Macro Advisory With Deep Learning

Miura analysing FTSE constituents

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The FTSE factor with the largest residual is Momentum. To find the best stock to buy or sell to position for a correction of that factor, I will use the sorted residuals from the getEquityIndexMembersSortedResiduals action.

Based on the sorted residuals, I recommend selling AutoTrader Group plc (AUTO.L) as it has a positive residual, indicating it is overvalued. Buying GlaxoSmithKline plc (GSK.L) is recommended as it has a negative residual, indicating it is undervalued.

Based on the residuals to the Momentum factor, SGE.L is the most undervalued.

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