Turnleaf Analytics Papers
Our Research
We regularly publish trading strategies of how to use our data for trading profitably a variety of asset classes. Click on each paper to download.
Yielding to Inflation
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...
There’s Currency In Inflation
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...
EM-bracing Inflation
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...
Systematic Trading of ETFs
Using ML techniques to create trading rules for ETFs In this piece, we examine the question, “Can a combination of Inflation (CPI), and 2 proxies for GDP be used to inform future allocation decisions?”. The proxies are ISM PMI and ISM NMI, which correspond to ISM...
Floating above it all
Trading DM IRS with Turnleaf Analytics inflation forecasts In this paper, we examine the relationship between inflation forecasts and interest rate swaps in developed markets. We create trading rules based upon inflation forecasts both in terms of where inflation will...
The loco-modities
Turnleaf Analytics economic forecasts to trade commodities It seems intuitive that there is a relationship between commodities, inflation and growth. However, the key question is whether such a link can be monetised. In this paper, we explore how Turnleaf Analytics...
Surprise, it’s inflation
Trading macro assets over US CPI releases In recent years, the US CPI release has impacted a wide array of macro assets. In this paper, we discuss how we can trade a portfolio of macro assets around US CPI. We create short term trading rules over the days of US CPI...
Bonding Over Inflation
Trading bond futures with Turnleaf Analytics inflation forecasts In this note, we discuss how Turnleaf Analytics inflation forecasts can be used to trade liquid bond futures using a systematic trading rule. The rationale is that inflation expectations impact monetary...