Fully agree - keeping my bond and SOFR positions as well.
Regarding macro thesis vs price action: if i understand you correctly you develop your own macro thesis based on macro data and then take a trade if your thesis is confirmed by price action (and maybe if positioning creates opportunity).
I was just reading about a framework that chooses the „right“ macro thesis based on which macro narrative is the best fit to explain current price action across multiple assets (simplified example: choosing the „global fiscal expansion/reflation narrative“ if commodities & gold rally) and then just runs with this narrative until price doesn’t confirm it any longer.
Would you say the latter approach relies too much on price action? Thanks!
It sounds like trend following, which is fine if done properly. I do track cross-asset performance and infer which macro quad has been priced. But that’s just one input in my macro process; I don’t build a trade around that. The issue with backward looking performance is that each lookback window will give you different results.
Fully agree - keeping my bond and SOFR positions as well.
Regarding macro thesis vs price action: if i understand you correctly you develop your own macro thesis based on macro data and then take a trade if your thesis is confirmed by price action (and maybe if positioning creates opportunity).
I was just reading about a framework that chooses the „right“ macro thesis based on which macro narrative is the best fit to explain current price action across multiple assets (simplified example: choosing the „global fiscal expansion/reflation narrative“ if commodities & gold rally) and then just runs with this narrative until price doesn’t confirm it any longer.
Would you say the latter approach relies too much on price action? Thanks!
It sounds like trend following, which is fine if done properly. I do track cross-asset performance and infer which macro quad has been priced. But that’s just one input in my macro process; I don’t build a trade around that. The issue with backward looking performance is that each lookback window will give you different results.