Signal Generation Framework
This section covers the systematic approaches to generating and combining predictive signals for futures trading.
Key Topics
Low-frequency signals
List of signals that can be used in a systematic macro setting, going beyond the usual momentum, carry, value paradigm.
Multi-Horizon Framework
Learn how to combine signals operating at different time horizons, from intraday to multi-month, using decay curve analysis and daily IC weighting.
Alpha Signals Taxonomy
Explore evidence-based alpha signals beyond the traditional four factors (trend, carry, mean-reversion, valuation), organized by evidence strength.
Medium Frequency Trading
Discover intraday and weekly patterns including momentum effects, overnight anomalies, and short-term reversals.
Signal Combination
Methods for combining multiple signals while accounting for correlations, transaction costs, and estimation error.
Core Principles
- Empirical validation - All signals backed by academic research or robust backtests
- Decay awareness - Understanding and modeling how signal strength changes over time
- Cost-adjusted weighting - Balancing IC with transaction costs
- Diversification - Combining signals with low correlation to each other
Getting Started
Start with the Multi-Horizon Framework to understand how different signals interact across time horizons, then explore specific signal types in the taxonomy.