The Gateway to Algorithmic and Automated Trading

RavenPack white paper: Trading bond futures and FX with news data

First Published 21st January 2015

Over the past few years, strategies which use news analytics have become more popular. Whilst the focus has been on equities, there is also significant news flow when it comes to macro assets.

Saeed Amen, Thalesians

Saeed Amen, Thalesians

How can RavenPack's macro news analytics data be used to trade bond futures and FX?

Thalesians' quant strategist Saeed Amen examines how RavenPack's macro news analytics data can be used to trade bond futures and FX.

Amen uses the RavenPack Analytics Global Macro data to create news-based economic indexes (NBESI) for the US, EZ, UK and Japan, which are then tested against sovereign bond futures prices and spreads.

He also tests the indexes against common FX strategies.

Findings show that, since 2001:

  • the NBESI G4 bond futures basket (using US NBESI) has a risk adjusted returns of 1.14 and drawdowns of 7.1%, outperforming a passive basket, which has a risk adjusted return of 0.79
  • the NBESI US Treasury futures spread basket has risk adjusted returns of 0.90 versus the passive basket's 0.46

The full white paper can be downloaded here