Pre-FOMC drift: 50 bps excess return, Sharpe 0.75-1.04
FOMC Announcement
| Symbol | Action | Vol | Stop Loss | Take Profit | Size | Links |
|---|---|---|---|---|---|---|
| TLT | BUY | 13% | 4.3% below entry | 3.1% above entry | 23.7% | TVYH |
| SPY | BUY | 17% | 5.9% below entry | 4.3% above entry | 17.4% | TVYH |
| GLD | BUY | 23% | 7.9% below entry | 5.7% above entry | 13.0% | TVYH |
| QQQ | BUY | 22% | 7.4% below entry | 5.4% above entry | 13.7% | TVYH |
| SHY | BUY | 2% | 4.1% below entry | 3.0% above entry | 25.0% | TVYH |
This strategy has moderate long-term potential but requires monitoring. - Take profit: Rebalance when any position exceeds 2x its target weight. Trim back to target, redeploy to underweight positions. - Stop loss: NO price-based stop loss. This strategy recovered from -21% drawdown to return 46% long-term. - Exit rule: Exit at market close on FOMC announcement day.