Backtesting FOMC market days

Discussion in 'Trading' started by nonlinear5, Jul 2, 2016.

  1. I'd like to backtest a certain ES trading strategy which would only run on the days when the FOMC (Federal Open Markets Committee) announcements are made.

    For that, I need to know all the FOMC days back to 2009. As I understand it, currently FOMC meetings occur 8 times a year, and the announcement of decision is made at 2:00 pm EST. Correct? Has this always been the case going back to 2009?

    Is there some rule or some API which would allow me to programmatically determine if any particular day between 2009 and 2016 was the day of the FOMC announcement?

    Thanks.
     
  2. southall

    southall

    Google results will return them from 2011 onwards.
     
  3. Your sample will be too small to reach adequate conclusions.
     
  4. See the list of the FOMC minutes at
    http://www.marketvolume.com/quotes/economic_report.asp?release=fomc_minutes
    at
    http://www.marketvolume.com/quotes/economic_chart.asp?release=fomc_minutes&d=04_09_2014--14-00
    you may check the most resent on the S&P 500 chart

    You may find rate decision dates there as well.
     
  5. userque

    userque

    https://www.federalreserve.gov/monetarypolicy/fomccalendars.htm