Hi, thank you for this great post. Can you tell me how it is possible that the Cumulative Return graphs have more jumps per year than there are FOMC meetings? Shouldnt the strategy just trade around FOMC meetings and flatline the other time? I'm a bit confused by that behavior.
Hi, thanks for your question. The strategy only takes positions during scheduled Fed meetings, which typically occur about eight times per year. The actual “jumps” in returns happen only around those Fed days. I’ve sent you a zoomed-in chart via Messages that illustrates this (since Substack comments don’t allow image attachments).
So I see 1.7%, (-0.9%), 3.3%, 4.4%, (-0.3%) for 2019 to 2024 inclusive for Fed Day 1 & 2 as total SPY returns by year. (Note: I have excluded 2020). This exercise I did via pen and paper as it were! Ok....spreadsheet to be honest!
Hi. I did code this into tradestation as it is easy to code but the results I got were different. I am not sure why. By different, I mean I didn't get a statistical edge.
Hi Pavel. So the dates I have for 2019 as an example are per follows....January 29-30
March 19-20
April 30 - May 1
June 18-19
July 30-31
September 17-18
October 29-30
December 10-11
I save them as they happen as I looked at a few different approaches around Fed Day. Buy day before Fed Day and sell at close on 2nd day. Buy end of day 1 and sell end of day 2. Short day after fed day etc etc. I just couldn't see a material edge. I may be doing something wrong. My trades were all on bar closes rather than buy at open where you may experience gaps from prior day so this may/may not make a difference.
Hi, thank you for this great post. Can you tell me how it is possible that the Cumulative Return graphs have more jumps per year than there are FOMC meetings? Shouldnt the strategy just trade around FOMC meetings and flatline the other time? I'm a bit confused by that behavior.
Hi, thanks for your question. The strategy only takes positions during scheduled Fed meetings, which typically occur about eight times per year. The actual “jumps” in returns happen only around those Fed days. I’ve sent you a zoomed-in chart via Messages that illustrates this (since Substack comments don’t allow image attachments).
So I see 1.7%, (-0.9%), 3.3%, 4.4%, (-0.3%) for 2019 to 2024 inclusive for Fed Day 1 & 2 as total SPY returns by year. (Note: I have excluded 2020). This exercise I did via pen and paper as it were! Ok....spreadsheet to be honest!
Hi. I did code this into tradestation as it is easy to code but the results I got were different. I am not sure why. By different, I mean I didn't get a statistical edge.
Hi Vimal, where did you get FOMC dates?
Hi Pavel. So the dates I have for 2019 as an example are per follows....January 29-30
March 19-20
April 30 - May 1
June 18-19
July 30-31
September 17-18
October 29-30
December 10-11
I save them as they happen as I looked at a few different approaches around Fed Day. Buy day before Fed Day and sell at close on 2nd day. Buy end of day 1 and sell end of day 2. Short day after fed day etc etc. I just couldn't see a material edge. I may be doing something wrong. My trades were all on bar closes rather than buy at open where you may experience gaps from prior day so this may/may not make a difference.
Are you getting different results to what I have? I may have done something wrong
I don't mind working with you offline on various permutations if you don't use TS