macro event sentiment composite
What it checks
When news tone, the yield curve, and prediction-market recession odds all flash stress at the same time, we flatten the position to cash. The rest of the time we run a simple long-trend signal.
Mechanism
Risk-on momentum strategies fail disproportionately when negative GDELT economic-event tone, an inverted yield curve, and elevated polymarket recession-probability fire simultaneously. The multi-source soft gate suppresses long exposure on those joint-stress days — same pattern as #211-#215 meta_regime_gate but with a wider trigger surface.
Signal rule
position = 0 when >=2 of {GDELT global tone < -3, T10Y2Y < 0, polymarket recession-YES >= 0.4} fire on T+1; else SMA50 > SMA200 long-trend default.Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
gdelt_country_toneWorker data table — see services/worker schema.
fred_macroWorker data table — see services/worker schema.
polymarket_prices_dailyWorker data table — see services/worker schema.
polymarket_marketsWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- untested — internal
- Paper window
- T+0 (gate, evaluated daily)
Untested — internal. Acts as a drawdown filter; expected to flatten left-tail without sacrificing CAGR meaningfully.
Related families
meta regime gate 1Meta-regimeCluster of promoted alpha-v2 champions that consistently underperform when the 60d-z-score of VIX exceeds +1.0 (panic-spike regime). Their shared failure IS the alpha: gating long exposure to 0 on those days flips the failure into avoided drawdown.
meta regime gate 2Meta-regimeCluster of promoted alpha-v2 champions that fail when SPY trades more than 10% below its 252d rolling high. Gating long exposure to 0 in those windows captures the failure as avoided loss.
macro regimeMacroBeyond regime_overlay (#10) which uses VIX + SPY trend, this family keys off the macro regime detected from FRED data: term-spread inversion (10Y−2Y < 0), credit-spread widening or compression (BAA−10Y z), and Fed funds cycle direction. Single-name version: gate the simple long-trend signal (SMA50 > SMA200) on the FRED macro regime — full long only in risk-on, half-size in neutral, flat in risk-off, short in inversion.
polymarket event premiumEvent-drivenPrediction-market prices on company-specific binary events (FDA approvals, M&A close-by-date, CEO departures, earnings beats, bankruptcy, lawsuit outcomes) update faster and more accurately than equity options price the same outcome. When the polymarket yes_price deviates from the option-implied probability of the same outcome by more than threshold, the equity has not yet absorbed the news.
Explore macro event sentiment composite on alphactor.ai
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