English

History Rhymes: Macro-Contextual Retrieval for Robust Financial Forecasting

Machine Learning 2025-11-18 v2 Artificial Intelligence

Abstract

Financial markets are inherently non-stationary: structural breaks and macroeconomic regime shifts often cause forecasting models to fail when deployed out of distribution (OOD). Conventional multimodal approaches that simply fuse numerical indicators and textual sentiment rarely adapt to such shifts. We introduce macro-contextual retrieval, a retrieval-augmented forecasting framework that grounds each prediction in historically analogous macroeconomic regimes. The method jointly embeds macro indicators (e.g., CPI, unemployment, yield spread, GDP growth) and financial news sentiment in a shared similarity space, enabling causal retrieval of precedent periods during inference without retraining. Trained on seventeen years of S&P 500 data (2007-2023) and evaluated OOD on AAPL (2024) and XOM (2024), the framework consistently narrows the CV to OOD performance gap. Macro-conditioned retrieval achieves the only positive out-of-sample trading outcomes (AAPL: PF=1.18, Sharpe=0.95; XOM: PF=1.16, Sharpe=0.61), while static numeric, text-only, and naive multimodal baselines collapse under regime shifts. Beyond metric gains, retrieved neighbors form interpretable evidence chains that correspond to recognizable macro contexts, such as inflationary or yield-curve inversion phases, supporting causal interpretability and transparency. By operationalizing the principle that "financial history may not repeat, but it often rhymes," this work demonstrates that macro-aware retrieval yields robust, explainable forecasts under distributional change. All datasets, models, and source code are publicly available.

Keywords

Cite

@article{arxiv.2511.09754,
  title  = {History Rhymes: Macro-Contextual Retrieval for Robust Financial Forecasting},
  author = {Sarthak Khanna and Armin Berger and Muskaan Chopra and David Berghaus and Rafet Sifa},
  journal= {arXiv preprint arXiv:2511.09754},
  year   = {2025}
}

Comments

Accepted in IEEE BigData 2025

R2 v1 2026-07-01T07:34:42.601Z