Macro Calendar is the macroeconomic event calendar — NFP, CPI, FOMC, rate decisions, PMI, and dozens of other releases — cross-referenced with your strategies’ history. It doesn’t just show you when an important release will be published: it also tells you whether, historically, your strategies performed differently on days when certain events occurred, compared to normal days.
It’s the tool for answering questions like: does my strategy systematically suffer on FOMC days? Is there an event that historically delivered better-than-average performance? Is it worth staying in the market on CPI day, or better to sit it out? The answers come from your historical data, not from preset rules.
An important premise. QANTHOS is an analysis, validation and discovery tool, not a financial advisor. The classifications (“high sensitivity”, “stay in / stay out” recommendations) describe historical behaviour observed in your data: they aren’t predictions or operational advice. An event that had a positive or negative impact in the past can behave differently in the future.
1. The calendar: what an event contains
Each recorded macro event has a date and time, a country, a name, an importance level (🔴 High, 🟠 Medium, 🟢 Low), and — when available — the forecast, previous and actual values, from which QANTHOS computes the surprise (actual − forecast): how much the published figure deviated from expectations, and in which direction.
Events are also classified by standardized type (NFP, CPI, FOMC, GDP, PMI, and so on, regardless of how the source named them), so equivalent events from different sources are treated as the same type in analyses. A subset of high-importance events — NFP, CPI, FOMC, GDP, ECB, BOE and a few others — is marked as Tier 1: those historically with the greatest market impact.
2. Where the data comes from
Two sources, with different roles:
- FRED (Federal Reserve Economic Data) — the primary source for USA events, with real release dates. Requires a free API key (configurable in settings); without a key, QANTHOS falls back to a method that estimates dates instead of using the actual ones — a difference explicitly flagged in logs.
- Investing.com — used for EUR and GBP events (the USA area is already covered by FRED with real dates).
The Sync All button in the header does, in one pass: downloading FRED’s history for the configured years (the Years spinner, default 10), recent EUR/GBP events from Investing.com, and generating scheduled future events (roughly 3 months ahead). The USA / EUR / GBP checkboxes filter which countries are involved. Alternatively, Import CSV and Export CSV let you exchange data with external files, and Clear data removes all saved history (destructive action, with confirmation).
3. The four sub-tabs
3.1 Upcoming Events
The list of future macro events, sorted by date. If there are no future events in the database, it shows the latest past events instead as a reference, flagging how many days have passed since the last update — a reminder to sync.
3.2 History
All past events, filterable by date range, minimum importance and event type. Each row shows date, time, country, event name, importance, actual/forecast/previous value and the computed surprise (coloured green if positive, red if negative). Tier 1 events are highlighted in bold.
3.3 Statistics
A summary view of the loaded calendar: date range covered, total number of events, distribution by importance (High/Medium/Low), and counts by country and by event type.
3.4 Macro Sensitivity
The tab’s analytical core: here your portfolio’s strategies are compared against the calendar to discover how much — and how — they react to macro releases. Described in detail in §4.
4. Macro Sensitivity: how it’s computed
Pressing Analyze in the Macro Sensitivity sub-tab, QANTHOS compares each strategy’s trades against the calendar’s events. The matching criterion is a precise time window around each event’s exact time (a few hours before and several hours after publication) — not simply “the same calendar day”, a distinction that avoids wrongly attributing to an event a trade opened before the event was even published.
For each event type, QANTHOS computes:
| Metric | Meaning |
|---|---|
| Average PnL on event days vs normal days | The performance difference when the event occurs, versus the strategy’s typical behaviour. |
| Win rate on event days vs normal days | Same, for the winning-trade percentage. |
| Surprise direction | Average PnL when the published figure was above expectations, and when it was below. |
| LONG/SHORT split | The same statistics separated by trade direction, when available. |
From these statistics, QANTHOS derives a Macro Sensitivity Score (0-100) for each strategy: the higher, the more the strategy’s performance deviates — in either direction — from its normal behaviour on macro release days. The score itself doesn’t distinguish whether the deviation is positive or negative: that’s read in the detailed statistics.
For each strategy, QANTHOS also identifies the best event (the one that historically improved performance the most relative to normal days) and the worst event (the one that worsened it the most) — only if the deviation is actually in that direction, otherwise the field stays empty.
5. Per-strategy detail
Double-clicking a strategy in the ranking opens a dialog with three views:
- Summary — the sensitivity score with a textual interpretation, the best- and worst-event cards.
- Events — the full table of all event types analyzed for this strategy, with trades, average PnL, win rate, and the same LONG/SHORT split comparison. Clicking an event opens the detail of the individual trades that occurred in that window, with the equity curve and drawdown for that subset.
- Recommendations — an automatically generated textual summary based on the score and observed impact (for example, if the worst event has a marked negative impact, or if the analyzed trade sample is too small to be conclusive).
Sample size matters. An event with only 2-3 observed trades isn’t a solid basis for conclusions, even if the performance difference looks pronounced. QANTHOS explicitly flags when the number of analyzed trades is small — treating those cases with due statistical caution is the reader’s responsibility.
6. Portfolio vs Macro Analysis
While Macro Sensitivity looks strategy by strategy, the Portfolio vs Macro Analysis button in the header opens a whole-portfolio level analysis: it answers the question “is it worth staying in the market on the days of a given event’s release, or is it historically better to sit it out?”
For each event type, the analysis aggregates the entire portfolio’s PnL on the event’s days (not a single strategy’s) and compares it against normal days, arriving at a Stay in / Stay out / Neutral indication based on historical behaviour, together with the “expected cost” of staying out (how much average PnL you’d lose by systematically avoiding those days).
The same caution applies here: it’s a reading of the past, an input for your judgement — not an operational instruction.
7. How it connects to the rest of QANTHOS
The calendar fed here is the same data source used by the Monitoring tab: the day’s mini event summary, the strategies table’s Macro column (with historical impact in the tooltip) and the Macro Events panel all read from this same database. Regularly syncing the calendar here directly reflects on the quality of that information in Monitoring.
8. Common issues and notes
The calendar is empty. Press Sync All for the first population. If FRED returns nothing, check you’ve configured a valid API key.
USA event dates look imprecise. Likely a missing FRED API key: without it, the fallback estimates dates instead of using real release ones. Configure the key for maximum precision.
“No strategies available” in the analysis. Macro Sensitivity and Portfolio Analysis require strategies already loaded in the Strategies tab, with trade history available.
A high score but no best/worst event shown. Happens when no event produces a clearly positive or negative deviation from normal days: the score can be high due to volatility on event days, without a net direction.
Few rows in a strategy’s Events table. Check how many trades were actually matched to each event type (Trades column): with very few observations, percentages can look extreme but aren’t statistically solid.
9. An example workflow
A typical path, not a prescription.
- Open Macro Calendar and press Sync All (with a FRED API key configured, if available).
- Check Upcoming Events for incoming Tier 1 events.
- Load the strategies in the Strategies tab, then come back here and go to Macro Sensitivity → Analyze.
- Scan the ranking: spot strategies with a high score, and check whether the associated worst event is concerning.
- Open the detail for the most sensitive strategies, checking sample size before drawing conclusions.
- If you want a portfolio-wide read, run Portfolio vs Macro Analysis.
- Use what you’ve found to inform your operational decisions — for example keeping an eye on the Macro column in Monitoring on days with relevant events.
The macro calendar makes a historical pattern visible, it doesn’t automatically turn it into a rule. It’s up to you to decide whether, how and how much to account for it.
10. To learn more
- Monitoring — where the same calendar feeds the day’s alerts and the strategies table’s Macro column.
- Strategies Tab — where strategies are loaded with their trade history, a prerequisite for Macro Sensitivity.