One compelling study that triggered tonight suggested the recent persistent upmove is unlikely to abruptly end. (This is a theme we have seen many times over the years.) It considers what happens after SPX moves up at least 5 days in a row to a 50-day high, and then pulls back. (This is the current setup.)
We see here a decent edge that becomes stronger and more consistent as you look out over the next several days. The 9-10 day time frame shows exceptional stats. The 2-day timeframe suggests a short-term boost is also likely.
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Rob Hanna is the founder of Quantifiable Edges, a quantitative market research service he has run since 2008. His research focuses on statistical analysis of U.S. equity markets, including studies on FOMC patterns, VIX dynamics, seasonal effects, gap behavior, market breadth, and other quantitative edges. In 2009 he published "The Quantifiable Edges Guide to Fed Days," available on Amazon. He was named the 2024 recipient of the National Association of Active Investment Managers (NAAIM) Founders Award and currently serves on the NAAIM Board of Directors. His articles have appeared in several trading and investment publications, and he has been a guest on numerous trading podcasts. Rob has been a featured speaker at annual conferences for the CMT Association (formerly Market Technicians Association), the American Association of Professional Technical Analysts (AAPTA), and NAAIM. He ran a private investment partnership from 2001 through 2019 before joining Capital Advisors 360 as an investment advisor representative, where he trades quantitative and volatility-based models for clients.. Follow him on Twitter / Facebook.
