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01.01.2020
White paper/backtest: Qi Rates portfolio
Methodology and Analysis whitepaper showcasing FVG
See more
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01.01.2020
White paper/backtest: Qi Rates portfolio
Methodology and Analysis whitepaper showcasing FVG
See more
Qi’s machine learning process derives fair model value for any security relative to its prevailing macro regime. Qi’s Fair Value Gap
(FVG) is the difference between spot market price and model value. These FVGs can be used as trading signals to generate alpha.
Qi Labs back-tested the efficacy of model’s short term FVGs (83d look back) across its rates universe. This universe includes interest rate swaps, spreads, forwards, flys, Govt bonds, asset swaps and cross market spreads in US, Australian, UK, European, Canadian and Japanese markets. The sample period tested runs from 2nd January 2012 to 25th July 2019.
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Quant Insight’s Macro Analytics
on Goldman Sachs Marquee
Goldman Sachs is embedding Qi’s data-science-driven
macro factor risk data into Marquee to offer risk
management capabilities that help provide clarity to your
investment analysis as you navigate your portfolio exposures,
asset by asset, through dynamic market conditions.
Goldman Sachs is embedding Qi’s data-science-driven macro factor risk data into Marquee to offer risk management capabilities that help provide clarity to your investment analysis as you navigate your portfolio exposures, asset by asset, through dynamic market conditions.