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:

plot1

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

N15 Strategy:

plot2

plot3

plot4

plot5

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

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