Quantifiable Edges Big Time Swing System Posts Perfect Record for SPY Trades in 2017!

The Quantifiable Edges Big Time Swing System posted a perfect record in 2017! There were 9 SPY trades closed out during the year (8 long and 1 short), and they were all winners. I’ve updated the Quantifiable Edges Big Time Swing System overview page with results through 2017. The system only averages about 1 trade per month, so I do not update it all that often. The signals produced a net return of 8.44% for SPY (including dividends, commissions of $0.01/share, and an assumed interest rate on cash of 0.1%). And it only had exposure to the market during all or part of 18% of the trading days in 2017! While the winning % was especially strong, the fact that it posted gains overall was not a surprise. The QE Big Time Swing System has yet to post a losing year in SPY.

The system provides easy to follow mechanical rules, with no black box component. The standard parameters are not optimized, and have never been changed since the system’s release in 2009. There are only about 11 trades per year averaging 7 trading days per trade. To make it even easier, all entries and exits are either at the open or the close. And to be sure you have everything set up properly, traders may follow the private purchasers-only blog that tracks SPY signals and possible entry/exit levels.

For system developers looking for a system that they can use as a base to build their own system from, the Big Time Swing is an attractive option. It is all open-coded and comes complete with a substantial amount of background historical research. And since it is only in the market about ¼ of the time, it can easily be combined with other systems to provide greater efficiency of capital. Once you’re ready to try and improve the system yourself you can also refer to the system manual or the August 2010 purchaser-only webinar – both of which discuss numerous ideas for customization.

The system has proven its worth since its release over eight years ago.  Don’t wait another year to determine if the QE Big Time Swing System is appropriate for you.  For more information and to see the updated overview sheet, click here.

If you’d like additional information about the system, or have questions, you may email BigTimeSwing @ Quantifiable Edges.com (no spaces).

A Not-so Merry VIX-mas Part 2

Yesterday I decided to examine performance of XIV during the last few days of the year. The thought was that we are now in a time period that is generally regarded as seasonally bullish. Additionally, volume and volatility are often light this week with many traders on vacation. So I thought with low volatility and bullish seasonality, it could be a bullish time for XIV (the inverse-VIX etf). I checked. Here is the table from yesterday…

2017-12-25

These numbers certainly do not look bullish. They could even be viewed as bearish. Even the lone “winner” saw XIV undergo a drawdown of nearly 11% before closing up $0.01.

So is there a bearish edge? One person suggested I also look at ZIV, which looks at medium-term volatility measures, rather than short-term.

2017-12-27-2

These results are also weak, but not nearly as bad as XIV. Let’s also consider how SPX has done.

2017-12-27-3

It has been a fairly tough time for SPX over the last few years. So XIV struggling during the same times is not a big surprise. If someone were to examine the last 6 years, they might believe there is a downside edge. I’m not terribly comfortable with such a small sample size. A look at a longer-term chart and stats for SPX might show why.

2017-12-27-5

It’s been a bad run the last few years. But suggesting there is a downside edge sure seems like a stretch for SPX.

Back to XIV…my original test examined performance over the last few days of the year. With volatility typically low, and seasonality generally regarded as bullish, I hypothesized there could be a strong bullish tendency for XIV. The results certainly refuted that hypothesis. But I am not of the opinion that they are great proof of an outright bearish edge for XIV.

 

 

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The Most Wonderful Week Of The Year!!!!

Over several time horizons op-ex week in December has been the most bullish week of the year for the SPX. The positive seasonality actually has persisted for up to 3 weeks. I’ve shown the study below in the blog many times since 2008. It looks back to 1984, which was the first year that SPX options traded. The table is updated again this year.

2017-12-11

The stats here remain extremely strong. Have a wonderful (and bullish?) December Opex Week!

 

 

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Why The SPX Reversal May Be A Positive For The Bulls

Before spending much Monday selling off, the SPX managed to make a new intraday all-time high. The new high followed by a poor and downward close triggered the study below, from the Quantifinder. Results are all updated.

2017-12-05

Results here seem to suggest an upside edge over the next 1-2 weeks. Though the reversal may have felt frustrating to bulls at the time, it does not appear to be substantial worry for the near term.

 

 

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When NDX Drops Big On A Day SPX Posts An Intraday High

It was interesting that the new intraday high Wednesday for SPX came on a day when NDX had its worst day since August. The study below looks at other instances of a 50-day high for SPX and the biggest drop in 50-days for NDX.

2017-11-30

Results are fairly impressive, and suggest a bullish edge based on limited instances. It is notable that every instance had a run-up of at least 4.8%, and the largest drawdown was under 3.2%. So yesterday’s SPX/NDX action appears to be potentially favorable for the intermediate-term.

 

 

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SPY’s 2-Day Pattern Suggesting A Bullish Tendency For Tuesday

SPY gapped up and closed lower Monday after leaving an unfilled up gap on Friday. This triggered the study below that examined similar price action in SPY with regards to how it gapped and finished.

2017-11-28

The numbers here all look solidly bullish. This suggests a possible upside edge for Tuesday based on SPY’s pattern of the last few days. Traders may want to keep this in mind today.

 

 

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October Opex Week Historically Bullish

Option expiration week is often a pretty good week for the market. October is one of those months where it has been especially good over the years. This can be seen in the study below.

2017-10-16

I decided to exclude 2008 because action that week was such an incredible outlier that it greatly skewed all the stats. (The week started with an 11.5% gain on Monday of 2008.) Even without 2008, results 1-4 days out look pretty solid.
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The Persistent Move Higher In The Russell 2000

The persistency of the move higher is very impressive. For instance, the Russell 2000 has now finished in the top 20% of its moving 10-day range for 22 trading days in a row. That is over a month. I looked back at other times this has happened. Below is a list of all prior instances and their 5-day returns.

2017-10-11

It is an impressive list, with the only loser being very small. But with only 1 instance in the last 20 years, it is tough to read too much into the results. Still, it does underline the fact that the Russell’s move is quite impressive, and it is showing persistency that has rarely been seen since the 90s.

 
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When Months Finish At A High

Turn of the month will often trigger some seasonal studies. The study below looks at performance after times that SPY has closed a month at the highest closing price of the month.

2017-10-02 image1

The numbers across the board are fairly compelling. Trades may want to keep this in mind as we enter October.

 

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The Weakest Week (Updated)

From a seasonality standpoint, there isn’t a more reliable time of the year to have a selloff than this upcoming week. In the past I have referred to is as “The Weakest Week”. Since 1961 the week following the 3rd Friday in September has produced the most bearish results of any week. Below is a graphic to show how this upcoming week has played out over time.

2017-09-17 image1

As you can see the bearish tendency has been pretty consistent over the last 56 years. There was a stretch in the late 80’s where there was a series of mild up years. Since 1990 it has been pretty much all downhill. Below is a table showing results of buying Sept. op-ex Friday and then selling X days later from 1990 – 2016.

2017-09-17 image2

The consistency and net results appear quite strong. I note the only instance that didn’t post a lower close at some point during the following week was in 2001. And the 9/11 attacks certainly made for unusual circumstances that year.

 

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Two Unfilled Gaps Up & A 50-Day High

It is notable that Wednesday was the 2nd day in a row with an unfilled up gap. The study below appeared in the Quantifinder last night, and has been updated with current stats. It examined other times SPY left 2 unfilled up gaps and closed at a 50-day high.

2017-09-13

The size of the follow-through isn’t terribly large, but it has been quite consistent that some follow through was achieved in the next few days. This suggests the current momentum may be followed by further short-term gains.

 

 

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A Look At Historical Post-Labor Day SPX Performance

Way back in 2009 I showed a study that suggested Labor Day week performance has been somewhat dependent on whether the market has rallied over the 20 trading days leading up to it. I decided to take a new look at that study today. Below are updated results of post-Labor Day action when the previous 20 days have seen gains versus losses.

2017-09-04-1

This shows a poor performance record when there has been a rise in the market. But in 2017 SPX has posted a slight decline over the last 20 days. So we are facing the below scenario.

2017-09-04-2

Just the opposite here. The market appears to lean towards gains during Labor Day week under such circumstances. Of course there are a few caveats to keep in mind. For one, instances are a bit low. Secondly, while we are down over the 20-day period it is not by much, and with SPX up the last 6 days in a row, any “oversold” edge here may not be in place. Still, the results do give us some information to consider as we head back to work on Tuesday.

 

 

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Why Today’s Fed Day Setup May Not Be As Bullish As Most

Wednesday is a Fed Day. Fed Days have historically shown an upside tendency. I have documented this tendency in great detail over the years, with the most complete documentation coming in The Quantifiable Edges Guide to Fed Days. Based on what the market did Tuesday, this does not seem to be the most favorable Fed Day setup. A big reason for this is that SPX closed at a 20-day high on Tuesday. Fed Day bullishness has often occurred when a Fed announcement has helped to alleviate market stress. When the market closes at a 20-day high, it typically means there isn’t a lot of worry present. Under these circumstances, the upside inclination has also not been present. Below are charts that compare Fed Days that close below 20-day highs to those that close at 20-day highs.

2017-07-26-1

 

2017-07-26-2

The new high on Tuesday appears to eliminate, or greatly reduce, the bullish Fed Day edge.

 

 

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Worldwide Generosity from Quantifiable Edges Readers

As many readers of this blog are aware, on Saturday I will be doing a 175 mile bike ride from Boston, MA around Cape Cod to its tip in Provincetown for the Multiple Sclerosis Society. I have offered anyone that donates any amount of money a copy of the QE Fed Day MS Ride package, which includes a pdf copy of the Quantifiable Edges Guide to Fed Days, along with Fed Day code to allow people to create their own studies.

 

To date, 30 Quantifiable Edges readers have donated a total of $1094, which I am very thankful for. Donations have ranged from $5 to $100. And what really struck me when I looked at the list was where the donations have come from. MS is worldwide issue, and so far we have seen donations come from 10 countries on 4 continents! They are USA, Canada, Australia, Germany, Ireland, United Kingdom, Israel, Netherlands, and South Korea!  Thanks to all!

 

The ride is on Saturday & Sunday, so there is a little more time to get your donations in an take advantage of the Bike MS Fed Day offer!

 

Here again is the process…

 

1) Go to my personal fund raising page:

http://main.nationalmssociety.org/goto/robridesreallyfast

 

2) Make a donation of any size (but feel free to be generous!). Note: The MS donation page makes it look like the min amount is $35. But you can click the “other amount” button on the right and enter whatever amount you feel appropriate. Even small gifts are greatly appreciated!

 

3) Send an email to support@quantifiableedges.com with your receipt from the MS Society, and within 24 hours we will send you the above Quantifiable Edge Fed Day MS Ride package. (If you don’t receive it in 24 hours, feel free to send us a 2nd email, because that means we likely missed the 1st one, or post a comment below letting us know we somehow missed it!)

 

And once again, here is what you will receive…

  1. The Quantifiable Edges Guide to Fed Days (pdf version)
  2. My Tradesation “Fed Day” code that show every Fed Day and the day before from 1982 – 2017.
  3. Text file versions of the code in case you do not use Tradesation, but still want the full list of dates, or to translate the code into another program for your own testing.

Note that the code has never before been offered with the book. So even if you already have the book – make a donation and get the code!

 

Thanks for all your support!

 

(I will be tweeting updates during the ride, so you can see how far I am getting throughout the day.)