Macro Chan

I backtest what everyone else just talks about. Ex-BB & HF, now prop trading. HK.

[Macro Chan @mctradinghk]

1/7 US midterms are 12 days away (Nov 3). A popular online claim says stocks "always" rise after a midterm. We tested S&P 500 from end-Sep to end-Apr: since 1950, midterm years were up 18 of 19 times, avg +18.3%. Other years: up 70% of the time, avg +4.5%.

[Macro Chan @mctradinghk]

Takeaway: European bond stress is back near 2011 levels, but history gives no fixed playbook for EURUSD, Treasuries or BTC afterwards. "Spread widens = euro falls" isn't supported by the data. Not a buy/sell call.

[Macro Chan @mctradinghk]

France's 10Y closed at 4.985% on Oct 21 (briefly above 5% intraday), the highest close since daily data starts in 2004. The OAT-Bund spread hit 152bp, up 56bp in 20 trading days. Last close above 150bp: Nov 2011, the euro crisis.

[Macro Chan @mctradinghk]

Smooth out one-day data glitches and EURUSD flips to +0.5%, US 10Y to +0.5bp. The sample also includes non-French shocks like 2008 and 2020. What did hold up: the spread itself usually stopped widening soon after the signal.

[Macro Chan @mctradinghk]

Mix them up and the backtest still looks fine. Live trading does not.

Ep0, the map plus a six-gate build pipeline:
https://t.co/LObxEEwUMT

Next: three popular trend rules run exactly as published, then funding carry.

Method and data only. NFA.

[Macro Chan @mctradinghk]

Most people start a quant strategy by writing code or hunting for a pretty equity curve.

The first step is neither. First get clear which kind of alpha you are actually hunting.

I put the map in a new English series on Substack. Quick version below.

[Macro Chan @mctradinghk]

Five common kinds of alpha:

1. Time-series (CTA): trend or mean reversion
2. Cross-sectional: long one basket, short another
3. Carry: collect funding, compare it with the T-bill
4. Event-driven: listings often priced in within minutes
5. Stats arb: high bar for most retail

[Macro Chan @mctradinghk]

7/7 Since 1950, holding only in midterm windows and T-bills otherwise: +32,527% vs buy and hold +39,553%, invested ~15% of the time. Price only; with dividends buy and hold wins by ~3pp a year. A strong tendency, not a sure thing. NFA.

[Macro Chan @mctradinghk]

1/7 US midterms are 12 days away (Nov 3). A popular online claim says stocks "always" rise after a midterm. We tested S&P 500 from end-Sep to end-Apr: since 1950, midterm years were up 18 of 19 times, avg +18.3%. Other years: up 70% of the time, avg +4.5%.

[Macro Chan @mctradinghk]

6/7 Even the good years can hurt. Enter end-Sep 2018 and you were down as much as -19.6% by late Dec, finishing only +1.1% by end-Apr.

[Macro Chan @mctradinghk]

3/3
Prop shop：做 high frequency，用自己的钱 trade。策略本身不需要很大规模，自然不用募资，也不用和别人分利润。

同一个市场，五种人的目标完全不同。接下来讲 hedge fund 里面有哪些策略，每种靠什么赚钱。

[Macro Chan @mctradinghk]

1/3
Buyside 才是真正在市场上打仗的那群人，但不是每个人玩法都一样：

Long-only：买股票、跑赢 index。但愿意花钱买 active fund 的人越来越少，这行在慢慢萎缩。

ETF：基本上是几家巨头的游戏，靠规模和低费率。

[Macro Chan @mctradinghk]

2/3
Hedge fund：拿客户的钱去 trade。大部分做 market neutral，因为跟 beta 不是 edge，客户自己买 index 就有，不用付你 2 and 20。

FoF：有钱但没有 trading edge 的机构，比如保险、退休金、family office。它们把钱分给不同 manager，靠分散来管风险。

[Macro Chan @mctradinghk]

https://t.co/DPFGwJim3s

[Macro Chan @mctradinghk]

Just start my first article in substack!

https://t.co/3bzn3Vgxf3