Finding Historical Economic Release Dates for Backtests

Summary

The document addresses a timing problem in backtests that use economic indicators. Monthly series may be labeled by reference month without recording the actual publication date, so using values as if they were available throughout that month can introduce lookahead bias. The questioner seeks a historical release calendar for indicators such as private employment estimates and business surveys.

The response points to the St. Louis Fed’s FRED release calendar and its page for ADP employment data. It says that FRED provides access to much economic data but may not include proprietary releases such as ISM. This is a practical lead rather than a complete data guide: the document does not explain how to retrieve or align release timestamps with a backtest, establish data vintage availability, or verify coverage for each series. Researchers still need to check that their chosen source records the dates and versions relevant to their strategy.

Key ideas

• Economic series labeled by reference month may omit the actual publication date.
• Using a data value before its release can create lookahead bias in a backtest.
• The response identifies the St. Louis Fed’s FRED release calendar as a source to investigate.
• ADP employment data is mentioned as available through FRED.
• The document notes that proprietary releases such as ISM may not be covered.

Tags

# Historical Economic Release Calendar


# Historical Economic Release Calendar












Does anyone know if any providers have a historical economic release calendar? For example, releases of things like ADP private employment, or ISM surveys? I ask because I would like to backtest a strategy that uses these numbers, but would want to obviously avoid lookahead bias and not use a data-series prior to its release. I have the release data itself, but unfortunately it is labeled as `YYYY-MM` (for example for monthly releases), with no reference as to the actual day of release.

I am willing to pay a small amount if needed - I understand this is not "traditional" data by most means.

## Answer by noobie (score 2)

https://quant.stackexchange.com/a/75351

One source is the Federal Reserve Bank of St. Louis (St. Louis Fed) FRED Database:

FRED Economic Data Releases Calendar: 'https://fred.stlouisfed.org/releases/calendar'

ADP Employment: 'https://fred.stlouisfed.org/categories/32250'

Much data can be found here, excepting certain proprietary data such as ISM.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.