Quantifiable Edges | Assessing Market Action With Indicators & History

Rob Hanna of Quantifiable Edges was named the 2024 recipient of the National Association of Active Investment Managers (NAAIM) Founders Award for his research paper “Chicken & Egg: Should you use the VIX to time the SPX? Or use the SPX to time the VIX?”! *Info on the NAAIM Founders Award may be found lower down on page.

You may download the paper at the NAAIM website or from SSRN.

Quantifiable Edges Courses

Quantifiable Edges offer 3 different trading courses. All view market edges from a quantitative perspective. All also have tools that would help traders further explore ideas on their own (spreadsheets, code, etc).

The Quantifiable Edges VIX Trading Course

The Quantifiable Edges Market Timing Course

The Quantifiable Edges Swing Trading Course

Quantifiable Edges Subscriptions

Quantifiable Edges has been publishing quantitative research, systems, and trading ideas since 2008. We utilize technical analysis concepts and quantify them in a way that allows traders to determine the edge that was provided in the past. Gold and Silver level subscribers are led through Rob Hanna’s interpretation of the data in a simple and complete manner via the nightly and weekly subscriber letters. Gold subscribers also have access to our subscriber area, which includes the Quantifinder, Seasonality Calendars, trading systems (with code), special research, and more.

Subscribers also have access to the full archive of letters back to 2008, which include thousands of original studies.

Beginner, advanced, and institutional traders have all taken advantage of the research, teachings, and tools provided by Quantifiable Edges since 2008. Free trials to the gold subscription service are offered with just name and email required. You may follow Quantifiable Edges on YouTube ( @quantifiableedges9338 ), X (Twitter) (@QuantifiablEdgs), or receive blog posts and updates from Quantifiable Edges directly to your email.

*About the NAAIM FOUNDERS AWARD:

Launched in 2009, the NAAIM Founders Award (formerly known as the NAAIM Wagner Award) is designed to expand awareness of active investment management techniques and the results of active strategies through the solicitation and publication of research on active management.

The 2007-2008 bear market, following on the heels of the 2000-2002 decline, led many investors to question the wisdom of buy-and-hold investing.

NAAIM members have always believed active is better. This competition is designed to support this position through sound research and shine the spotlight on those individuals advancing this field of study. Since 2009 the call for papers resulted in an international response, with authors from New Zealand, Great Britain, Canada, Germany, and India as well as the U.S., submitting research demonstrating advancements in active investment management and it’s potential.

The competition is open to all investment practitioners, academic faculty and doctoral candidates who submit an innovative topic in the area of active investing. This can be either a documented and justified investing approach or an exploration into the validity of active investing. Active investing topics can involve making investment decisions using technical analysis, quantitative analysis, etc. Papers can also address related topics such as position sizing techniques, money management approaches, scaling into and out of trades, exit strategies, etc.

The National Association of Active Investment Managers (NAAIM) is a non-profit trade group of 125 member firms nationwide, collectively managing over $15 billion annually. NAAIM’s purpose is to promote the common interests of those investment advisors who provide active investment management services to clients. NAAIM’s many professional development opportunities are headlined by its annual conference – Uncommon Knowledge – which is held each spring in locations around the U.S. Other events are held several times a year on timely topics for our members, as are teleconference and webinar events. For more information, visit www.naaim.org

First trading day of the month has generally been strong...except August.

Posted on July 31, 2025 by Rob Hanna

I’ve shown the chart below several times over the years. It breaks down by month the performance of the first trading day of the month. July has long had the strongest Day 1. But August is also notable for it’s lack of Day 1 performance.

As you can see it is the only month with a negative Day 1 return. Below is a look at how it has played out over time.

This doesn’t appear to be a bearish setup. Just a bunch of chop that has failed to generate gains over time. But while it doesn’t hint at a down day on August 1^st, it certainly shows that August 1 has certainly not been seasonally bullish.

97 Years of Death Crosses

Posted on April 14, 2025 by Rob Hanna

The SPX is going to experience a Death Cross today at the close. I’ve written many times in the past about “Death Crosses”. A Death Cross is when the 50ma crosses below the 200ma. It is confirmation of a downtrend. Some people view it as a bearish signal. As you’ll see, it is not a great “signal”. My Norgate data goes back to 1928 for SPX (this includes its predecessor, the S&P 90, from 1928 – 1957 when the S&P 500 officially began). This made for an interesting starting point, because the 1^st instance, in 1929, came shortly after the 1929 market crash that was followed by the Great Depression. It was also followed by the most substantial decline – by far. Let’s first look at a list of all the Death Cross formations and how the SPX performed while they were in effect.

Interestingly, 36 of the 49 instances (73.5%) actually saw the SPX realize gains while the Death Cross was in effect. The problem is the losing trades were very large. And even most of the winners saw a sizable round-trip lower before they were able to carve out some gains (like the last one in 2022). The average drawdown for these 49 trades would have been 13.2%. And there were 5 separate instances that saw drawdowns of at least 45%.

Even though the giant losers were relatively rare, their impact is large. And the fact that the 1^st instance was the worst instance also provides a great example of how devastating large drawdowns can be. The profit curve below shows a hypothetical portfolio of only being invested in the market during SPX Death Crosses.

The 1^st instance from 1929 – 1933 saw the portfolio rise to $120k before falling down as low as about $20k and then finishing that trade with a value of about $34k. And it has never managed to get back to breakeven. The 73.5% “win rate” on the Death Cross tells me it is NOT a reliable timing device. But the few instances of massive losses show just how valuable it can be to protect gains and avoid large portions of nasty bear markets. If we get into a big bear market, I won’t actually be sitting out of the market for several years. But it does allow us to adjust strategies, exposure and other risk parameters. The Death Cross / Golden Cross on its own is not a great system. But it can help us put the market into a context where we can better evaluate opportunities. And I have also found it helpful when combining with other timing indicators, as I’ve done in the Market Timing Course.

Note: The Quantifiable Edges Market Timing Course does look at the Golden Cross / Death Cross in combination with other timing indicators.

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Strong Selling The Day Before A Fed Day

Posted on March 19, 2025 by Rob Hanna

I have shown many times in the past that Fed Days tend to carry a bullish edge – especially when there is selling leading up to the Fed Day. Tuesday’s selloff saw SPX close down over 1% and in the bottom half of its intraday range. I looked at this combination in the study below.

Those are some impressive stats over the next few days. I also produced the 3-day profit curve.

That is a persistent move from lower left to upper right, serving as some confirmation of the upside edge suggested by the stats table.

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Market Returns With New Presidents

Posted on January 20, 2025 by Rob Hanna

In this weekend’s subscriber letters I examined some Inauguration Day ideas. I wondered whether a new president brought about new hope and optimism for the market.

I limited the instances to only those inaugurations where a new president was entering office. I don’t think re-elections carry a sense of “new hope” the way a new president does. I also eliminated inaugurations of Presidents that weren’t elected (Ford in ’74, Johnson in ’63, Truman in ’45, and Coolidge in ‘23). I just don’t believe the same sense of excitement is generated by a replacement as by a newly elected president. The remaining presidents and their inaugurations can be found in the table below.

First, I found it interesting that the wonderful speeches and overall positive vibes surrounding a new president did NOT translate to a strong Inauguration Day performance. (You could throw out Roosevelt and G.W. Bush here, since the market was not open on the days they were giving their speeches. Same with whatever happens Tuesday since Trump will be inaugurated with the market closed on Monday.) I’ll also note that Donald Trump could (and certainly would) claim he gave the greatest Inauguration Day speech of the last 100 years back in 2017, since the 0.48% rise on that day was the best of any president on the actual Inauguration Day. It could also be claimed that Obama gave the worst speech in 100 years, since the Dow tumbled 4% on the day of his inauguration.

I’ll also note that looking out over the next 10 and 75 days the market did often seem to embrace the new hope that comes along with a new administration. Harding in 1921 is the only one on the list that saw the market more than 3.5% lower 75 days out. Meanwhile, there were 7 instances where the market was more than 3.5% higher. Biden had the best 75-day performance since Roosevelt in 1933. It is tough to draw conclusions based on just 14 instances over a 100+ year period. Also, some might consider Trump to be a “2^nd-term” president. While it is his 2^nd term, and he is not eligible for another, he is elected, and it will be a new administration from the previous 4 years. So I’d view it more similar to a 1^st term than a 2^nd term from a seasonality perspective. With 11 of the last 13 instances showing gains, and most of them strong gains, we may have some positive seasonality helping the market along the next few months.

CBI Hits 10 - A Study

Posted on January 13, 2025 by Rob Hanna

Notable about Friday’s action is that the Quantifiable Edges Capitulative Breadth Indicator (CBI) rose to 10. I have generally viewed 10+ as strongly bullish over the years. The chart below shows SPX in the top pane and the CBI in the bottom pane. Whenever the CBI reached 10 or higher initially during a spike, I have marked that with a vertical line on the chart.

As you can see, over the last 3 years, CBIs of 10+ have quickly been followed by a bounce. Of course it isn’t just the last 3 years that the indicator has been helpful.

The study below is one I have shown many times before. It looks at SPX performance if you were to buy the index when the CBI reached 10 or higher and then sell when it returned back down to 3 or lower. Results are updated.

The COVID Crash in March of 2020 accounted for most of the gross losses. Other than that instance, the strategy would have performed very well over the years. And the last 9 instances have all closed higher, making for a nice run since the start of 2022.