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February 13, 2017


Fed Minutes Days and Fed Days nights

I have been asked many times if I could show Nightly Patterns results further back Nightly Patterns inception in October 2012. This is really a hard work as I should backtest over than 400 different patterns together. That’s why I decided to collect them into different groups and look at every group separatly.

I backtested here sheduled events like Fed Minutes and Fed Meetings nights following Fed Minutes Days Quantified Guidebook system and my Fed Days night patterns joynt together.

Below are the yearly returns trading 1 Emini contract:

What I like most are the outstanding returns during years of financial turmoil of 2008, 2009 and 2011. with $13121, $13409 and $7107 respectively. It looks like the market is strongly relying on FED action during difficult market conditions. This looks to be a strongly uncorrelated strategy that boosts overnight trading returns during bearish and volatile market regimes. Sligthly negative years of 2014 and 2016 should call for profitable years to come and a perfect timing to jump in!

Here are the stats for numbers lovers:

173 76,30 4,21 0,5 -3,89 4,71 -1,46 -2,60
T-score 6,09

More events patterns studies to come soon!

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