Federal Reserve Announcements: Trading Around and Thru

December 13th, 2017, 07:50 PM

The market goes crazy immediately after each Federal Reserve announcement. I do a lot of backtesting and would like for my strategies not to trade for the 15� around these anncments.
My current way of dealing with this is to simply have my script not trade between 11:00 and 11:15. However, I have that for every trading day, not just the Fed anncmnt days.
The better way to do this is to have my script not trade during that time only on those days. So, I�d like to put those dates into my script. Yes, I could go to the Fed�s webpage and get those dates. But, before I do that, I�m wondering if you have any comments about this, and how I might do this easiest.

January 10th, 2018, 10:01 AM

This can be achieved by just creating a date time variable for each key event that you want to monitor then comparing the current day/ hour/ minute/ to the time signature of the event in your variable. For example:

if((ToTime(Time[0]) + ToTime(0,15,0) == VariableEvent)
{
// This is 15 minutes prior to the announcement time. Don't trade
}

if((ToTime(Time[0]) > VariableEvent +ToTime(0,15,0) )
{
// This is 15 after the announcement. Trade Again.
}

To get exact times to match, you just do something like: If Current Time + 15 minutes = VariableEvent then don't trade and then following announcements: If Current Time > 15 minutes + VariableEvent then trade again.

There are a number of date classes in C# you can use, but here is a simple way to implement this.

In your declarations sections add using System.Globalization;
Then create a short simple custom class with your variables like this:

class datetime
{
DateTime FedAnnouncment1 = new DateTime(2017,08,19,20,08,30);
DateTime FedAnnouncment2 = new DateTime(2018,04,15,15,03,43);
//etc.
}

Then you can call the FedAnnouncment variables from your code in any event handler you like and compare it to the current time (Like in the example above), check to see if you are within a 10-15 minutes window either before or after and simply just sit these windows out.

It's fairly easy to do.

Happy coding!

Ian

Federal Reserve Announcements: Trading Around and Thru

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Federal Reserve Announcements: Trading Around and Thru