Anchoring a VWAP to the CPI release is a popular way to mark the level that “the market cares about.” On CPI morning I asked whether it actually holds as support or resistance any better than a VWAP anchored on an ordinary day. On Bank of America, across 56 CPI releases, it doesn’t. Not in the sessions that follow, and not in the release window itself. Here is the method, the result, and the falcon-stats command so you can test your own tickers.
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