Technical documentation of the macroeconomic scoring engine. Architecture, methodology, and validation of Horacle Capital's quantitative signal.
Note of Inspiration
The fundamental idea of this scoring model was initially inspired by the work presented in the video by Brieuc, which we then adapted and extended for our own research.
Executive Summary
This document details the architecture and methodology of our quantitative scoring system. The objective is to propose a multifactor evaluation grid, allowing assets to be systematically ranked and analyzed for portfolio optimization.
1. Introduction
The scoring model was developed to standardize the process of evaluating investment opportunities. The founding idea is to reduce cognitive biases in the analysis and to provide a neutral observation point by quantifying raw market data (price, momentum, etc.).
2. Methodology and Metrics Used
The overall score, assigning a grade out of 100 to each asset, rests on several interdependent fundamental pillars:
Momentum analysis: We study trends over different time windows to capture the directional velocity of prices.
Volatility and Risk measurement: The score is penalized or adjusted according to historical variations (variance, drawdowns).
Aggregation of Fundamental Data: Where applicable, the integration of on-chain or macroeconomic metrics to weight an asset’s long-term potential.
3. Empirical Results and Application
The use of this score in real conditions (Backtest and Forward test) made it possible to build portfolios capable of outperforming their benchmark indices while preserving capital in degraded market conditions.
Feel free to download the full PDF report via the button at the top of this page to review the detailed formulas, weightings, and illustrative charts.
Disclaimer: This document and its content (including the scoring system's results) are provided for informational and educational purposes only. They do not constitute investment advice.
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Passionate about market analysis and statistical modeling, Léo oversees the strategic allocation of the model portfolio and the development of Horacle Capital's quantitative frameworks, as well as writing weekly articles.
