An empirical evaluation of CPI-driven macro trading signals

Study highlights

• Consistent directional accuracy: Win rates typically range from 65% to 80% and are statistically significant.

• Favorable payoff asymmetry: Winning trades exceed losing trades in both frequency and magnitude.

• Strong risk-adjusted performance: Sharpe ratios are typically clustered around 0.9 to 1.2.

• Controlled risk: Maximum drawdowns are often below 2% to 3%.

• Persistent edge: Positive Kelly edges indicate statistically robust performance rather than luck.

The table below (click to expand) summarizes strategy-level performance across assets and minimum confidence thresholds. Each row reports the realized performance of a CPI-driven macro signal strategy, defined by an asset and a confidence threshold.

About XTech Macro Signals

XTech Macro Signals systematically transform real-time macro forecasts into tradable signals across highly liquid FX and fixed-income futures, enabling disciplined, data-driven global macro strategies.

Learn more about the accuracy of our real-time macro forecasts here