Market Forecasting

Predict macroeconomic data and formulate a trading strategy

Market Forecasting

Predict macroeconomic data and formulate a trading strategy

Purpose

A Big Data Analytics department wanted to collaborate with DataSpartan to formulate a trading strategy and use macroeconomic data from within the client bank to generate alpha.

Approach

DataSpartan brought in two consultants to spearhead the project. The consultants first read up on the literature of macro-economic principles and then coded up and tested “Buffet’s Alpha” which is a quantitative trading strategy based on Warren Buffet’s investment style.

 

Result

On backtest, the strategy had an impressive Sharpe Ratio of 2 – the results of which convinced the consultant to spin out a quantitative hedge fund was spun out that was internally funded by the client.