Quantifiable Edges | Assessing Market Action With Indicators & History

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Quantifiable Edges Overview

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. Breadth, volume, sentiment, volatility, Fed-induced liquidity, seasonality, and price action are all used to assess market conditions. 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 complete access to our subscriber area, which includes the Quantifinder, Seasonality Calendars, custom charts, trading systems (with code), special research, and more.

Both private and institutional traders have taken advantage of the vast tools and studies that have been developed over the years. Some of the most popular indicators include the Quantifiable Edges Capitulative Breadth Indicator (CBI) and the Aggregator. Quantified research related to Fed policy and action around Fed Days is available. Subscribers also have access to the full archive of letters back to 2008, which include thousands of original studies.

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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 Twitter (@QuantifiablEdgs), Facebook, LinkedIn, or receive blog posts and updates from Quantifiable Edges directly to your email.

When $SPX closes at a 5-day low and below the 200ma just before a Fed Day

Posted on September 20, 2022 by Rob Hanna

Wednesday is a Fed Day. And a decent amount of the recent selling may be attributable to anxiety over the Fed announcement. I’ve shown Fed Days to be bullish in the past, especially when there has been a selloff heading into the Fed Day. The study below is from this past weekend’s subscriber letter. It looks at other times SPX closed at a 5-day low and below the 200ma on the day before a Fed Day.

The numbers are strongly positive, and as you can see, the setup really picked up steam starting in 2008. Below are the stats and list of instances from 2008 onward.

SPX would need to close below 3873 today in order to trigger this setup. For many more studies regarding Fed Days, check out the Fed Study category here on the blog.

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RUT Down 7 Days In A Row. Gotta Bounce...Maybe?

Posted on September 7, 2022 by Rob Hanna

While SPX and NDX posted small gains last Thursday, the Russell 2000 is now down 7 days in a row. I decided to examine past instances where RUT closed down 7 days in a row and under the 200ma.

If you were hoping that 7 consecutive down days put the market so oversold that it “had” to bounce, well, these results would be disappointing. Winners to losers has been basically 50/50 but the losers have been substantially larger. Below is a look at all the instances and their 4-day results.

Quite a few sizable declines in the mix here. The average drawdown over the 4-day period for all 18 instances was 4.6%, and the average run-up was 2.7%. In other words, volatility was high. Seven down days for RUT does not seem to assure us of anything, other than perhaps some additional volatility.

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Does Quick Drop To 20-Day Low Invalidate Recent Breadth Thrust?

Posted on August 29, 2022 by Rob Hanna

A couple of weeks ago on Twitter I shared a breadth thrust study that looked at times the % of SPX stock above their 50ma quickly rose from <= 15% to >= 90% within 50 days. The results I shared can be found below.

I noted the following in the letter after examining the results…but this appears to be yet another breadth study that we can add to the growing list suggesting an upside edge over the intermediate-term. Of the 17 instances that triggered since 1957, all of them saw the SPX higher 3, 6, and 12 months later.

I have received some questions and seen some discussion on Twitter about whether the recent tumble the market has taken meant the end of the breadth thrust signal. So I looked at it a couple of ways. I noted that Friday’s selloff caused the SPX to close at a 20-day low. I then looked at other times the market quickly reversed and posted a 20-day closing low after seeing a breadth thrust like those above.

There were only 3 instances that saw such a quick dive to a 20-day low after posting a similar breadth thrust. I never like to read anything into just 3 instances. So I expanded the time period to note any instance that closed at a 20-day low within 50 days. Those results are below.

Still just 12 instances, but also still no indication that the pullback would suggest the original study has been invalidated by the recent drop. While there are bearish studies and indicators out there, I see no good reason to throw out the original breadth study. Other instances where there have been pullbacks to 20-day lows after similar breadth thrusts have all been followed by gains 2, 3, 6, and 12 months later.

I will note that I did see a “breadth collapse” study that triggered last week suggesting more downside over the next month. I wrote about that in the subscriber letter. (You may take a free trial here if you wish to see it.)

So while the 50ma breadth thrust study still appears to be a positive looking out over the longer time-frames, there is contrasting evidence for the intermediate-term. Overall, that leaves breadth readings somewhat questionable. Perhaps we will see more clarity in the weeks to come.

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Forward Performance After Bad 1st Halves Of The Year

Posted on July 4, 2022 by Rob Hanna

The market had a pretty awful 1^st half of the year. The SPX lost over 20% through June, which is something it had not done since 1970 during the 1^st 6^th months of a year. Out of curiosity, I decided to see how other strongly negative 1^st halves performed during the 2^nd half of the year.

Those are some impressive 2^nd half results. I will note that 1970 is the only one in the bunch that managed to close the year positive, and it only saw a gain of 0.1% at the end of the year. (Remember, a 20% drawdown needs a 25% rebound just to get back to even.) But before we get too excited about these results, let’s also look at instances that did not quite meet the 15% criteria, but were down at least 10% in the 1^st half of the year.

Results here are much different, with 5 of the 6 instances posting losses in the 2^nd half of the year. Of course, this year fits in with the 1^st group, so perhaps we get a nice rebound. But instances are low and its been 52 years since the last instance. So I am not incorporating this into my bias at all. Still, I thought the results were interesting enough to share.

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When The Biggest Losing Week In Over A Year Is Made Up For The Following Week

Posted on June 25, 2022 by Rob Hanna

The last two weeks have been quite a wild ride. The week ending June 17^th was the worst 1-week decline for SPX (-5.79%) since March of 2020. This past week completely made up for that loss (despite it only being a 4-day week) with a gain of 6.45%. Below is a list of the 4 other times since 1930 that SPX followed the largest 1-week loss in a year with a complete reversal the following week.

1966, which is shown in the chart above, was the only other instance that the losing week was the worst in over 2 years. Results were overwhelmingly positive 1, 2, 3 and 4 quarters out for all 4 instances.

I don’t put a lot of faith in something that has only happened 4 times before, but if you are looking for a possible hopeful sign…well…this might be one.

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