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.

Russell Death Cross Implications for SPX

Posted on April 23, 2023 by Rob Hanna

I have seen some chat about the Russell “Death Cross” that occurred on Friday and the potential bearish implications for the market. A “Death Cross” is a catchy (though not terribly accurate) term for when the 50-day moving average of a security cross below its 200-day moving average. It is sometimes promoted as a warning of a potential bear market. Of course all bear markets will see this happen at some point, because a bear market is an extended decline. But the real question when considering the implications of the Death Cross are whether it serves any value in predicting a more substantial decline. A few years ago I did an examination of past Russell Death Crosses, and what they meant for the S&P 500. I have updated that study from the 11/14/18 blog below.

Both of my data sources show Russell data back to late 1987. And since I need 200 days to calculate a 200-day moving average, the earliest the study could look back to was 1988.

Here is the list of all Russell Death Crosses and how the SPX performed from the time of the initial cross until the Russell Death Cross was no longer in effect (meaning the 50-day moving average closed back above the 200-day moving average).

Twenty-one winners. Only four losers. So 84% of the “predictions” were wrong. The biggest winner of the group came in 2020. The most recent instance, from last year, saw a substantial loss. Here is a look at the summary stats and a profit curve for this setup.

I am having a hard time seeing the Russell 2000 Death Cross as a bearish indication. You would have a much easier time convincing me this is a bullish indication for the intermediate-term. (I don’t really view it as bullish though. Drawdowns were generally sizable, even for a good portion of the “winners”.)

Want research like this delivered directly to your inbox on a timely basis? Sign up for the Quantifiable Edges Email List.

How about a free trial to the Quantifiable Edges Gold subscription?

VIX-Based Trading Edges (Presentation)

Posted on April 20, 2023 by Rob Hanna

Last week I did a presentation on VIX-based Trading Edges to Ali Pashaei’s group of traders. Ali has been kind enough to post a recording of the presentation and discussion to his website in an area that is free for the public. A link is below:

VIX-based Trading Edges by Rob Hanna of Quantifiable Edges (optionsinpractice.com)

You may recall Ali from an interview I did with him about a year ago. He runs the Options In Practice website. That interview can still be found here, and contains lots of interesting ideas. So if you have some time later today or this weekend, check out my presentation to Ali’s group from last week. And if you missed it a while back, watch or listen to my old interview of Ali as well!

When the employment report has been released on Good Friday...

Posted on April 6, 2023 by Rob Hanna

While the market is closed on Friday for Good Friday, the BLS will be releasing the employment report. This is only the 13^th time since 1980 that this has happened. Below is a list of all previous instances along with their performance on Monday when the market was then back open.

Six instances closed down and six closed up on Monday, so on the surface this study does not seem to provide useful information. But what is notable to me is that 8 of the 12 instances saw the market close either up or down by more than 0.75%. (Those are all circled in blue.) That shows the Monday reaction has often been volatile, and suggests risk may be elevated a bit because of this.

Want research like this delivered directly to your inbox on a timely basis? Sign up for the Quantifiable Edges Email List.

How about a free trial to the Quantifiable Edges Gold subscription?

Will Tomorrow Be Another Bullish Holy Thursday?

Posted on April 5, 2023 by Rob Hanna

Stock market performance leading up to and around many holidays has often shown an edge. Holy Thursday is one day that has done quite well. I have shown Holy Thursday stats several times in the past. The chart and statistics below are all updated through last year.

Despite closing lower last year, the stats and the curve are impressive, and suggest a bullish seasonal tendency. Traders may want to keep this in mind when setting their bias for Thursday.

Action Mon-Tues Can Skew $FED Day Odds On Wednesday

Posted on March 20, 2023 by Rob Hanna

While the Fed decision will certainly play a part in how the market performs on Wednesday, another factor that has historically played into Fed Day odds is simply how the market performed leading up to that decision. A rally into a decision has often lead to disappointment (or “sell the news”). A selloff into a decision often indicated the market is preparing for the worst, and you’d see a relief rally. This is demonstrated in the studies below. They show SPX Fed Day performance when SPX closed at a 5-day high vs a 5-day low the day before. With SPX now in the middle of its 3-day range, we could easily end up at either of these extremes on Tuesday.

Clearly a 5-day low sets up for better Fed Day odds. It will be interesting to see how the market acts over the next two days heading into the Fed decision.

Want research like this delivered directly to your inbox on a timely basis? Sign up for the Quantifiable Edges Email List.

How about a free trial to the Quantifiable Edges Gold subscription?