@quantpad: CPI and NFP event study on 16 years of E-mini S&P 500 futures minute bars. We tested whether the macro release calendar moves ES in a direction you can actually trade, or whether it just makes the market volatile. The release minute really is violent. Against matched control days at the same clock and the same weekday, the CPI release minute is 6.71x more volatile than an ordinary 08:30 minute. Payrolls 6.21x, FOMC 4.87x, jobless claims 2.24x. That part of the folklore is true and measurable. The direction is not. The average CPI release-minute move is -0.001 percentage points with a standard error of 0.028, a t of -0.03. The error bar is 28 times the size of the move it is measuring. Across all 24 release-and-horizon comparisons, exactly one clears the 5% screen: the day after an FOMC decision, -0.281pp, t -2.45, n 120. At a 1-in-20 threshold, 24 tests hand you about 1.2 by chance, so finding exactly 1 is arithmetic, not a signal. We also tested the fair objection, that nobody trades the number and everyone trades the reaction. 240 candidate rules, selected on 2010-2018 and tested on 2019-2026. The best out-of-sample rule made $258.71 net per trade over 80 trades, and still $235.86 at double the measured slippage. Then split it by year: only 9 of 17 years were positive, and 2025 (+$2,168) and 2026 (+$1,044) carry the entire average. Only 95 of 240 grid cells were positive in-sample. Costs were measured from real mbp-1 quotes at those exact release minutes, $17.42 to $22.85 per round turn, not assumed. Buy and hold over the same window made $333,537.50 per contract. Sample: 201 CPI prints, 191 payrolls, 830 jobless claims, 120 FOMC decisions, 2010-09-01 to 2026-08-28. Labelled honestly as a historical fixed-rule descriptive study. Every ES minute bar and every top-of-book quote used to measure the real cost is included with QuantPad, joined to the FRED release calendars in the same workspace. No vendor account. #QuantPad #quanttrading #backtesting #futurestrading #marketdata

QuantPad

Open In TikTok:

Region: US

Sunday 30 August 2026 20:10:46 GMT