness.
    
    Utility:
    The Fixed Income and Macro Table is divided in 4 Columns which are the GRID regimes:
    
    Economic Growth:
    • Goldilocks
      
    • Reflation
      
    Economic Contraction:
    • Inflation
      
    • Deflation
      
    Top 5 Fixed Income/ Macro Factors:
    Are the values green for a specific Column?
    If so then the market reflects the corresponding GRID behavior.
    
    Bottom 5 Fixed Income/ Macro Factors:
    Are the values red for a specific Column?
    If so then the market reflects the corresponding GRID behavior.
    
    So if we have Goldilocks as current regime we would see green values in the Top 5 Goldilocks Cells and red values in the Bottom 5 Goldilocks Cells.
    You will find that Reflation will look similar, as it is also a sign of Economic Growth.
    Same is the case for the two Contraction regimes.
    
    ******
    This Indicator again is based to a majority on 42MACRO's models.
    I only brought them into TV and added things on top of it.
    
    If you have questions or need a more in-depth guide DM me.
    
    GM
    
    

26 ส.ค. 2023

เอกสารเผยแพร่

slight optimization

1 ก.ย. 2023

เอกสารเผยแพร่

Added another useful function:

The ability to calculate the performance metrics relative to each other/ relative to the average performance of the other Assets of the same class to decide on the significance of that Assets performance.

Gives a more accurate representation of the actual market realized performance and regimes.