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.
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