Strategy lab
Every strategy from 151 Trading Strategies and all 101 Formulaic Alphas as formulas you can edit and backtest on ten years of daily stocks, ETFs, futures, forex and crypto data. Free, in your browser.
19.5Global macroReference
Trading on economic announcements
Stocks have earned most of their excess return on important announcement days such as FOMC decisions. Hold equities on those days and Treasury bills otherwise.
Why there is no chart
A calendar of scheduled macro announcements.
The lab runs on daily prices for stocks, ETFs, indexes, futures, currencies, crypto and Treasury yields. This strategy from 151 Trading Strategies depends on data outside that set, so it is explained and formalised here rather than backtested.
Hypothetical backtests on daily closes with no slippage unless you add costs. Survivorship bias applies: the stock list is today’s large caps. For learning, not investment advice. Data: Yahoo Finance via yfinance.
- Source
- 151 Trading Strategies
- Section
- 19.5 · Global macro
- Asset class
- Macro
- In the lab
- Explained, not backtested
Trading on economic announcements (19.5)
Stocks have earned most of their excess return on important announcement days such as FOMC decisions. Hold equities on those days and Treasury bills otherwise.
Data it needs
A calendar of scheduled macro announcements.
More in Global macro
Source: Kakushadze, Z. and Serur, J. A. (2018). 151 Trading Strategies. Palgrave Macmillan. SSRN 3247865. Summaries are our own.