Systematic Macro Research Wiki
A comprehensive knowledge base for systematic macro futures portfolio construction, covering signal generation, risk management, portfolio optimization, and implementation.
Signals
Signal generation and combination frameworks
Risk Management
Risk modeling and tail event management
Portfolio Construction
Portfolio optimization and rebalancing
Getting Started
New to systematic macro trading? Start with these foundational topics:
- Multi-Horizon Framework - Understanding how signals work across time horizons
- Covariance Estimation - Building robust risk models
- Portfolio Optimization - Turning signals into positions
- Code Examples - Practical Python implementations
About This Wiki
This wiki documents research and best practices for systematic futures trading. Topics are organized into four main categories:
- Signals: Generation and combination of predictive signals
- Risk Management: Covariance estimation and tail risk
- Portfolio Construction: Optimization and rebalancing
- Implementation: Code examples and practical tools
All content is backed by academic research and practical experience.