What I actually do with these numbers

I built this to settle arguments I was having with myself. What follows is not advice and it is not a system. It is what I changed about my own routine once the numbers stopped agreeing with my instincts.

1. I stopped using one stop size for “a data release”

The median half hour range on the Nasdaq 100 is 0.69% for CPI and 0.27% for GDP. That is a factor of two and a half between the loudest release on the calendar and the quietest, and for a long time I used the same stop for both. On GDP it sat far away from anything that was going to happen, which sounds safe and mostly meant sitting through noise for no reason. On CPI it sat inside the normal range, which is not a stop, it is a donation.

The figure that changed my sizing more than the medians is the gap between a release’s median and its worst day. Retail sales has a median of 0.27% and a biggest reaction of 1.18%, a ratio of more than four. CPI is large but consistent. Retail sales is nothing until it is not, and the two need different treatment even though the calendar prints them in the same font.

2. I use a different clock for each release

Share of the thirty minute move already done after sixty seconds: CPI 54%, PPI 37%, payrolls 35%, FOMC 30%, GDP 21%, retail sales 17%, core PCE 17%, JOLTS 14%.

CPI is effectively over before I have finished reading the number. Any plan of mine that involved seeing the print and then deciding was, in practice, a plan to take the second half of the move. JOLTS at 14% is a different animal entirely: it builds across the whole half hour, and there is time to be wrong and change my mind.

FOMC deserves its own note. Its median move at thirty minutes is 0.20% and at two hours it is 0.53%. The half hour mark, which is where most people including me stopped looking, is closer to the middle of that release than the end of it.

3. I stopped reading the surprise as a direction

The reflex is that a hotter number means the index falls. Across this record it holds for CPI, where the index fell on seven of the eight occasions the print came in above consensus and rose on nine of the eleven it came in below.

It does not hold anywhere else I would rely on. Payrolls fell on nine of twenty hot prints. Retail sales on seven of seventeen. GDP on six of thirteen. Those are coin flips wearing a narrative.

My guess at why, and it is a guess: CPI is one number with one obvious reading, while payrolls is four numbers that can contradict each other inside the same release. The headline can beat while the revision or the wage figure says the opposite, and the market has to decide which one it cares about that morning.

4. I resized for the era, not just for the release

Splitting each release’s record in half by date and comparing the earlier median against the later one, seven of the eight releases here move the index less than they used to. Payrolls went from 0.82% to 0.54%. GDP from 0.43% to 0.27%. Only PPI went the other way.

This is the one I treat most carefully. Two halves of a few dozen observations is a coarse instrument and a single violent print near either end moves the ratio. I include it because the direction is consistent across seven of eight, not because any one ratio settles anything. It did make me stop trusting range expectations I had built in a louder period.

What none of this tells me

Which way it goes. Whether any of it survives costs. Whether the next print behaves like the last thirty. These are counts of what happened, on samples of twenty three to thirty six observations per release, measured on index CFDs rather than the CME contracts. Nothing here is investment advice.