$SPY Closes Down the day before FOMC meeting – bit bullish

$SPY Closes Down the day before FOMC meeting

firstly the trading odds for $SPY longs on the FOMC meeting day , since Jan 2000

  • Winners : 70
  • Losers : 46
  • % Winners : 60%
  • Average Change % : 0.34
  • Median Change % : 0.30
  • Maximum Gain % : 4.80
  • Maximum Loss % : -5.23
  • Average Gain %if Winner : 1.19
  • Average Loss % if Loser : -0.96
  • Payoff Ratio 1.24
  • Average Absolute Change% : 0.68
  • Profit Factor : 1.84
  • Outlier Adjusted Profit Factor : 1.74

Trading odds for $SPY longs if $SPY closes down the day before Fed day , since Jan 2000

  • Winners : 31
  • Losers : 21
  • % Winners : 60%
  • Average Change % : 0.52
  • Median Change % : 0.36
  • Maximum Gain % : 4.80
  • Maximum Loss % : -2.94
  • Average Gain %if Winner : 1.49
  • Average Loss % if Loser : -0.91
  • Payoff Ratio 1.64
  • Profit Factor : 2.47
  • Outlier Adjusted Profit Factor : 2.21

for some reason ( we are not aware off why ??) , the FOMC drift in $DIA is a bit low ( about 12 basis points lower than $SPY)

the trading odds for $DIA longs on the FOMC meeting day , since Jan 2000

  • Winners : 69
  • Losers : 47
  • % Winners : 59%
  • Average Change % : 0.22
  • Median Change % : 0.21
  • Maximum Gain % : 4.17
  • Maximum Loss % : -7.62
  • Average Gain %if Winner : 1.04
  • Average Loss % if Loser : -1.03
  • Payoff Ratio 1.02
  • Profit Factor : 1.57
  • Outlier Adjusted Profit Factor : 1.47

the trading odds for $QQQ longs on the FOMC meeting day , since Jan 2000

$QQQ outperforms $SPY by about 15 basis points 

  • Winners : 71
  • Losers : 45
  • % Winners : 61%
  • Average Change % : 0.49
  • Median Change % : 0.44
  • Maximum Gain % : 16.84
  • Maximum Loss % : -8.50
  • Average Gain %if Winner : 1.71
  • Average Loss % if Loser : -1.48
  • Payoff Ratio 1.16
  • Profit Factor : 1.87
  • Outlier Adjusted Profit Factor : 1.58

the trading odds for $IWM longs on the FOMC meeting day , since Jun 2000

$IWM outperforms $SPY by 10 basis points

  • Winners : 68
  • Losers : 45
  • % Winners : 60%
  • Average Change % : 0.44
  • Median Change % : 0.55
  • Maximum Gain % : 6.68
  • Maximum Loss % : -4.94
  • Average Gain %if Winner : 1.56
  • Average Loss % if Loser : -1.27
  • Payoff Ratio 1.24
  • Profit Factor : 1.69
  • Outlier Adjusted Profit Factor : 1.57

Below the Change, Change% details for $SPY on the Fed days since Jan 2000 , for your editable purposes

Fed Date Change Change % Prev Day Change % Fed Date Change Change % Prev Day Change %
18-Dec-13 ?? ?? -0.32 12-Dec-06 -0.09 -0.07 0.29
30-Oct-13 -0.88 -0.50 0.53 25-Oct-06 0.41 0.34 0.29
18-Sep-13 1.97 1.16 0.45 20-Sep-06 0.6 0.53 -0.25
31-Jul-13 0.12 0.07 0.00 08-Aug-06 -0.42 -0.38 -0.23
19-Jun-13 -2.27 -1.38 0.79 29-Jun-06 2.17 2.02 0.68
01-May-13 -1.39 -0.88 0.24 10-May-06 -0.06 -0.05 0.19
20-Mar-13 1.07 0.70 -0.23 28-Mar-06 -0.69 -0.62 -0.14
30-Jan-13 -0.58 -0.39 0.39 31-Jan-06 -0.8 -0.73 -0.08
12-Dec-12 0.07 0.05 0.68 13-Dec-05 0.73 0.68 0.10
24-Oct-12 -0.39 -0.28 -1.39 01-Nov-05 0.3 0.29 0.28
13-Sep-12 2.14 1.52 0.34 20-Sep-05 -0.88 -0.84 -0.33
01-Aug-12 -0.12 -0.09 -0.70 09-Aug-05 0.63 0.61 -0.19
20-Jun-12 -0.21 -0.16 0.97 30-Jun-05 -0.54 -0.53 -0.27
25-Apr-12 1.82 1.37 0.39 03-May-05 0.17 0.17 0.55
13-Mar-12 2.39 1.80 0.01 22-Mar-05 -1.01 -1.02 -0.37
25-Jan-12 1.06 0.84 -0.11 02-Feb-05 0.3 0.30 0.63
13-Dec-11 -1.11 -0.93 -1.47 14-Dec-04 0.35 0.35 0.87
02-Nov-11 1.91 1.63 -2.79 10-Nov-04 0.07 0.07 -0.20
21-Sep-11 -3.39 -2.94 -0.12 21-Sep-04 0.41 0.44 -0.61
09-Aug-11 4.98 4.65 -6.51 10-Aug-04 1.14 1.29 0.15
22-Jun-11 -0.74 -0.60 1.36 30-Jun-04 0.51 0.54 0.42
27-Apr-11 0.83 0.65 0.86 04-May-04 -0.07 -0.08 1.07
15-Mar-11 -1.41 -1.15 -0.61 16-Mar-04 0.48 0.53 -1.22
26-Jan-11 0.47 0.39 0.06 28-Jan-04 -1.08 -1.15 -1.02
14-Dec-10 0.1 0.09 0.06 09-Dec-03 -0.68 -0.77 0.68
03-Nov-10 0.45 0.40 0.79 28-Oct-03 1.15 1.36 0.05
21-Sep-10 -0.22 -0.21 1.53 16-Sep-03 1.21 1.45 -0.35
10-Aug-10 -0.57 -0.54 0.53 12-Aug-03 0.73 0.91 0.39
23-Jun-10 -0.32 -0.31 -1.65 25-Jun-03 -0.81 -1.01 0.10
28-Apr-10 0.84 0.76 -2.37 06-May-03 0.72 0.95 -0.20
16-Mar-10 0.85 0.79 0.03 18-Mar-03 0.41 0.58 3.15
27-Jan-10 0.48 0.47 -0.41 29-Jan-03 0.53 0.76 0.74
16-Dec-09 0.15 0.15 -0.46 10-Dec-02 0.97 1.35 -2.76
04-Nov-09 0.25 0.26 0.31 06-Nov-02 0.96 1.30 0.78
23-Sep-09 -0.82 -0.83 0.58 24-Sep-02 -1.09 -1.62 -0.81
12-Aug-09 0.98 1.07 -1.24 13-Aug-02 -1.32 -1.82 -0.74
24-Jun-09 0.7 0.85 0.09 26-Jun-02 0.13 0.17 -2.24
29-Apr-09 1.66 2.13 -0.32 07-May-02 -0.3 -0.36 -1.96
18-Mar-09 1.58 2.23 3.06 19-Mar-02 0.62 0.67 0.02
28-Jan-09 2.59 3.38 1.02 30-Jan-02 1.26 1.44 -3.15
16-Dec-08 3.71 4.71 -1.40 11-Dec-01 -0.19 -0.21 -1.87
29-Oct-08 -0.61 -0.72 11.69 06-Nov-01 1.37 1.56 1.30
08-Oct-08 -2.26 -2.52 -4.48 02-Oct-01 1.04 1.26 -0.16
16-Sep-08 1.79 1.67 -4.76 17-Sep-01 -4.55 -5.23 1.23
05-Aug-08 3.01 2.70 -0.93 21-Aug-01 -1.59 -1.71 0.92
25-Jun-08 0.55 0.47 -0.20 27-Jun-01 -0.05 -0.05 -0.15
30-Apr-08 -0.72 -0.58 -0.40 15-May-01 0.46 0.47 0.19
18-Mar-08 4.71 4.15 -1.01 18-Apr-01 3.73 3.97 1.41
30-Jan-08 -0.88 -0.73 0.49 20-Mar-01 -2.48 -2.68 2.03
22-Jan-08 -1.18 -1.01 -1.03 31-Jan-01 -0.61 -0.56 0.88
11-Dec-07 -3.67 -2.74 0.78 03-Jan-01 4.86 4.80 -1.81
31-Oct-07 1.4 1.04 -0.69 19-Dec-00 -2.12 -2.03 1.34
18-Sep-07 3.82 2.95 -0.54 15-Nov-00 0.34 0.31 2.63
07-Aug-07 1.36 1.06 1.68 03-Oct-00 -1.05 -0.93 0.15
28-Jun-07 -0.02 -0.02 1.43 22-Aug-00 -0.2 -0.17 0.54
09-May-07 0.35 0.27 -0.13 28-Jun-00 0.32 0.28 -0.73
21-Mar-07 2.03 1.65 0.55 16-May-00 1.1 0.97 1.72
31-Jan-07 0.83 0.67 0.52 21-Mar-00 2.34 2.05 -0.51
02-Feb-00 0.09 0.08 0.99

you might want to read various Fed day studies collection from Quantifiable edges 

& @Gambulator tells Day before FOMC announcement 2 VIX up closes 96% win triggered 

you might want to consider subscribing to our daily quant rants email  !!

check out Quant-Ideas  to aid the short term trader to find high probability winning trades

have you bought the Anatomy of $SPY on First Trading Day of the Month  , written the co-founder of this site, on Amazon yet ?

Leave a Reply