FRED II — Macro-Strategy Conditioning Lab

FRED II is a Python-based research framework I developed to explore how trading strategies behave across different economic environments.

The project combines historical macroeconomic regimes with strategy returns to examine performance patterns and behavior around changes in economic conditions.

Using 420 months of macroeconomic data from 1991–2025, the framework provides:

  • Regime analysis: Compare strategy returns across different economic conditions.
  • Transition analysis: Examine returns before and after historical regime changes.
  • Research validation: Check consistent data alignment, transparent sample coverage, and reproducible results.

For this demonstration, I use real macroeconomic data alongside synthetic strategy returns to showcase the research workflow without representing the examples as actual trading performance.

Horizontal box plots of Carry A Synthetic monthly returns across six macro regimes; group sizes range from one to fifteen months.
Carry A Synthetic monthly returns by regime, January 2007–July 2010. Sample sizes vary; one regime has only one observation. Triangles show means; dark lines show medians.
Mean Carry A Synthetic returns from three months before to three months after regime changes, using nine complete event windows.
Carry A Synthetic average monthly return around regime changes. Nine complete windows are included; four partial windows are excluded.

The goal isn’t to predict markets or generate trading signals. It’s to provide a structured way to understand historical strategy behavior within its economic context.

Explore FRED II on GitHub

Research and demonstration purposes only. Not investment advice.

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