1) the SPY has to be adjusted for dividend and cash payments,
2) ES, YM, NQ and TF close on 4:15 PM, not 04:00 PM (which sometimes makes quite a difference),
3) as stated on the posting the setup is triggered on the session immediately preceding the first Friday of the month, regularly -but not always- Job Report Friday (e.g. in July they regularly don’t match), assuming (but not being sure) that any deviation would be averaged out over the course of time.

Please check the last 7 occurrences, the SPY should be up on the first Friday of a month when it closed higher on the previous session (even it would’ve been a session at the end of the preceding month).

Best,
Frank

Not to belabor the point, but being on the same quest as yourself I decided to follow up on this. I pulled the jobs reports days from the BLS website dating back 20 years. The period from 1996 through EOY 2000 was great for this idea, but other than that the equity chart is mainly down. From 2001 onward I calculate that this has lost over 60% of the profit gained from 1990 up until that point. In my testing a higher close on the session preceding the jobs report didn’t impact the win rate or profit factor.

Using $INX in TradeStation, I calculate 120 trades (237 trades without higher close criteria), 55% winners, 1.26 PF for 1990-2010 with the max draw down of about 2x the net profit. Using SPY or continuous ES contract shows similar results. YM, NQ and TF (Russell 2k) are all significant losers. I would be happy to share the details of my code and testing if you would like.

I would like to find an edge here, but to me the draw down is just too much for me to feel comfortable. As always, I could be mistaken and welcome any of your experience and insight.

Thanks,
JP

You are correct. My testing didn’t account for the Friday on the 1st on a month. I left this out when I first started in order to keep the code simple and then later forgot to come back and fix it. It makes sense the that 1st of the month could significantly impact the results. Appreciate the reply.

Cheers,
JP

the ‘Government Job Report’ setup is a) NOT triggered on close of the first Thursday of a month (it is triggered on close of the session preceding the first Friday of a month which makes quite a difference over the course of 20+ years; think about Friday being the 1st day of a month), and b) is only triggered in the event the SPY closed higher the session immediately preceding the first Friday of a month.

I hope that helps.

Best,
Frank

I ran a test buying on the close of the first Thursday of the month and exiting at the close of the next session. My numbers aren’t quite as good as yours, but they are profitable. The issue that I see is that this signal had a great run from 1997-2000 and hasn’t made a new equity high since. There are two large and prolonged drawdown periods which make this unsuitable for me to trade it.

So I figure that either I’m running something wrong, or if I’m right that I wanted to let you know. Any feedback is appreciated.

Cheers,
JP

thanks a lot, but I do not follow commodities and/or commodity stocks (and I don’t have the respective data as well).

Best,
Frank

Thank you so much!!

A suggestion, could you make some seasonality charts on OIL, GOLD, SILVER, GRAINS and the Chemical stocks which related to the Grains (POT, MOS ,DOW)

Thanks!!!