S&P 500 CPI Reaction
Event-drivenTrades the window after each monthly CPI release, with a stop and a time-based exit.
What this strategy does
S&P 500 CPI Reaction is a event-driven strategy that trades SPY on 1-hour bars. Trades the window after each monthly CPI release, with a stop and a time-based exit.
How it performed
Backtested on real SPY market data from 2023-07-01 to 2026-06-30 (3.0 years), this run returned +16.4%, or +5.2% annualized. It closed 36 trades with a 67% win rate. Risk-adjusted, that is a Sharpe ratio of 1.18, a Sortino ratio of 1.75 and a maximum drawdown of 3.1%.
| Symbol | SPY |
|---|---|
| Bar size | 1-hour |
| Strategy type | Event-driven |
| Backtest period | 2023-07-01 → 2026-06-30 |
| Total return | +16.4% |
| Annualized return | +5.2% |
| Sharpe ratio | 1.18 |
| Sortino ratio | 1.75 |
| Max drawdown | 3.1% |
| Win rate | 67% |
| Closed trades | 36 |
Evidence
Full backtest
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Strategy rules & configuration
Past performance does not guarantee future results. Hypothetical.