I'm building a pattern recognition model for my master thesis. The idea is to build a framework with some Macro variables (long/short term rates; rates differential; equity; fx; vix) in order to find wich asset class (or investment style or strategy) would perform better on the current period, based on similarities with historical data. For that purpose I am using the K-nearest neighbour algorithm. I would like to ask sugestions regarding not only the quantitative method (KNN) but also the most significant macro variables to use.
I also would like to ask if you know any relevant literature regarding this or any similar theme?
Thanks in advance