Please refer my article below. I had shared some quants on how markets have behaved in the past in trading sessions before and after Jobless claims data being published
Below are pointer and the feedback on the performance so far!
1.75% of the time ( 9 out of 12 times), SPY has given an average return of 0.7% 1 week prior to Jobless Claims data announcement date.
If you bought on close of 7th Nov 2019 @ 308 , then till 14th Nov close 309.58, you would have made a positive return of 0.51% and held till close of 18th Nov, you would have a positive return of 1.24%
2. 5 out of 5 times in the past 3 years you would make positive returns (average of 0.9%) if you were to buy 2 days after the event date.
If you were to buy on close of 15th Nov, held till end of day 18th, so far made about 0.18%
3. If you were to buy 1 week after the event, then 73% of the times (8 out of 11 times) you would make an average return of about 0.5%
Now, this we will review on 21st November close f day to initiate the observation and see how it plays off
If you see, if you had taken any of the first 2 trades so far, quant would have helped in the probabilistic trades.
If you like what you see, please share a thumbs up and comments in the section below
Cheers
Below are pointer and the feedback on the performance so far!
1.75% of the time ( 9 out of 12 times), SPY has given an average return of 0.7% 1 week prior to Jobless Claims data announcement date.
If you bought on close of 7th Nov 2019 @ 308 , then till 14th Nov close 309.58, you would have made a positive return of 0.51% and held till close of 18th Nov, you would have a positive return of 1.24%
2. 5 out of 5 times in the past 3 years you would make positive returns (average of 0.9%) if you were to buy 2 days after the event date.
If you were to buy on close of 15th Nov, held till end of day 18th, so far made about 0.18%
3. If you were to buy 1 week after the event, then 73% of the times (8 out of 11 times) you would make an average return of about 0.5%
Now, this we will review on 21st November close f day to initiate the observation and see how it plays off
If you see, if you had taken any of the first 2 trades so far, quant would have helped in the probabilistic trades.
If you like what you see, please share a thumbs up and comments in the section below
Cheers
