Strategies · Library · Global macro
§19.5Event-driven
Trading on economic announcements
Hold stocks on days of key announcements such as Federal Reserve meetings and Treasuries on other days.
- Asset class
- Global macro
- Held for
- Days
- Data
- ARCANE has part of the data
- Symphony
- Cannot be built as a symphony
The rule
- Signal
- Calendar of key announcement dates
- Entry and exit
- Move into equities for announcement days, out afterward
- Sizing
- All-in on one asset at a time
How it fails
- Few trading days
- Costs on frequent switching
- Effect may fade
Data it needs
- event calendar
- equity and Treasury prices
Prices yes, but no announcement calendar series.
How ARCANE uses it
A Call on a Fed meeting outcome could note that stocks have tended to rise around such days. Paper only.
Needs an announcement calendar to gate the holding.
Filed under the event-driven card
US stocks have tended to rise in the 24 hours before scheduled Fed decisions, whatever the decision. ARCANE’s rule goes further than the paper: position before a dated event only when Alpha’s chance differs from the market’s by a stated margin, and close once the outcome is public.
A paper plan from this card holds 1 to 30 days, stops at 1.5× the expected move and uses at most 50% of your risk budget. The card
Source: Kakushadze and Serur (2018), 151 Trading Strategies, §19.5, p. 123 of the SSRN version. Described in our words. Event-driven is ARCANE’s filing, not the book’s.