股票 · 美国 · 差价合约、ETF、期货 · 每月 · 美国 Free

FOMC周期效应

登录后收藏

学术论文

Stock Returns Over the FOMC Cycle

作者联邦公开市场委员会（FOMC）周期中的股票回报 [点击查看论文]

机构

Duke University
National Bureau of Economic Research
?Duke University - Fuqua School of Business
?National Bureau of Economic Research (NBER)
University of California, Berkeley
?University of California, Berkeley - Haas School of Business
Federal Reserve Board of Governors
?Federal Reserve Board

论文链接http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2687614

策略概要

投资者在联邦公开市场委员会（FOMC）周期周（第0、2、4和6周）做多标普500指数ETF、基金、期货或差价合约，其余时间持有现金。联邦公开市场委员会（FOMC）周期从预定的FOMC公告前一天开始，并在每年八次FOMC会议中的每一次会议上重置。

II. 策略合理性

回测表现

波动率13.15%

夏普比率0.92

索提诺比率0.25

胜率58%

完整 Python 代码

1from AlgorithmImports import *
2class TheFOMCCycleEffect(QCAlgorithm):
3def initialize(self) -> None:
4self.set_start_date(2000, 1, 1)
5self.set_cash(100_000)
6
7self.symbol: Symbol = self.add_equity("SPY", Resolution.MINUTE).symbol
8csv_string_file: str = self.download('data.quantpedia.com/backtesting_data/economic/fed_days.csv')
9dates: List[str] = csv_string_file.split('\r\n')
10dates_before_fed: List[datetime.date] = [(datetime.strptime(x, "%Y-%m-%d") - BDay(1)).date() for x in dates]
11
12self.trade_flag: bool = False
13self.days_to_switch_positions: bool = 5
14
15self.schedule.on(self.date_rules.on(dates_before_fed), self.time_rules.after_market_open(self.symbol, 1), self.day_before_FED)
16self.schedule.on(self.date_rules.every_day(self.symbol), self.time_rules.after_market_open(self.symbol, 1), self.rebalance)
17
18def day_before_FED(self) -> None:
19self.set_holdings(self.symbol, 1)
20self.days_to_switch_positions = 5
21self.trade_flag = True
22def rebalance(self) -> None:
23if self.trade_flag:
24    if self.days_to_switch_positions == 0:
25        if self.portfolio[self.symbol].is_long:
26            self.liquidate(self.symbol)
27        else:
28            self.set_holdings(self.symbol, 1)
29        
30        self.days_to_switch_positions = 5
31    self.days_to_switch_positions -= 1