19.5
Trading on Economic Announcements
PYTHON PLUGIN
Global Macro
Event Driven
Description
Strategy 19.5: Buy equities on macro announcement days, hold T-bills otherwise
Strategy Logic
Strategy 19.5: Trading on Economic Announcement Days.
Research shows higher average stock returns on scheduled macro
announcement days (FOMC, employment reports, CPI releases, etc.).
- BUY equities (via ETFs) on announcement days
- SELL / switch to risk-free assets on non-announcement days
Uses a calendar-based approach. If the DataFrame contains an
'is_announcement' column, it is used directly. Otherwise, a simple
heuristic identifies potential announcement days by day-of-month
patterns (e.g., FOMC ~6 weeks apart, employment first Friday, CPI
mid-month).
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| announcement_days_of_month | [1, 2, 3, 13, 14, 15] | list |
| fomc_months | [1, 3, 5, 6, 7, 9, 11, 12] | list |
| pre_announcement_days | 1 | int |
| vol_threshold | 0.02 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 20.0% |
| Stop Loss Pct | 2.0% |
| Take Profit Pct | 3.0% |
| Max Drawdown Pct | 5.0% |