Pick one calendar rule and see its history against holding the same symbol for the same number of sessions, year by year, through the research cutoff. The figures come from the same evaluator as the Scan. Returns are gross: your round-trip cost is yours to apply.
Every scheduled FOMC announcement or every weekday the exchange is closed, at the open, counted in sessions from the event’s own session: the announcement day, or the first session after a holiday (so the pre-holiday session is 1 session before to the event session).
Try: SPY, The FOMC announcement day · SPY, The session before a market holiday