@quantpad: Pre-FOMC announcement drift backtest: the 24 hours before every Fed meeting, tested on S&P 500 and Nasdaq futures 2011-2025 Lucca and Moench (Journal of Finance, 2015) found that US stocks earned large returns in the hours before scheduled Fed announcements. I coded their window on every scheduled FOMC meeting since 2011: buy E-mini S&P futures at 2:00 p.m. the day before, sell 5 minutes before the statement, one-minute bars, $16.50 a round turn. The average held. Those 108 windows rose 5.21 points on average, against 1.42 points for every other 2 p.m. to 2 p.m. stretch over the same 15 years. One ES contract made $26,356 after costs; one Nasdaq contract made $48,586 over 106 windows. But it rose only 53 times out of 108, so a handful of big days carry the average (2022 alone made $10,651). 2011 to 2015 lost money on both markets. Walked forward (expanding yearly, entry and exit hours picked on past years only, 2014-2025) the S&P still made $30,910 out of sample. All 12 nearby entry and exit times were profitable on both markets, and at $33 a trade the S&P still made $24,574. What this does not show: it is not statistically significant at 5% (t = 1.69), 11 S&P meetings in roll weeks were skipped, and nothing here says it continues. The takeaway: before you trade an average, count how often it wins. I built this in QuantPad. It has every trade on the CME since 2010. Link in bio. #QuantPad #backtesting #futurestrading #quanttrading #tradingstrategy

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Saturday 31 October 2026 05:05:22 GMT