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.
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.
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