  A large class of trading strategies focus on opportunities offered by the
yield curve. In particular, a set of yield curve trading strategies are based
on the view that the yield curve mean-reverts. Based on these strategies'
positive performance, a multiple pairs trading strategy on major currency pairs
was implemented. To improve the algorithm's performance, machine learning
forecasts of a series of pertinent macroeconomic variables were factored in, by
optimizing the weights of the trading signals. This resulted in a clear
improvement in the APR over the evaluation period, demonstrating that
macroeconomic indicators, not only technical indicators, should be considered
in trading strategies.
