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.

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.

Oversold $NDX does not bounce as reliably as $SPX

Posted on January 10, 2022 by Rob Hanna

The NDX was hit especially hard last week. It fell 4.5% on the week and Friday was the lowest close since October. Many times we will see multi-day pullbacks and/or intermediate-term lows during a long-term uptrend suggest the market is primed for a bounce. But in running some studies on NDX this weekend, I found results like below.

Such setups have been a tossup over the following days. SPX traders might find these results surprising. But SPX and NDX have exhibited somewhat different tendencies over the years. The SPX is more prone to mean reversion than the NDX. NDX tends to trend better. One example of this can be seen by looking at the same study using SPX.

These numbers are quite compelling. Of course, SPX is nowhere near its 2-month low. So this is not setting up.

I will note I am seeing some mild evidence that a bounce is likely in the next few days. But there could be more pain before it happens, as demonstrated by the NDX study and the fact that the SPX isn’t nearly as oversold.

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'Twas 3 Nights Before Christmas: Updated NASDAQ Version

Posted on December 21, 2021 by Rob Hanna

I’ve posted and updated the “Twas 3 Nights Before Christmas” study on the blog here several times since 2008. The study will kick in at the close today (12/21). This year I will again show the Nasdaq version of the study. While all the major indices have performed well during this period, the Nasdaq Composite has some of the best stats.

The stats in this table are strong across the board. An average year posted a gain of about 2.4% over the next 8 days. The note at the bottom shows the reliability of a bounce at some point has been nothing short of incredible. Traders may want to keep this study in mind over the next several days.

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New Webinar: Introduction to Capital Advisors 360 Separately Managed Accounts

Posted on December 12, 2021 by Rob Hanna

Date and time: 12/13/2021 at 4:15pm EST

Duration: About 30 minutes + Q&A

Description:

Join Rob Hanna and founder Jeff Pietsch to learn about their work at Capital Advisors, 360, LLC. Understand how you can have your own separately managed account traded for you using many of the same models that Rob and Jeff use to trade their own money. Of course several of Rob’s models utilize concepts discussed here at Quantifiable Edges since 2008. During the webinar we’ll cover the following topics:

What are separately managed accounts, and what does it take to set one up?
Why do many people utilize them?
What are some of the models Rob Hanna manages, and how have they performed over the last few years?
What other kinds of models are available at Capital Advisors 360, outside of those Rob manages?
And we’ll save lots of time to answer your questions!

If you would like to register for the webinar, to make sure you receive a recording, you may do so here.

Video and Screen Sharing:

Online meeting ID: robh60

Online Meeting Link: https://join.freeconferencecall.com/robh60

Once signed in, click on the phone icon:

Then choose “Mic and Speakers” and you should be able to hear everything through your speakers/headset.

Alternatively, you may use the dial-in info below if you wish. Please note it is not a toll-free number.

Alternate Dial-In Info:

Dial-in number: (605) 313-5497(U.S.)

Access Code: 181851#

International Dial-in Numbers: View List

A recording will be made available by Tuesday afternoon for anyone that registers for the webinar.

Action After Strong Friday Selloffs

Posted on November 28, 2021 by Rob Hanna

Today’s study is one of several that will be appearing in the Quantifiable Edges Subscriber Letter in a few hours. Quantifiable Edges Black Friday sale has been extended through Cyber-Monday. Act now to take advantage. After Monday – its gone.

Black Friday was a tough one for the market, with the major indices all closing down over 2%, and the VIX spiking over 10 points to close at 28.62.

Big drops on Fridays can be interesting. Both the Crash of ’29 and the Crash of ’87 happened on Monday. The Crash of ’87 is still remembered by some traders that are active today (though it is getting less and less each year). In 1987, there was a strong selloff on Friday and then all hell broke loose on Monday. But since then, strong Friday selloffs have commonly been followed by bounces in the following days. Perhaps this is due to the fact that fear of a crash causes what might otherwise be an ordinary selloff to become exaggerated and overdone on Fridays. Or perhaps it is just that people don’t want to hold over the weekend. Whatever the reason, the tendency to bounce has been strong. The study below is one I have showed for over 10 years. It defines a strong selloff as more than 1.5x the recent (20-day) average true range.

The numbers here are all very impressive and suggest a strong bullish bias. Below is a look at the 6-day profit curve.

This edge has asserted itself for a long time.

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A Consolidation After A New $SPY High

Posted on November 24, 2021 by Rob Hanna

The range over the last week has been very tight. Every SPY close in the 5 days since 11/16 has been within the intraday range of that 11/16/21 bar. It is said that consolidations are often resolved in the direction of the trend. This guideline suggests that we’re more likely to see another leg up from here than a breakdown. The study below tests this concept. It was last seen in the 11/15/19 letter and has been updated.

It certainly appears to confirm the old technical adage. Results favor the long side over the immediate 3-day period and they are even more impressive when looking out 8 to 10 days. I will also note that the last 12 instances, dating back to January of 2007, have all closed higher 3 days later.

Have a great Thanksgiving, and keep an eye out for the Quantifiable Edges Black Friday sale!

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