I love when these stats work so well SPX is up 1% since its low yesterday If stats are still working we should have a small fall before release of fomc
Have you posted the rules somewhere or could you post them here? If not, then I'm not sure why you're posting here
I am following the intraday moves minute after minute before FOMC release and then calculate an average for the previous 3 events( Aug 12 , june 25, may 06) . I create a normalized graph and compare today move with the average
I have a medium term position (such as turtle model) , right now long and I have a short term position based on technical analysis, sentiment indicators, statistical signals (just like the one today about the fed intraday moves) This way , I can be long on a medium term and short at the time on short run. What is extremely important is to separate both horizons
fortuna interesting thread. I am unsure here, is the entire strategy of the hedge fund based on the average movement of the market during the day of the FOMC? And is this an existing hedge fund or one that you are considering starting based on this method? Thanks.
No this fomc stat is just one example of the statistics I follow : I have posted many statititics on this forum which I found relevant (like serial correlation of spx with oct 1980) This model for which I made a yahoo list (sorry for the advertising) is part of a hedge fund portfolio of models. I decided to give some real time signals for a very specific reason. I read soros Alchemy of finance and was puzzled when he said that his performance had been the best while writing this book (announcing his trades and giving real time P&L). That gave me the idea to verify that concept: making my signals public without giving all the mechanics behind it (but a lot , yes I am a generous guy). I can certify that it is a risk management concept in itself Regards Julien
Thanks Julien. I remember the 1980 correlation you posted. That was very interesting too. Thanks again.