Macro Calendar Modulation
Experiment Overview
| Item |
Details |
| Date |
2026-02-24 |
| Goal |
Add CPI/GDP/retail sales awareness and VIX regime scaling to calendar features without changing obs_dim |
| Environment |
Python 3.11+, OpenBB FRED provider |
| Status |
Success |
Context
Calendar features only knew FOMC + employment first Friday. No VIX level, no CPI/GDP dates. Earnings cause 5-10% average moves; CPI/GDP releases move markets significantly.
Design constraint: NUM_FEATURES must stay at 7 (no obs_dim change). Solution: modulate existing hour_weight value.
Implementation
Macro Event Dates
CPI_RELEASE_DATES = [datetime(2024,1,11), datetime(2024,2,13), ...] # 2024-2026
GDP_RELEASE_DATES = [datetime(2024,1,25), datetime(2024,2,28), ...] # 2024-2026
RETAIL_SALES_DATES = [datetime(2024,1,17), datetime(2024,2,15), ...] # 2024-2026
ALL_MACRO_EVENT_DATES = sorted(set(CPI + GDP + RETAIL))
hour_weight Modulation
CalendarFeatureCalculator(enable_macro_modulation=True)
# In _hour_weight():
base_weight = ... # existing market hours logic (0.1 - 1.0)
if enable_macro_modulation:
# +20% on CPI/GDP/retail sales days
if ts_date in self._macro_event_dates:
base_weight *= 1.20
# VIX regime scale (cached 4h via OpenBB FRED)
vix_scale = _get_vix_regime_scale() # 0.9x to 1.3x
base_weight *= vix_scale
VIX Regime Scaling
| VIX Level |
Scale |
Rationale |
| < 15 |
1.0x |
Normal volatility |
| 15-25 |
0.95x |
Slightly reduce weight (elevated but manageable) |
| 25-35 |
1.1x |
Higher volatility = more signal in price moves |
| > 35 |
1.3x |
Panic = high weight (big moves, high importance) |
Caching
- Module-level
_macro_data_cache dict (not instance-level)
- VIX cached for 4 hours via
_fetch_vix_level() using OpenBB FRED
_macro_event_dates pre-built as set in __init__ for O(1) lookup
Failed Attempts
| Attempt |
Why it Failed |
Lesson Learned |
| Adding new feature (earnings_proximity) |
Changes obs_dim from 5900 to 6000, breaks all existing models |
Modulate existing features instead |
| Instance-level VIX cache |
Multiple CalendarFeatureCalculator instances waste API calls |
Module-level cache shared across instances |
Final Parameters
MACRO_EVENT_BOOST = 1.20 # +20% on macro release days
VIX_REGIME_SCALES = {
'normal': 1.0, # VIX < 15
'elevated': 0.95, # VIX 15-25
'high': 1.1, # VIX 25-35
'panic': 1.3, # VIX > 35
}
VIX_CACHE_TTL = 14400 # 4 hours
Files Modified
| File |
Change |
alpaca_trading/features/calendar_features.py |
Added date lists, _fetch_vix_level(), _is_macro_event_day(), _get_vix_regime_scale(), modulated _hour_weight() |
tests/test_openbb_integration.py |
6 tests for macro modulation |
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