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T22 · Event-Driven Trading

The Pre-FOMC Announcement Drift

David O. Lucca and Emanuel Moench, 2015 · Journal of Finance

89%
pass@1 across 16 systems
16/16
systems with ≥1 successful attempt
5/5
5/5 attempts passed for the best system
80 attempts · 16 systems × 5
Claude Code + Opus 5
100%
Claude Code + Opus 4.8
100%
Claude Code + Opus 4.7
100%
Codex + GPT-5.6-sol
100%
Codex + GPT-5.5
100%
OpenCode + Kimi-K3
100%
OpenCode + Opus 4.7
80%
OpenCode + GPT-5.5
100%
OpenCode + Sonnet 4.6
20%
OpenCode + Qwen3.7-Max
100%
OpenCode + GLM-5.2
100%
OpenCode + DeepSeek V4-Pro
100%
OpenCode + GLM-5.1
100%
OpenCode + Qwen 3.6 Plus
100%
OpenCode + MiniMax-M3
80%
OpenCode + MiniMax M2.7
40%
all checkers pass Type-A clean, Type-B fail fail checking timeout no result / incomplete
Strategy

What the paper asks for.

Hold the S&P 500 only over the close-to-close window on each scheduled FOMC announcement day; remain in cash on all other trading days. The Pre-FOMC drift compresses a substantial share of the equity premium into the small set of FOMC announcement windows.

Type
macro
Implementation
pandas
Rebalance
daily
Long-short
no
Declared task setup
Data
One-command fetcher for WRDS-sourced task data
Operational scope
The paper-defined methodological core is retained; the fixed instruction instantiates only the data mappings, interfaces, and evaluation conventions needed for execution.
Six-stage quantitative strategy pipeline
  1. 01 Data loading
  2. 02 Feature engineering
  3. 03 Model fitting
  4. 04 Signal generation
  5. 05 Portfolio construction
  6. 06 Execution
Checker suite

18 properties · 80 attempts.

Each row is one requirement the strategy must satisfy. The bar reports the share of observed checker verdicts that pass; missing checker output is not converted into a property verdict.

TYPE A · DOMAIN-LEVEL (7)
  • A1
    no backfill
    73/80
  • A3
    no future data access
    73/80
  • A4
    causal consistency
    73/80
  • A7
    data frequency alignment
    80/80
  • A8
    transaction timing
    73/80
  • A9
    signal delay test
    73/80
  • A10
    e2e metric consistency
    74/80
TYPE B · PAPER-SPECIFIC (11)
  • B1
    long only no shorting
    §§I p.330 “a simple trading strategy of holding the index only in the 24 hours leading up to an FOMC announcement”
    provenance · paper-explicit
    80/80
  • B2
    trade only on pre fomc window
    §§I p.330 “in the 24 hours before scheduled FOMC announcements”
    provenance · paper-explicit
    80/80
  • B3
    scheduled meetings only
    §§I p.331 “FOMC meetings have taken place eight times per year since the early 1980s ... at scheduled meetings”
    provenance · paper-explicit
    72/80
  • B4
    close to close return mapping
    §fn 2 p.331 “we study close-to-close returns on days of scheduled FOMC meetings”
    provenance · paper-explicit
    80/80
  • B5
    position sizing full notional
    §§I p.330 “holding the index only in the 24 hours leading up to an FOMC announcement”
    provenance · paper-inferred
    80/80
  • B6
    no leverage
    §§I p.330 “a simple trading strategy of holding the index”
    provenance · paper-inferred
    80/80
  • B7
    cash when inactive
    §§I p.330 “holding the index only in the 24 hours leading up to an FOMC announcement”
    provenance · paper-explicit
    80/80
  • B8
    daily decision frequency
    §§II “Our intraday analysis focuses on the sample from September 1994 through March 2011”
    provenance · paper-explicit
    80/80
  • B9
    approx eight events per year
    §§I p.331 “FOMC meetings have taken place eight times per year since the early 1980s”
    provenance · paper-explicit
    80/80
  • B10
    performance metric formulas
    §Table I “This table reports summary statistics for pre-FOMC 24-hour windows and for all other times.”
    provenance · paper-explicit
    stage · evaluation
    79/80
  • B11
    no signal filtering by market regime
    §§I p.330 “a simple trading strategy of holding the index only in the 24 hours leading up to an FOMC announcement”
    provenance · paper-explicit
    74/80
What this task reveals

The lowest-passing observed requirement is scheduled meetings only: 72 of 80 observed checker verdicts pass. The full property list above shows whether errors concentrate in domain-level validity or the paper-specific strategy logic.

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