Daily log-returns around the FOMC announcement date E (offset in days). Event dates known in advance (PIT). Random-date placebo x5000; Bonferroni bar p < 0.010 over 5 offsets.
BTC (on-chain, 2013+) (146 FOMC dates)
unconditional mean +23.8 bps/day
| offset | n | mean bps | t | IS bps | OOS bps | placebo p | survives |
|---|---|---|---|---|---|---|---|
| -2 | 136 | +25.3 | +0.54 | +28.0 | +19.7 | 0.4966 | no |
| -1 | 136 | +22.6 | +0.54 | +61.5 | -55.9 | 0.5214 | no |
| +0 | 136 | +63.4 | +1.84 | +95.5 | -1.5 | 0.1620 | no |
| +1 | 136 | +29.3 | +0.61 | +25.4 | +37.0 | 0.4534 | no |
| +2 | 136 | +24.8 | +0.56 | +54.6 | -35.4 | 0.4992 | no |
ETH (kline, 2022+) (40 FOMC dates)
unconditional mean +5.2 bps/day
| offset | n | mean bps | t | IS bps | OOS bps | placebo p | survives |
|---|---|---|---|---|---|---|---|
| -2 | 30 | +11.6 | +0.22 | -81.8 | +105.1 | 0.4416 | no |
| -1 | 30 | -30.7 | -0.42 | -10.6 | -50.8 | 0.7266 | no |
| +0 | 30 | +45.9 | +0.59 | +9.4 | +82.4 | 0.2366 | no |
| +1 | 30 | -5.2 | -0.06 | -17.1 | +6.8 | 0.5648 | no |
| +2 | 30 | -35.1 | -0.48 | -13.3 | -56.8 | 0.7476 | no |
SOL (kline, 2022+) (40 FOMC dates)
unconditional mean +15.3 bps/day
| offset | n | mean bps | t | IS bps | OOS bps | placebo p | survives |
|---|---|---|---|---|---|---|---|
| -2 | 30 | -4.7 | -0.07 | -80.0 | +70.5 | 0.5944 | no |
| -1 | 30 | -94.4 | -1.17 | -72.7 | -116.0 | 0.9140 | no |
| +0 | 30 | +93.1 | +1.08 | +117.3 | +69.0 | 0.1628 | no |
| +1 | 30 | -22.7 | -0.29 | -32.4 | -12.9 | 0.6720 | no |
| +2 | 30 | -82.0 | -0.96 | -148.6 | -15.4 | 0.8848 | no |
Reading
- A real FOMC drift needs mean > 0, p below the Bonferroni bar, and IS/OOS the same sign. Anything else is a single-cell artifact.
- If nothing survives, crypto FOMC drift is unproven on this sample (equity SPY FOMC edge does not transfer).