Do economic-report surprises move Nasdaq-100 futures?

Tests whether surprises in economic reports (inflation or jobs numbers coming in above or below forecasts), report days themselves, or the presidential term predict Nasdaq-100 futures. None gives a signal a trader could use. One side check stood out, the night before a Federal Reserve decision, and it is now being tested on new nights (FPR-26-05).

Mostly refuted: The main ideas failed; one side result is being tested on new data. How to read a study.

Verdict, as the study states it: H1 CONTESTED; H2 REFUTED; H3 Confounded, as predicted; (bonus) pre-FOMC overnight drift: Robust and survives every check — a forward-shadow candidate, not something to size tomorrow.

Study number

FPR-26-04

Versions tested

176

Pre-registration written

Aug 26, 2026, 00:36 ET

First result

Aug 26, 2026, 00:37 ET

Markets

NQ

Backs

Release days are wilder; The pre-FOMC night on NQ

Sample

NQ 1m 2010-06-07 to 2026-08-25 (4,033 sessions); FMP econ calendar 2016-2026 (909 sessions with a composite surprise); pre-FOMC n=85 FOMC days 2016-2026 after the 2026-08-26 calendar correction

Costs

1.0 pt round trip for the tradability legs; distribution tests gross

Notes and defects

The pre-FOMC drift was a pre-specified SECONDARY test ('reported, never confirmatory'), measured 18:00 ET prior day to 09:30 ET open: +25.38 bps gross, t +3.61 (corrected), one cell among about 176 in this study and about 544 pre-counted across that day's three studies (the study notes the expected max |t| under the null is about 3.3). Prereg created 00:36:30 EDT, before fundamentals_nq.py (00:37:36) and the first output (00:37:41); its in-text 'Frozen 20:25 MDT' (22:25 EDT) is two hours earlier than the file and cannot be verified. Results carry two dated corrections (2026-08-26: calendar repair; jobless-claims result refuted). Arms = about 176 cells as pre-counted by the study.

Data needed to rerun: CME futures 1-minute OHLCV bars (Databento GLBX layout: ts_event,rtype,publisher_id,instrument_id,open,high,low,close,volume,symbol) at <data-root>/fp-data/glbx/<ROOT>/1m/<YEAR>.csv; licensed vendor data, not redistributed (NQ 2010-2026); FMP economic calendar 2016-2026 JSON (<data-root>/fp-data/fmp/econ-calendar-*.json; FMP subscription)

Original working title: Do macro events, surprises and administrations predict NQ? (where the pre-FOMC drift was first found)

Files

Hashes for every file are in SHA256SUMS. Market data is not included.

Cite this study

Futures Playbook Research (2026). Do economic-report surprises move Nasdaq-100 futures?. Study FPR-26-04. https://www.futuresplaybook.com/research/macro-events-fundamentals

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.