Is there a historical list (date/time) of news events that had a substantial influence on the SP500 volume and/or price? By "substantial" I mean that for example the volume jumped 300% and above of the 20 minute moving average volume, and that the price move was significant. I'm asking because when trading live, I would surely close my positions before those events. Therefore, I need to follow the same rules when backtesting strategies and automatically exclude times of great volatility as otherwise this can create a bit of a mess for the more sensitive strategies on shorter time frames. I could try to make such a list by myself by looking at spikes in volume, but i'm not sure this is accurate enough. Secondly, unforseen or un-announced events can also move the markets, and assuming I had knowledge of those is cheating the backtest. For that reason I'd like a list of only the events that were announced and had taken place. One example would be the Fed announcement yesterday that there would be no QE any time soon. If there is only a list of events that include those that had no impact, that's fine too because i can filter them out. The farther back in time it goes, the better. Cheers
"Important news events" are often important in hindsight, perhaps it would not be useful to skip over those times when back testing.
I somewhat agree. If there are people out there watching the news constantly, it would be good to put into perspective for me how often it happens that the same periodical release (or announcement) produces wildly different influences on volume (ie sometimes a lot, sometimes none). I'm not asking for hard statistics, just opinions, as i don't observe the news that much. For example, has a big fed announcement ever failed to create a spike in volume? Do retail reports ever cause major shifts in prices (SP500), or only sometimes? etc.
=========== BC; Yes; but with wisdom ,the youger the trend the less it matters, genrally speaking. And the older the trend[measured in months, weeks ] the more it matters. Earnings [some charts services list these automatic ] of SPY leaders matters much; but the younger the[SPY/S&P500] trend less it matters.Sure it matters for the individual stocks... 9-11-01 for example, while it closed the markets, really simply helped the downtrend/go down better.................
perhaps it would be more worthwhile for you to research this information on your own, and hold onto this compiled information for yourself! markets aren't open on weekends, so when you're not trading, why not invest your time in your own quality services instead of throwing your money away to someone else who was simply using google and their own memory/intuition to retrieve the same type of data? it's probably better to gain your own edge.
http://www.mypivots.com/trading/feddays has charts for FOMC days for the last 13 years or so. These sites have charts of price action during past economic news releases, but only for forex, and only for pre-scheduled economic data events like unemployment rates, pmi numbers, etc. http://www.newsimpact.com/ http://www.forexpeacearmy.com/forex_news_calendar/
I don't trade. I develop systems and analyze data. Spending a week doing this on my busy schedule would be too costly, so i would just throw the feature (currently just an idea) out, which i might at this point. Thanks GS, i've had a look, some of that might just be usable for my purposes, have to look in more detail. I have no idea what you googled to get to those sites. cheers all