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The JAM Economic Calendar is a TradeStation Add-On that allows traders to manage their trading around economic events.  You can backtest ideas such as buying and selling before and after economic reports, do statistical analysis of market conditions around report releases, make sure your strategies close their positions correctly on early close days, or you can make sure you are alerted to upcoming holidays and reports.

The benefits include:

Huge database of economic events (dates and times) going back to 1960 :

Public holidays
Other days when the markets had planned closes
Early Close Days
Economic reports, including their release times

Data has been through a rigorous checking exercise to ensure it is as accurate as possible.  Data has been verified against multiple sources including the reports' authors, original press releases and newspaper reports. 
Extremely fast.  The database and search algorithms are contained within a DLL and the database has been optimized to be as fast as possible.
Backtesting and realtime.  The database contains both historic and future data.  You can use it to backtest, and to prepare for upcoming holidays or reports. 
Countdown feature.  You can count down the number of calendar and business days to the next holiday, or the number of minutes until the next report (on the day of the report).
No maintenance.  For a small annual subscription you can receive regular updates to the database to ensure the data is future proofed.

Examples

The JAM Economic Calendar is provided as a function that you can call from your own indicators and strategies.  Some example indicators are included with the package, and these are shown below.

The following chart shows the countdown to the Thanksgiving holiday.  The first indicator is showing the number of calendar days as light grey bars and the number of business days as yellow bars.  The second indicator displays text to show the number of business days.

This chart shows the countdown to all US public holidays (by leaving the input blank the database will return all events of a particular type - in this case public holidays).  Again, the first indicator is displaying calendar days as light grey bars and business days as yellow bars.  The second indicator displays text showing the number of calendar and business days.

This chart shows the countdown to an FOMC statement.  The bars turn yellow one hour before the statement is released and an alert issued.  Then five minutes before the statement is released a second alert is issued and the bars turn cyan.  The text shows the daily countdown to the FOMC statement.  On the day of the report the number of minutes will also count down.  Note that on this chart the FOMC statement is released at 19:15.  This is because the chart is based on GMT.  The database is held in EST but has a timezone input so that it will work in all timezones.

This chart shows three reports that occur on the same day.  Nine minutes before each report the bars turn yellow and an alert is issued, then three minutes before each report a second alert is issued and the bars turn cyan.  The second indicator identifies each report - PPI (Producer Price Index), TIC (Treasury International Capital) and IP (Industrial Production).  It is easy to see the effect each of these reports has on the market.

Database

The following data is currently held within the database.  If there are other reports or data you would like to see added to the database then please contact me

Note that the database is currently undergoing a year-end update, ready for the year 2009.  The information below will shortly be changed to reflect the new data.

Further Reading

Books

Day Trading the Currency Market , by Kathy Lien

Magazine Articles

Technical Analysis of Stocks and Commodities

Active Trader

November 2004: Market History: Thanksgiving Day update , Page 15

November 2004: Gross Domestic Product and the stock market , Page 76

December 2004: Market History update: Christmas cam early last year , Page 15

February 2005: How the Consumer Price Index (CPI) affects the S&P 500 , Page 5

February 2005: Presidents Day update , Page 21

April 2005: Market History: How the ISM report impacts the stock market by David Bukey , Page 70

April 2005: Market History Update: Good Friday , Page 75

May 2005: Hitting the Street: The S&P 500 futures' intraday reactions to economic reports , Page 44

August 2006: Fed Funds calendar spreads , Page 24

September 2006: Market History: Labor Day update , Page 61

The JAM Economic Calendar is provided as a DLL and TradeStation function.  Both these files are encrypted and licensed to your TradeStation Customer Number .

Please contact me for more information or Purchase JAM Economic Calendar



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