In this paper, we examine how to trade a basket of commodities futures using Turnleaf Analytics daily forecast for US CPI YoY NSA. Our commodities basket traded with signals from Turnleaf Analytics daily US CPI YoY NSA forecasts has risk adjusted returns of 1.07 in a...
Trading US Treasury Futures using daily US nowcast In this paper, we look at how we can trade US Treasury futures using Turnleaf Analytics daily forecast for US CPI YoY NSA. Our systematic trading basket for US Treasury futures using Turnleaf Analytics daily US CPI...
Trading US CPI on a high frequency basis In this paper, we examine ways of trading US CPI on a high frequency basis. We show that knowing the surprise of headline or core CPI yields similar results from a high frequency trading perspective, despite the market focus on...
Trading inflation swaps with Turnleaf Analytics inflation forecasts In this paper, we look at active trading strategies for longer dated US and Eurozone inflation swaps using a signal derived from Turnleaf Analytics inflation forecasts. We note that having foresight...
Trading DMFX with Turnleaf Analytics inflation forecasts In this paper, we examine ways of trading DMFX using Turnleaf Analytics inflation forecasts. The intuition is that Inflation forecasts expectations are linked to monetary policy expectations given that central...
Trading EMFX with Turnleaf Analytics inflation forecasts In this paper, we look at the relationship between Turnleaf Analytics inflation forecasts and EMFX. We find that typically falls in medium term expectations are beneficial for EMFX. Using this idea, we create an...
