Would it be possible to test to use an AI factor as a macro indicator?
I'm would like to test how many stocks expects a positive return or check the trend of the number of stocks that expects to have a positive return. Can that be done?
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I think so using Aggregate Series.
But aren't you going to get bored waiting for a signal? Looks like the indicator above gave one signal in 20 years.
Maybe that was a poor example. Tightening the rule makes it clearer.
When we can implement macro data into the AI models, I hope this will become an even stronger indicator of whether the environment is favorable for full investment or not.
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But are you using an expanding window?
