Beta Scorecard
Ranks asset pairs by their rolling beta and generates a simple Buy/Sell signal. Current sort: |β| (Sensitivity).
Loading live macro inputs for the beta policy.
Ranking
| # | Asset | Benchmark | β | R² | Δ Benchmark | Score | Macro impulse | Signal |
|---|
Δ Benchmark uses 20 days. Signal = sign(β × ΔBenchmark) with threshold 0.001.
How the Signal is Calculated
Signal formula
Author: Christian Busse
score = beta * delta_benchmark; Buy if score > threshold; Sell if score < -threshold; otherwise Neutral
- The Signal is determined by multiplying an asset's historical sensitivity (β) with the benchmark's recent movement (Δ Benchmark).
- Example: EUR/USD often has a negative beta to the DXY (dollar index). If the DXY falls (Δ Benchmark is negative), the formula is `(negative β) * (negative Δ) = positive score`, resulting in a "Buy" signal for EUR/USD. Conversely, if EUR/USD has a positive beta to the S&P 500 and the S&P 500 falls, the formula is `(positive β) * (negative Δ) = negative score`, resulting in a "Sell" signal. This is why an asset can have conflicting signals against different benchmarks.
- The Signal Threshold (`0.001`) is the minimum score required to trigger a "Buy" or "Sell". It filters out noise from very small moves. A higher threshold requires a stronger combination of beta and benchmark movement to generate a signal.
- Auto macro policy: when enabled, live Macro Vision scores set the beta window, benchmark horizon, and threshold deterministically. Bespoke formulas are shown above with Author: Christian Busse.
β over time — example (EUR/USD vs DXY)