In this report, quantitative analysts Emil Damirov, Ian Wallgren, and Tilde Vidman investigated intraday momentum effects surrounding interest rate announcements by the Federal Open Market Committee (FOMC). The analysis was performed on S&P 500 Contracts For Difference(CFDs) data ranging from 2012 up till 2020 with a fifteen-minute resolution.
The strategy used in this research generates long and short trading signals when certain conditions related to MACD and RSI indicators are met. Moreover, Average True Range (ATR) and logarithmic returns were implemented to create target profit and stop-loss levels for each signal. After identifying the signals and obtaining statistics, signals captured in “event” days were benchmarked against outside events.
The results showed that both the long and short strategies performed worse during days that fell under events. Additionally, positions entered during event days were closed significantly faster than ones entered outside of events, which indicates increased volatility in the market surrounding interest rate announcements.
To read the full report, please see attached PDF below.
