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.

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.

And for traders that are interested in mechanical trading strategies, the Quantifiable Edges ETF Momentum Swing Portfolio provides nightly signals, while the Quantifiable Edges Big Time Swing System is an open-coded, robust, non-optimized trading system that can be traded as-is or used as a base for traders to adapt into their own system.

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.

SPX Historically Bullish On Thursday After Memorial Day

Posted on May 27, 2020 by Rob Hanna

Thursday after Memorial Day has been a day that has exhibited a bullish bias for many years. I last showed this on the blog a couple of years ago. The chart below shows updated results.

Single-day seasonality can certainly be overrun by other forces, but the Thursday after Memorial Day has been a good one for many years. That may be something that traders want to keep in mind for Thursday.

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A Big Gap Up That Wipes Out A Big Loss Yesterday

Posted on May 20, 2020 by Rob Hanna

After closing down more than 1% yesterday, SPY is set to open up enough to erase all of yesterday’s losses. I decided to look back at other times this has happened.

Not exactly a consistent edge, but I thought the general upside tendency might be worth noting for some intraday traders. Good luck trading today!

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Is this the pullback you've been waiting for?

Posted on May 14, 2020 by Rob Hanna

It has been 47 trading days since SPX posted its last 3-day pullback. That is a long time. And it is especially long considering SPX is still below its 200ma. Should SPX fail to rally out of this early hole this morning, we will finally see the 1st 3-day pullback since March 9th. Bulls could look at it and exclaim “Finally, the 3-day pullback I have been waiting for to load up!”. Bears might be saying “This signals a change in behavior. Watch out below!”. Quants say, “Let’s see how similar setups have done in the past.” That’s where I generally fall. So let’s check it out.

SPX 1st 3-day pullback in 45 days

Only 6 instances in the last 90+ years. Results mixed. Tough to get excited about these results. I also loosened the criteria to see what happened if we only required a 35-day streak.

SPX 1st 3-day pullback in 35 days

Still just 11 instances. Still not terribly exciting for either the bulls or the bears. So the study was a bit of a flop, but I thought the concept was interesting enough to share. I’ll be looking for other evidence to help formulate my bias.

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Massive Unemployment and a Massive Market Rally

Posted on May 10, 2020 by Rob Hanna

The employment report on Friday was (expectedly) horrifying. 14.7% of the work force is now unemployed. The most interesting chart I saw with regards to unemployment came from @adrewvandam (h/t @byheatherlong). It showed that this is the highest unemployment rate since the Great Depression. I have copied it below.

130 years unemployment data

When looking at a chart like this it appears quite shocking. 14.7% unemployment can’t be good for the economy, and most people would think that the stock market would be struggling mightily in the face of such a number. But the SPX has now risen nearly 31% in the 33 trading days since the March 23rd bottom. Using S&P 90 data as a substitute for the S&P 500 pre-1954, I looked back to 1928 to identify other times the SPX has risen > 30% in 33 days. There have only been 3 other instances. All during the Great Depression. They were in 1938, 1933, and 1932. I have produced charts of those periods below. Let’s start with 1938.

1938 stock market rally

The vertical line is the date that the 33-day rate-of-change 1st exceeded 30% (7/18/1938). The 33-day rate of change can be seen on the bottom of the chart. This 33-day rally in 1938 was basically it for that move. It immediately began chopping lower for the next few months. Next let’s look at 1933.

1933 stock market rally

April 1933 was followed by significantly more rallying over the next few months before the next bear market emerged starting in July. Lastly, let’s look at 1932.

1932 stock market rally

As you can see, there was plenty more upside over the next month and a half before the index gave back most of the gains. Incredibly, the 33-day rate-of-change actually spiked up to over 80% at one point during August of 1932. Bottom line with the instances shown is that the market was wild and it seemed to remain wild for months to come. Now let’s recall the 1st chart I showed, with the unemployment data. Do you recall where the unemployment data hit its peak during the Great Depression? It was August of 1932. And from early July to early September of 1932 the SPX rallied over 100%.

The market has had a massive decline (like none seen since the 1930s), followed by a massive rally (like none seen since the 1930s). We have unemployment like none seen since the 1930s. Outsized declines and outsized rallies could very well persist for many months, if not years, to come. Being able to remain nimble, open-minded and adaptive to changing conditions may be more important over the next several years than it has been for a long time.

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My Market Huddle Interview

Posted on May 9, 2020 by Rob Hanna

I have been slow to post it to the blog, but below is my interview from last weekend with Market Huddle.

You can also find Market Huddle on iTunes.

They have a new guest every weekend. Patrick and Kevin do a great job. I recommend checking it out. Their Twitter handle is @MarketHuddle