Economy & PolicyCore researchInactive

Pre-Fed-Meeting Drift

Updated monthlyData needs: mediumlong onlylong short

In plain terms

The older calendar implementation stays blocked; the replacement uses dated Fed announcements.

How it works

Pre-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.

Live results

16 times picked on its own · 246 times inside a blend (229 beat the stock) · updated 2026-07-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 246 such blended picks (229 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

Data dependencies

Fomc calendar
FOMC decision dates + scheduled-press-conference flags for pre-FOMC drift.
Daily bars
Daily OHLCV bars used by all price-based generators.

Expected edge

Reported return: ~3.9% ann. (Lucca-Moench 2015); persists post-2011
Tested over: 1994-2011

~3.9% ann. from this drift alone (Lucca-Moench 2015)

Example tickers where this is likely to fire

SPY QQQ IWM

Illustrative only, the signal fires based on the live data, not a fixed list.

Related families

Published FOMC daily windowsEconomy & Policy

Trade the daily window around scheduled Fed meetings using the schedule published by that date.

Explore Pre-Fed-Meeting Drift on alphactor.ai

See which tickers this family is currently firing on, with live signals and rankings.

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