2. Macroeconomics

Each entry notes release cadence and why markets react — the surprise vs consensus usually moves prices more than the level.

Algo-wide warning. Macro series are revised (sometimes for years). Backtesting on the final revised value is lookahead. Use vintage / first-print data (e.g. ALFRED for FRED series). Also key each datapoint to its release timestamp, not the period it measures.

Growth

GDP (Gross Domestic Product)

Def. Total value of goods & services produced; the broadest activity measure. Formula. $\text{GDP}=C+I+G+(X-M)$ (consumption + investment + govt + net exports). Reported as annualized real QoQ % (US). Signal. Two consecutive negative quarters → informal recession. Markets care about the advance print + revisions. Algo. US reports annualized QoQ; most other countries report non-annualized QoQ or YoY — don't mix conventions.

GDP Nowcast (Atlanta Fed GDPNow, NY Fed)

Def. Real-time GDP estimate updated as data arrives. Formula. Model-based aggregation of incoming indicators. Signal. Diverges from consensus → tradable surprise risk into the official print. Algo. Itself revised continuously; store the as-of vintage.

Leading / Coincident / Lagging Indicators

Def. Indicators classified by timing relative to the cycle. Formula. Conference Board LEI is a weighted composite (yield curve, claims, building permits, etc.). Signal. Leading (PMI, yield curve, claims) turn before the economy; useful for regime models. Algo. Build regime filters from leading indicators, not lagging ones (unemployment lags).

Inflation

CPI (Consumer Price Index)

Def. Price level of a consumer basket; the headline inflation gauge. Formula. $\text{Inflation YoY}=\frac{{\text{CPI}}_t}{{\text{CPI}}_{t-12}}-1$. Monthly release. Signal. Hot CPI → hawkish Fed → bonds & rate-sensitive equities sell off. The single biggest scheduled macro event for rates. Algo. Headline (incl. food/energy) vs Core (ex food & energy). Core drives policy. Watch MoM annualized for momentum.

PCE (Personal Consumption Expenditures) Price Index

Def. The Fed's preferred inflation measure (broader basket, substitution-adjusted). Formula. Same YoY/MoM logic as CPI. Monthly. Signal. Core PCE is the Fed's 2% target metric — more important for policy than CPI. Algo. PCE runs structurally below CPI (~0.3–0.5pp) due to weighting/substitution.

PPI (Producer Price Index)

Def. Prices received by producers — an upstream/pipeline inflation gauge. Formula. YoY/MoM index change. Monthly, released near CPI. Signal. Leads CPI; rising PPI → margin pressure or future consumer inflation. Algo. Useful as a leading feature for CPI surprise models.

Breakeven Inflation / Inflation Expectations

Def. Market-implied future inflation. Formula. $\text{Breakeven}=\text{Nominal Treasury Yield}-\text{TIPS (real) Yield}$. Also 5y5y forward, U-Mich survey. Signal. Rising breakevens → market pricing more inflation; anchors Fed credibility. Algo. Daily, market-derived (no revision) — cleaner real-time signal than survey data.

Interest Rates & Monetary Policy

Fed Funds Rate / Policy Rate

Def. The overnight rate the central bank targets; the anchor for all other rates. Formula. Set as a target range (e.g. 5.25–5.50%). Effective rate (EFFR) is the realized median. Signal. Hikes → tighter conditions, headwind for risk/growth assets. The dominant macro driver. Algo. Use the effective rate for cost-of-carry; track market expectations via Fed funds futures (CME FedWatch).

Yield Curve & Inversion

Def. Treasury yields across maturities; its slope encodes growth/recession expectations. Formula. Common slopes: $\text{10Y}-\text{2Y}$ and $\text{10Y}-\text{3M}$. Negative = inverted. Signal. Inversion (esp. 10Y–3M) is the most reliable recession lead (~6–18 months). Steepening after inversion often precedes recession onset. Algo. Build a recession-probability feature from the spread; lead/lag is long, don't expect timing precision.

Real Yield

Def. Yield after inflation; the true cost of money. Formula. $\text{Real Yield}\approx \text{Nominal Yield}-\text{Expected Inflation}$ (or directly from TIPS). Signal. Rising real yields → headwind for gold and long-duration/growth equities. Algo. Strong inverse driver of gold; useful regression feature.

Duration & Convexity (bonds)

Def. Duration = price sensitivity to rate changes; convexity = curvature of that relationship. Formula. $\%\Delta \text{Price}\approx -\text{Duration}\times \Delta y+\frac{1}{2}\times \text{Convexity}\times (\Delta y{)}^2$. Signal. Higher duration → more rate risk. Long bonds move violently on rate surprises. Algo. For bond/ETF backtests, model P&L via duration approximation rather than full reprice for speed.

Employment

Nonfarm Payrolls (NFP)

Def. Net jobs added ex-agriculture; the marquee monthly US labor print. Formula. Net change in payroll employment (BLS). First Friday of month, 8:30 ET. Signal. Big surprise vs consensus → sharp rate & FX moves. Strong jobs → hawkish. Algo. Heavily revised; trade the surprise (actual − consensus), not the level. Highest-volatility scheduled event after CPI/FOMC.

Unemployment Rate (U-3) / U-6

Def. Share of labor force unemployed. U-6 adds underemployed/discouraged. Formula. $\text{U-3}=\frac{\text{Unemployed}}{\text{Labor Force}}$. Monthly. Signal. Lagging indicator. Sahm Rule: 0.5pp rise in 3m-avg U-3 off its low → recession trigger. Algo. Participation-rate shifts distort it — pair with payrolls.

Initial Jobless Claims

Def. New unemployment-benefit filings; the most timely labor signal. Formula. Weekly count, seasonally adjusted. Watch the 4-week moving average. Signal. Leading indicator; rising claims → labor softening early. Algo. Weekly cadence makes it a good high-frequency macro feature; smooth with 4wk MA.

Average Hourly Earnings / ECI

Def. Wage growth — feeds inflation expectations. Formula. YoY % of hourly earnings; ECI (Employment Cost Index) is the cleaner quarterly measure. Signal. Hot wages → sticky services inflation → hawkish. Algo. Released with NFP; part of the same surprise reaction.

Surveys & Sentiment

PMI / ISM (Manufacturing & Services)

Def. Diffusion index of business activity from purchasing managers. Formula. Diffusion: $\%\text{ reporting improvement}+\frac{1}{2}\times \%\text{ reporting no change}$. 50 = expansion/contraction line. Signal. >50 expansion, <50 contraction. Leading indicator; new-orders sub-index is most forward-looking. Algo. It's an index level (not a rate) — the 50 threshold and direction matter, not YoY.

Consumer Confidence / Sentiment (Conf. Board, U-Mich)

Def. Survey of household optimism. Formula. Index normalized to a base year. Signal. Leads consumer spending; U-Mich also publishes inflation expectations. Algo. Noisy month-to-month; use trend.

Retail Sales

Def. Monthly consumer spending at retailers. Formula. MoM % change; "control group" excludes autos/gas/building materials (feeds GDP). Signal. Core/control group is the cleaner consumer-demand read. Algo. Nominal (not inflation-adjusted) — strip price effects when modeling real demand.

Money & Liquidity

M2 Money Supply

Def. Cash + checking + savings + retail money-market funds. Formula. Aggregate stock reported by the Fed; track YoY growth. Signal. Rapid growth → inflation/liquidity tailwind; contraction → tightening. Algo. Slow-moving; useful as a regime/liquidity backdrop, not a timing signal.

Net Liquidity (Fed balance sheet proxy)

Def. A markets-favored proxy for system liquidity. Formula. $\text{Net Liquidity}\approx \text{Fed Total Assets}-\text{Treasury General Account (TGA)}-\text{Reverse Repo (RRP)}$. Signal. Rising net liquidity often coincides with risk-asset strength. Algo. All three series are on FRED (weekly/daily); rebuild the combo yourself, watch for definition drift.

Credit Spreads (IG / HY / OAS)

Def. Extra yield corporate bonds pay over Treasuries; a risk-appetite gauge. Formula. $\text{Spread}=\text{Corporate Yield}-\text{Treasury Yield}$ (or option-adjusted spread, OAS). Signal. Widening → stress / risk-off; tight → complacency. HY spreads lead equity drawdowns. Algo. Excellent risk-on/off regime feature; daily and market-derived (no revision).

FX & Global

DXY (US Dollar Index)

Def. USD vs a basket of major currencies (heavily EUR-weighted). Formula. Geometric weighted index of 6 currencies (EUR ~58%). Signal. Strong dollar → headwind for commodities, EM, and US multinationals' earnings. Algo. Not a broad trade-weighted measure (EUR-dominated) — use the Fed's broad dollar index for trade effects.

Carry / Rate Differential

Def. Yield pickup from holding a higher-rate currency vs funding in a lower-rate one. Formula. $\text{Carry}\approx {\text{rate}}_{\text{target}}-{\text{rate}}_{\text{funding}}$ (annualized). Signal. Positive carry attracts flows in calm regimes; unwinds violently in risk-off. Algo. Carry strategies have negative skew (slow gains, sudden crashes) — size for tail risk.

Central Bank Calendar (FOMC, ECB, BOJ)

Def. Scheduled rate decisions + statements + projections (dot plot). Signal. Highest-impact scheduled events; the guidance and dot plot often move more than the decision. Algo. Hard-code event dates into backtests; volatility regimes differ pre/post announcement (don't trade signals through them blindly).

Release-impact cheat ranking (US, typical rate/FX volatility)