Quantifiable Edges | Assessing Market Action With Indicators & History

Check out the new Seasonality Calendars!

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.

Additionally, Quantifiable Edges provides unique courses for longer-time market timing and quant-based swing trading. Both self-paced courses include detailed market research, and show traders how to take advantage of it. They also come with supporting software for those traders interested in furthering the research and ideas on their own.

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.

The March Seasonality Calendar for Long-Term Treasuries

Posted on February 28, 2021 by Rob Hanna

For the next several months, I have decided I will share one of the Quantifiable Edges Seasonality Calendars for the upcoming month. This month the calendar that caught my eye was the US Treasury 20+ Yr Total Return Index. This index is very similar to TLT. It is one of 10 seasonality calendars that we publish at Quantifiable Edges.

Treasuries have been in a big swoon over the last month. TLT closed down 5.7% on a total return basis in February, leaving it down 9.2% so far in 2021. That is a rough start to the year for TLT.

The Quantifiable Edges Seasonality Calendar uses multiple systems to measure historical performance on similar days to those on the upcoming calendar. The systems look at filters like time of week, month, year and so forth. Over the long run, staying out of the market on days that do not appear in green, would have been beneficial. To appear in green the date needs to show a historical Win% of 50% or more and a profit factor of 1.0 or more.

So Treasuries look like they will face a seasonal headwind for much of the first two weeks of March. After that, they may have seasonality on their side. Whether seasonality will matter much in a market that is so overdone right now will be interesting to monitor over the next month. But it is an input that has mattered over the long haul, and traders may want to consider it when forming their trading plan.

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Quantifying Seasonality Webinar Recoding

Posted on February 24, 2021 by Rob Hanna

A recording of the “Quantifying Seasonality” webinar from a few days ago has been posted to youtube. You can find it below.

Historically High Froth in Speculative Stocks

Posted on February 21, 2021 by Rob Hanna

Perhaps the most astounding chart I saw this week was one that Helene Meisler posted in her Saturday morning chart show on Twitter. It showed the 50-day MA vs the 200-day MA of the $RUT. I have recreated the chart below and included the full history of the Russell 2000 to provide context.

What is happening here is that the 50ma is more than 25% above the 200ma. And this is the 1^st time in history that the 50ma has been this extended vs the 200ma. In fact, never before has it even exceeded 20%. So the current rally in $RUT is remarkable.

I also decided to look at a couple of other indices to see how stretched they were and what their historical charts looked like. First, let’s look at the $NDX.

The $NDX has had some extreme historical readings as well. In 1999 it reached nearly 30, and in 2000, leading right up to the top, it exceeded 35. Then it went to hit its lowest extreme a little over a year later. But the current reading…not all that extreme. And in fact it topped out in September and has drifted lower since.

Lastly, let’s look at the $SPX. For this index I was able to go all the way back to 1929.

The current reading here is about 11. And as you can see, that is not terribly uncommon. There are a lot of peaks on the chart that exceeded 10. But it has not exceeded 20 since the 1930s. So neither $SPX nor $NDX appear to be all that stretched based on this metric.

So what does this all mean? Well, it appears this is some froth in small caps. This does not suggest that the momentum cannot continue or that $RUT or the rest of the market has to decline right away. But I would expect to see a reversion here at some point. There has been a lot of money pumped into the economy, and over the last few months, a big chunk of that has gone into smaller and less established companies.

In fact, it is not only less established companies, it is even shell companies that are seeing massive inflows. Take a look at this Tweet from Charlie Bilello that shows SPAC investment $$ growth:

There is a lot of investment capital out there, and an oversized chunk of it seems to be flowing into the most speculative assets. This is not a trading signal, but it is something that seems worth noting. The music is still playing, but when it stops it may be difficult finding a chair.

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GLD added to Seasonality Calendars / "Quantifying Seasonality" Webinar Saturday 2/20 at Noon

Posted on February 19, 2021 by Rob Hanna

Quantifiable Edges has added GLD to our Seasonality Calendars. It is the 10^th security (or index) the that we track in the new Seasonality section of the site. We also wrote up a short research paper for GLD. Using spot gold prices we were able to generate historical seasonality data back to 1981. We also showed a comparison of spot gold vs GLD since 2015. The research paper can be downloaded directly from the Seasonality page with a Gold, Silver, Seasonality, or Trial subscription. Additionally, subscribers may download the historical data to do their own research, with the aid of Quantifiable Edges tools that were built in Excel, Tradestation, and Amibroker.

On Saturday at noon EST I will be giving a webinar on “Quantifying Seasonality”. It will cover the following topics:

Difficulties in utilizing traditional approaches to seasonality
Does playing the good and bad days produce an edge?
How to build a seasonal approach that provides an edge
Overview of Quantifiable Edges Seasonality Calendar functionality

QE Seasonality Calendar Backtest Tools now available on Multiple Platforms

Posted on February 10, 2021 by Rob Hanna

In the last few days, Quantifiable Edges released its Seasonality Calendar Backtesting Tool for Amibroker users. We now have tools for traders using Excel, Tradestation, or Amibroker.

The tools allow Quantifiable Edges subscribers to evaluate the Seasonality Calendars and explore ideas on how to utilize them for their own trading. Quantifiable Edges provides subscribers historical calendar data, dating back as for as 1940 for the DJI and SPX. With the tools, subscribers can produce studies like the report I created a few weeks back that looked at only holding indices when the calendars would have shown positive odds based on Win % and Profit Factor readings.