Today, I want to follow up with the Calendar Strategy: Option Expiry post. Let’s examine the importance of the FED meeting days as presented in the Fed Days And Intermediate-Term Highs post.

Let’s dive in and examine historical perfromance of SPY during FED meeting days:

###############################################################################
# Load Systematic Investor Toolbox (SIT)
# http://systematicinvestor.wordpress.com/systematic-investor-toolbox/
###############################################################################
setInternet2(TRUE)
con = gzcon(url('http://www.systematicportfolio.com/sit.gz', 'rb'))
    source(con)
close(con)
	#*****************************************************************
	# Load historical data
	#****************************************************************** 
	load.packages('quantmod')
		
	tickers = spl('SPY')
		
	data <- new.env()
	getSymbols.extra(tickers, src = 'yahoo', from = '1980-01-01', env = data, set.symbolnames = T, auto.assign = T)
		for(i in data$symbolnames) data[[i]] = adjustOHLC(data[[i]], use.Adjusted=T)
	bt.prep(data, align='keep.all', fill.gaps = T)

	#*****************************************************************
	# Setup
	#*****************************************************************
	prices = data$prices
		n = ncol(prices)
		
	dates = data$dates	
	
	models = list()
	
	universe = prices > 0
		# 100 day SMA filter
		universe = universe & prices > SMA(prices,100)
		
	# Find Fed Days
	info = get.FOMC.dates(F)
		key.date.index = na.omit(match(info$day, dates))
	
	key.date = NA * prices
		key.date[key.date.index,] = T
		
	#*****************************************************************
	# Strategy
	#*****************************************************************
	signals = list(T0=0)
		for(i in 1:15) signals[[paste0('N',i)]] = 0:i	
	signals = calendar.signal(key.date, signals)
	models = calendar.strategy(data, signals, universe = universe)

	strategy.performance.snapshoot(models, T, sort.performance=F)

Please note 100 day moving average filter above. If we take it out, the performance deteriorates significantly.

	# custom stats	
	out = sapply(models, function(x) list(
		CAGR = 100*compute.cagr(x$equity),
		MD = 100*compute.max.drawdown(x$equity),
		Win = x$trade.summary$stats['win.prob', 'All'],
		Profit = x$trade.summary$stats['profitfactor', 'All']
		))	
	performance.barchart.helper(out, sort.performance = F)
	
	strategy.performance.snapshoot(models$N15, control=list(main=T))
	
	last.trades(models$N15)
	
	trades = models$N15$trade.summary$trades
		trades = make.xts(parse.number(trades[,'return']), as.Date(trades[,'entry.date']))
	layout(1:2)
		par(mar = c(4,3,3,1), cex = 0.8) 
	barplot(trades, main='N15 Trades', las=1)
	plot(cumprod(1+trades/100), type='b', main='N15 Trades', las=1)

N15 Strategy:

With this post I wanted to show how easily we can study calendar strategy performance using the Systematic Investor Toolbox.

Next, I will look at the importance of the Dividend days.

To view the complete source code for this example, please have a look at the bt.calendar.strategy.fed.days.test() function in bt.test.r at github.