Calendar Strategy: Fed Days

Systematic Investor

UPDATE: I was pointed out a problem with original post due to look ahead bias introduced by prices > SMA(prices,100) statement. In the calendar strategy logic I did not use a usual lag of one day because important days are known before hand. However, the prices > SMA(prices,100) statement should be lagged by one day. I updated plots and source code.

Today, I want to follow up with the Calendar Strategy: Option Expiry post. Let’s examine the importance of the FED meeting days as presented in the Fed Days And Intermediate-Term Highs post.

Let’s dive in and examine historical perfromance of SPY during FED meeting days:


Please note 100 day moving average filter above. If we take it out, the performance deteriorates significantly.

N15 Strategy:





With this post I wanted to show how easily we can study calendar strategy performance using the Systematic Investor Toolbox.

Next, I will…

View original post 30 more words

Leave a Reply

Fill in your details below or click an icon to log in: Logo

You are commenting using your account. Log Out /  Change )

Google photo

You are commenting using your Google account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s