Quantifiable Edges | Assessing Market Action With Indicators & History

Rob Hanna, founder

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, custom charts, trading systems (with code), special research, and more.

For additional insights into the Quantifiable Edges approach we’d strongly recommend:
1) Checking out the About Rob page, with links to interviews, webinars & more.
2) Taking a free 1-week trial.

The Quantifinder

The Quantifinder is Quantifiable Edges original functionality. There is nothing else like it anywhere on the web. The Quantifinder was designed to automatically search through our database of published research and extract anything that is applicable to the current day’s market action. This includes studies based on price, breadth, volume, leadership, and sector rotation. It looks at both daily and weekly data across a wide range of indices. All applicable studies are then published on the Quantifinder page, where you can easily see their bullish/bearish tendencies and a description of the research. From there it just takes a simple click and the publication containing the research is automatically pulled up for you.

Quantifiable Edges Systems (for Gold Subscribers)

Quantifiable Edges has published several mechanical systems that can be used for trading stocks and ETF’s. The systems pages contains complete system rules, backtest results and Tradestation code for subscribers. Any tracked ETF or S&P 500 stock that triggers a system entry can be found on the nightly systems spreadsheet.

The Aggregator

The Aggregator chart has long been a staple of the Subscriber Letter. In a nutshell the Aggregator tool uses all the active historical studies and computes a single consensus output from them. It is a primary tool used by Quantifiable Edges to determine a short-term market bias. More information on the Aggregator may be found by clicking here.

Custom Indicators & Tradestation Code

Quantifiable Edges tracks a number indicators. These include proprietary indicators such as the Quantifiable Edges Capitulative Breadth Index (CBI), the TICK Tomoscillator, the QE Buying Power Index, Nasdaq/SPX Relative Strength Model, and more. This collection of charts and indicators can be found nowhere else. Many of them are available both on our Charts page to view, and to download as code for creating your own charts.

Membership Options

The Quantifiable Edges Gold subscription comes complete with the Quantifiable Edges Subscriber Letter delivered nightly via e-mail, and full access to the Quantifiable Edges subscription site. Less-active traders may prefer our Silver subscription, which includes a Weekly Research Letter and partial access to the subscriber area.

An $SPX Sector Breakdown & Visual Of The Rubber-Band Effect

Posted on January 16, 2019 by Rob Hanna

Below are the nine S&P 500 sector ETFs and their performance for the 14 days heading into the December 24th market bottom, and then their performance for the 14 days since.

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As you can see, the sectors that were stretched the farthest to the downside have bounced the highest to the upside. The sectors that held up a little better during the selling have not had nearly the same bounce. This is typical of a market coming off a V-bottom. This does not mean the groups that have bounced the most to this point are the ones that are most capable of leading a new bull market. Those potential leaders are yet to be determined. It simply shows the rubber-band effect off the deeply oversold low.

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Historical View Of Extreme Short-Term Gains In $OEX Components

Posted on January 15, 2019 by Rob Hanna

As I write this around 11am EST both NFLX and CELG are threatening to close up > 50% from their December 24th closing price, just 14 trading days ago. While that sometimes happens with speculative smallcap stocks, it is very unusual to see a largecap S&P 100 stock accomplish such strong gains in such a short period of time. In fact, the last instance of a 50% close to close gain within 15 days for an S&P 100 stock occurred in 2009. I looked back at other times since 2000 where it has occurred among S&P 100 components, and found only 38 occurrences. Below is the complete list.

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Note I used Norgate data to do the research. Stocks with numbers after the ticker are no longer traded. My basic observation about these instances are the following:
• It almost never happens except during extreme market conditions, and often during, or just after, a bear market.
• The common themes were Financials in 2008-09 and Tech in 2001-02, which were the hardest hit and most volatile groups of their time.
• Returns going forward appear bunched and inconsistent.

To further illustrate the last point, below are the summary forward returns for all 38 instances.

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I don’t see a strong and consistent edge among suggested. I do find it interesting that we have two stocks threatening to accomplish the rare feat today.

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January Opex Weak

Posted on January 11, 2019 by Rob Hanna

Opex week overall has typically been a bullish part of the month for the market. But over the last 20 years, January has been a major exception to this rule. The table below shows results of buying the Friday before options expiration week in January and then selling at the close of option expiration Friday, which is the 3rd Friday of the month.

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15 of the last 20 January opex weeks have closed down. And the average January opex week lost about 1%. The max run-up during the week was about 0.8%, while the average drawdown during the same period was about 3x that, at 2.2%. And the stats are all this poor despite last year posting the 2nd strongest up move on a January opex week over the 20-year sample. Here is a chart that shows how the edge has played out over time.

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January opex is not only poor when comparing against other opex weeks, it is extremely poor overall. Looking at all week/month combinations back to 1999, the only week that has shown greater losses is the week after opex week in September. In other words, January opex week has been the 2nd worst week of the year over the last 20 years.

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Rare Zweig Breadth Thrust Signal Suggests Bullish Implications

Posted on January 8, 2019 by Rob Hanna

The strong breadth we have seen recently has caused the 10-day exponential moving average of the NYSE Up Issues % to rise up to 62%. A move through 61.5% after being below 40% within the last 2 weeks is considered a Zweig Breadth Thrust trigger. This is a signal created by Martin Zweig. Over the long haul it has been a rare but powerful signal. Below is a list of all signals since 1970 along with their 20-day returns (using Tradestation data).

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All 8 instances saw a runup of at least 3% over the next 4 weeks, and only once did the market pull back as much as even 2.5%. I last showed this study on the blog in 2015. Today I decided to show SPX charts for all the signals. I have labeled the 20-day holding periods shown above on the charts as well.

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I am seeing some other evidence suggesting a possible pullback in the next few days. But the Zweig Thrust Signal certainly favors the bulls for both the short and intermediate-term. Traders may want to keep it in mind as they determine their trading bias.

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After A New Year Starts On A Good Note

Posted on January 3, 2019 by Rob Hanna

Last night’s subscriber letter featured (an expanded version of) the following study, which looks at performance in the 1st couple of days following a positive 1st day of a new year.

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The stats and curve all suggest some immediate follow-through has been typical. There have now been 10 winners in a row, with the last loser occurring in 1998. Also notable is that 26 of the 28 instances (93%) closed higher than the entry price on either day 1 or day 2. Interestingly, the 2 instances that didn’t, also didn’t manage to post a close above the entry price at any point during the rest of the month. Of course AAPL has already put the market in a bit of a hole, with SPY prepping to gap down over 1% as I type this. So it may be more of a challenge to close up today or tomorrow than usual.

It is also notable that many instances saw a mid-month decline after the initial bounce, but that has not played out in recent times.

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