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Pre-Macro Long

Buys ETH a few hours before US CPI and FOMC releases and exits before the number hits.

LiveCrypto · Binance USDT-M PerpEvent · ~4 hoursLongUpdated 2026-10-07
Backtest· net of fees & slippage

Backtest period 2020-10-13 → 2026-09-16

Annualized
+3.4%
Total return
+22%
Win rate
59.7%
Profit factor
1.50
Max drawdown
−7.4%

Costs assumed: 5 bps fee + 5 bps slippage per side · Benchmark: ETH

How it works

Ahead of scheduled US CPI and FOMC announcements, the model goes long ETH perpetuals about four hours before the release, entering with a passive limit order where possible, and exits shortly before the announcement so the position never holds through the event itself.

When it enters

About 4 hours before a scheduled CPI (08:30 ET) or FOMC (14:00 ET) release.

When it exits

20 minutes before the release (market exit at 5 minutes before at the latest); stop at −10%.

Best market conditions

Macro-driven crypto markets with pre-announcement positioning.

Monthly returns

J
F
M
A
M
J
J
A
S
O
N
D
2020
0.1
-1.8
-2.4
2021
1.0
-4.3
1.4
1.8
0.5
-1.0
-1.7
-0.2
2.3
0.6
1.5
2.8
2022
-1.8
1.6
0.9
0.7
3.8
-6.3
1.9
0.9
3.1
-3.0
2.2
2.3
2023
-0.1
0.3
-0.1
0.0
1.6
-0.2
-0.0
-0.1
0.4
-0.6
-1.1
0.5
2024
2.9
0.5
-0.2
0.0
0.1
0.2
0.2
0.6
-0.1
0.2
2.8
1.8
2025
0.0
0.4
0.3
-0.3
0.6
-0.8
1.2
-0.3
-0.1
0.7
0.0
4.9
2026
-0.4
-0.2
-1.0
0.2
-0.1
0.1
-0.2
1.2
-1.7

Signal history

Shown with a one-trading-day delay.

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Factor formula & parameters

The exact factor formula, parameters and full rule set are available on the Elite plan.

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