Key insights
- The author presents a macro risk framework based on six rules (credit stress, yield curve/labor, petro-FX, PMI vs. earnings, EM contagion, oil shocks) to generate a daily risk score and investment posture. A backtest showed the score remained benign most of the time, escalating during stress episodes. The author seeks feedback on the framework's utility for de-risking or sizing positions. While potentially useful for risk management, the framework's actual predictive power for US equity movements is uncertain.
I’ve been working on a framework/tool to think about macro risk more systematically instead of reacting to headlines especially in turbulent times like this
The core idea is: • Define 6 rules (credit stress, yield curve + labor, petro‑FX, PMI vs earnings, EM contagion, oil shocks). • Convert them into a single Macro Risk Score (0–100) and a posture tier (HOLD / TRIM / DEFEND / MAX DEFEND). • Spend most of the time in BENIGN, only escalate when multiple rules fire together.
Over a 4‑year backtest (2022–2026) the score: • stayed BENIGN most of the time • moved into DEFEND/MAX DEFEND around major stress episodes • then reset to BENIGN instead of staying elevated.
I’ve turned this into a Telegram bot that posts a daily card (score, regime, posture) plus historical analogues like “today looks 70% like 2019 repo stress” to give some intuition.
My question for the sub: • Would you actually use a macro “posture” signal like this? • How would you integrate it? Only for de‑risking? For sizing? Or ignore macro entirely?
(Mods: happy to remove if this crosses the line into self‑promo. I’m mainly looking for feedback on the framework)