Macro#51tier 1live in production

`pre fomc drift`

cadence: Monthlydata: mediumlong onlylong short

Mechanism

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 (which is every meeting since

Signal rule

long SPY at T-1 close, exit at FOMC announcement; ~17 events/yr

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

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

Illustrative pattern only

NOT a backtest

Illustrative pattern only — see /app for live backtests and the actual current equity curve.

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

macro regimeMacro

Beyond `regime_overlay` (#10) which uses VIX + SPY trend, this family keys off the *macro* regime detected from FRED

calendar anomaliesMacro

Three robust calendar effects from academic

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pre fomc drift