Calendar events: FOMC / CPI / NFP reactions

2026-05-17 · status: done · 1.0s

Hypothesis: BTC reacts directionally to US macro releases (FOMC, CPI, NFP). For at least one event type and one horizon, the post-release mean forward return exceeds 30 bps with |t-stat| > 2 vs same-hour non-event baseline.

Verdict: FOUND DIRECTIONAL EDGE — FOMC releases predict +50.0 bps fwd-1h returns (t = +2.28, n_event = 52) vs same-hour baseline. Worth building a calendar-gated entry around this.

Key metrics

Approach

Hardcoded FOMC meeting dates 2020-2026 (statement at 14:00 ET). CPI and NFP timestamps generated from the standard release rules (second Tuesday / first Friday of each month at 8:30 ET). DST handled. For each event we take the closest hourly close as the anchor and compute log return over 1h / 4h / 1d horizons after.

Baseline: forward returns at non-event hours matching the same hour-of-day as the event type, excluding ±24h windows around any event.

Promote gate (directional): one event × horizon with |mean fwd| > 30 bps, |t-stat vs baseline| > 2.0, n ≥ 30.

1. Directional reaction (signed return)

diff_bps = event mean − baseline mean (signed). t_stat_vs_baseline is the Welch t-statistic. |t| > 2 + |diff| > 30 bps = passable.

2. Vol-of-reaction (mean |fwd return|)

Even if direction is random, events typically cause larger post-event moves than non-event hours. abs_lift_x shows the multiplier (>1 = event hours have bigger moves on average).