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Seasonality & calendar effects · 2026-08-01

Pre-FOMC Announcement Drift Overlay

hold equity index only in the day before scheduled Fed meetings

expected Sharpe 0.5-0.9confidence: medium-lowfree daily data

US equities earn abnormal positive returns in the ~24 hours before scheduled FOMC announcements (Lucca & Moench, NY Fed), historically a very high Sharpe on the specific window with the strategy in cash ~95% of the time; the drift concentrates in high-uncertainty regimes, and the September 15-16, 2026 meeting lands squarely in the historically weak Aug-Sep seasonal window — a favorable current-regime setup.

Universe

SPY (primary); the 2026 scheduled FOMC dates are known ex-ante (Jan 27-28, Mar 17-18, Apr 28-29, Jun 16-17, Jul 28-29, Sep 15-16, Oct 27-28, Dec 8-9); free daily yfinance OHLCV.

How it works

Buy SPY at the close two sessions before each scheduled FOMC decision, exit at the close the day before the announcement, hold cash all other days; 8 events/year, calendar-driven, no leverage.

Expected performance

Research-derived Sharpe estimate: 0.5-0.9. on a daily-data approximation (papers report >1.0 intraday; discount heavily for daily-close entry and post-2015 partial fade).

Backtest this idea with SignalChain

This is a research lead — not a finished backtest. SignalChain takes an idea like this and runs the whole pipeline inside Claude Code: it researches the concept against academic and practitioner sources, sets benchmarks, writes and lints a VectorBT backtest, runs it, and grades the result PASS/FAIL. One command:

/signalchain Hold SPY from two closes before each scheduled 2026 FOMC decision to the close before the announcement, cash otherwise. Get SignalChain — $49 →

Research & sources

More Seasonality & calendar effects ideas

Turn-of-the-Month Liquidity Window (broad [-3:3]) on International/EM Equity ETFs
capture institutional month-end flows where the anomaly still lives
Halloween / Sell-in-May Seasonal Switch
rotate equities into defensives for the weak May-October half-year
Front-Running Sector Seasonality
buy the sectors one month ahead of their historically strong month
Gold Month-of-Year Seasonality
own gold in its historically strong months, sit out the weak spring window

Not financial advice. This page describes a research idea, not a recommendation. Any performance figures are hypothetical, research-derived estimates and are not indicative of future results. SignalChain is a research and educational tool; you are solely responsible for any decisions you make.