Building an Intermarket Trading System

Knowing the intermarket relationships is one thing. Building a tradeable system around them is another. This guide walks through how to turn macro awareness into a concrete trading process with defined rules, filters, and review.

The philosophy

An intermarket system is not a "macro prediction" system. It's a confirmation and veto system. The technical setup generates the signal; the macro tape confirms or vetoes it. You trade when both agree, and you stand aside when they disagree.

Step 1: Define the macro dashboard

Pick four to six instruments that cover the macro spectrum: DXY (dollar), US 10-year yield (rates), S&P 500 futures (risk appetite), VIX (volatility / fear), Gold (real rates proxy), Oil (growth and inflation). Update the dashboard before each session. Note the trend direction of each on the daily timeframe. This is your macro read.

Step 2: Define the regime

Classify the current regime: risk-on (dollar soft, yields stable-to-up, equities rising, VIX falling, copper/gold ratio rising); risk-off (dollar firm, yields falling, equities dropping, VIX rising); inflation shock (commodities and yields rising together, dollar mixed, equities under pressure); deflation scare (yields and equities falling together, dollar mixed, gold rising). The regime shapes which trades you take.

Step 3: Define the trade filter

For every technical setup, run the macro filter. Long AUD/USD pullback requires: dollar soft, risk-on regime, copper stable or rising, VIX not spiking. Long USD/JPY breakout requires: rising US yields, risk-on regime, no carry unwind. Short S&P 500 from resistance requires: VIX rising, yields rolling over, JPY crosses weakening. If the macro filter disagrees with the technical setup, skip the trade. The veto is the system's most powerful feature — it keeps you out of low-edge fights.

Step 4: position-sizing" class="glossary-link">Position sizing by confidence

Macro and technical both strongly aligned → full size. Macro neutral, technical clean → half size. Macro mixed → no trade. Macro strongly against the technical → no trade, no exceptions.

Step 5: The review loop

Every week, review: which trades the macro filter passed vs. vetoed; win rate and expectancy of macro-aligned vs. macro-ignored trades; whether the regime classification is still accurate; any correlation breakdowns that require re-wiring the rules. Most traders find that macro-aligned trades win meaningfully more often than macro-ignored ones. The data will show it within a few months.

The bottom line

An intermarket trading system is a confirmation framework that sits on top of your existing technical edge. It won't make every trade a winner, but it will keep you out of low-probability fights with the macro tape. Over time, that filtering effect is the difference between a system that survives and one that bleeds.