S&P 500 CPI Reaction

Event-driven

Trades the window after each monthly CPI release, with a stop and a time-based exit.

Strategy

SPY · 1h

Strategy Logic

Buy when 400 minutes after macro.cpi. Exit: Fixed targets: SL at 3.0%, time stop after 18 bars

entry

400 minutes after macro.cpi

exit

Fixed targets: SL at 3.0%, time stop after 18 bars

SPY

Execution costs: 0.010% fee · 0.020% slippage

Total Return(2y 11mo)

+14.42%

Realized +14.42% / Unrealized 0.00%

Sharpe Ratio

1.06

Max Drawdown

3.04%

Win Rate

66.67%

Profit Factor

2.10

Entry0/1 met

event: macro.cpi post_event (within)29220 vs 400.00

DIRECTION	ENTRY	EXIT	QTY	PNL	PNL %	FEES	ORDER	EXIT REASON	DURATION	BARS HELD	MAE %	MFE %	ENTRY REASON	OVERLAY
buy	$447.309	$449.04	212.4235	+$348.61	+0.37%	$19.04	Market	fixed_targets	2d 5h	19	0.54%	0.91%	Signal	100%
buy	$451.045	$446.761	211.4008	$-924.74	-0.97%	$18.98	Market	fixed_targets	4d 5h	19	1.71%	0.06%	Signal	100%
buy	$446.204	$443.631	211.7251	$-563.60	-0.60%	$18.84	Market	fixed_targets	2d 5h	19	0.74%	1.09%	Signal	100%
buy	$436.007	$436.803	215.4485	+$152.57	+0.16%	$18.80	Market	fixed_targets	4d 5h	19	1.41%	0.30%	Signal	100%
buy	$448.945	$449.53	209.5533	+$103.82	+0.11%	$18.83	Market	fixed_targets	2d 5h	19	0.28%	0.54%	Signal	100%
buy	$462.122	$471.376	203.7981	+$1866.78	+1.98%	$19.02	Market	fixed_targets	2d 5h	19	0.04%	2.51%	Signal	100%
buy	$475.085	$473.955	201.9669	$-247.35	-0.26%	$19.17	Market	fixed_targets	5d 5h	19	0.59%	0.74%	Signal	100%
buy	$494.994	$501.53	193.3749	+$1244.57	+1.30%	$19.27	Market	fixed_targets	2d 5h	19	0.86%	1.46%	Signal	100%
buy	$515.163	$512.537	188.1087	$-513.22	-0.53%	$19.33	Market	fixed_targets	2d 5h	19	0.65%	0.43%	Signal	100%
buy	$514.763	$509.393	187.2930	$-1024.91	-1.06%	$19.18	Market	fixed_targets	2d 5h	19	1.10%	0.92%	Signal	100%

Showing 1–10 of 36 trades

Past performance does not guarantee future results. Hypothetical.