meta regime gate 3
What it checks
In the 3 trading days before each FOMC meeting, this gate forces position to 0 — derived from a cluster of champions whose failures cluster in that pre-announcement window.
Mechanism
Cluster of promoted alpha-v2 champions that fail in the 3-day window before each FOMC meeting (information-uncertainty regime). Gate cuts position to 0 during the pre-meeting window.
Signal rule
position = 0 when days_to_next_fomc <= 3; else SMA50 > SMA200
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
spy_pricesWorker data table — see services/worker schema.
market_regime_dailyWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- TBD post-promote
- Paper window
- 1y holdback
Captures avoided losses on the pre-FOMC days for cluster #3 champions.
Related families
pre fomc driftMacroPre-FOMC drift: SPX abnormally returns ~+0.50% in the 24h before each scheduled FOMC announcement (1994-2011 sample, Lucca-Moench 2015 NY Fed SR-512). The 2024 Applied Economics update finds the drift persists post-2011 but concentrates on press-conference meetings (every meeting since 2019). This family extends the basic version by sweeping multiple pre-windows (1d/2d/3d before), a pre+post combo (long ~3d pre, short 1d post the fade), and a press-conference meeting filter.
calendar anomaliesMacroThree robust calendar effects bolted into one family. (1) TURN-OF-MONTH (Ariel 1987, Lakonishok-Smidt 1988): the last 1 + first 3 trading days of each month deliver ~80% of the entire month's market return — long the window, flat otherwise. (2) PRE-FOMC DRIFT (Lucca-Moench 2015): the 24h before scheduled FOMC announcements show ~3-5% annualized excess return; we proxy the calendar at ~5-6 week cadence. (3) DAY-OF-WEEK (French 1980): Monday historically weak, Wed-Thu strongest — long Wed-Thu only.
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