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 (@QuantEdges), Facebook, LinkedIn, or receive blog posts and updates from Quantifiable Edges directly to your email.

A Columbus Day Edge Revisited

Posted on October 14, 2019 by Rob Hanna

While the stock market is open on Monday, banks, schools, government offices, and the bond market are closed. In past years with the bond market closed, the stock market has done quite well on Columbus Day. Of course the most famous Columbus Day rally was in 2008 when the market gained over 11% after having crashed the week before. A few times here on the blog (most recently 10/12/15) I showed that positive momentum leading up to Columbus Day has generally led to a positive Columbus Day. Columbus Day has been celebrated on the 2nd Monday of October since 1971. Below are updated results of that study.

2019-10-14

I’ve circled some of the more impressive stats here. With 73% of trades profitable and winners over twice the size of losers risk/reward has been very favorable. This positive seasonal tendency may be worth some consideration today.

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The Weakest Week (2019 update)

Posted on September 20, 2019 by Rob Hanna

As I have shown many times in the past, there isn’t a more reliable time of the year to have a selloff than this upcoming week. I have often referred to is as “The Weakest Week”. Since 1960 the week following the 3rd Friday in September has produced the most bearish results of any week. Below is a graphic to show how this upcoming week has played out over time.

2019-09-20-1

As you can see the bearish tendency has been pretty consistent over the last 59 years. There was a stretch in the late 80’s where there was a series of mild up years. Since 1990 it has been pretty much all downhill. Below is a table showing results of buying Sept. op-ex Friday and then selling X days later from 1990 – 2018.

2019-09-20-2

The consistency and net results appear quite strong. I note the only instances that didn’t post a lower close at some point during the following week was in 2001 and 2017. The 9/11 attacks certainly made for unusual circumstances in 2001, and 2017 did not see a decline, but it only rose 2 points, so it was not much of a victory for the bulls.

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Post-Announcement Fed Day Returns Since Powell Arrived

Posted on September 17, 2019 by Rob Hanna

I have documented before the tough time that Fed Days have had since Chairman Powell took over in February of 2018. I have also shown that the historically bullish Fed Day edge has primarily played out before the Fed announcement is even made. So today I thought I would simply show how SPY has performed between the time of the announcement and the NYSE close on Fed Days since Mr. Powell took over.

2019-09-17

No big surprise here. The market has struggled. We’ll see if it likes tomorrow’s announcement any better. Many more Fed related studies can be found here.

Wishing you and yours a very merry Fed Day!

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The Great Rotation Continues

Posted on September 12, 2019 by Rob Hanna

Tuesday night on Twitter I showed how Monday and Tuesday saw a massive rotation among S&P 500 constituents. The top stocks over the 1-year period leading up to last Friday had all seen substantial selling during Monday and Tuesday. And the bottom stocks had all rallied strongly. This all happened with almost zero net change to the SPX index. I decided to follow up on that study today to see how those stocks made out with the SPX rally on Wednesday. Below are updated tables. The right-hand columns show performance on Wednesday.

2019-09-12

We see that even with the market rally on Wednesday the Great Rotation continued. All 10 of the bottom ranked stocks rallied further on Wednesday. Meanwhile, 7 of the 10 top ranked stocks underwent further selling. The split was not as drastic as Mon-Tues. Wednesday the bottom ranked stocks outperformed the top stocks by about 2% on average. Over the Monday – Tuesday period it was a 15.5% outperformance. Still, anyone running a long-short momentum strategy was not provided any relief on Wednesday. I am working on some deeper research exploring historical implications of violent rotations like these.

I will note at this point that swing traders may be able to find some decent bounce candidates on the Top ranked list. Strong short-term pullbacks during longer-term uptrends will often create solid short-term buying opportunities. The stocks on the left generally fit that description nicely. But with such unusual market action, this is not your typical pullback for many stocks, and risks could be elevated. Caveat emptor.

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What A Leading Advance/Decline Line Has Meant Historically

Posted on September 9, 2019 by Rob Hanna

I have seen a good amount of chatter this week about the recent highs in the NYSE Advance/Decline line and other breadth measures showing bullish strength. The advance/decline line simply takes the net number of advancing NYSE stocks on a daily basis and then sums that number from one day to the next, making a line. If the line is moving up, that means there are more advancing stocks than declining stocks. A move lower mean there are more decliners. My A/D line Amibroker chart can be seen below.

2019-09-09-1

The move to a new high is clear. And having that happen ahead of an SPX new high is generally regarded as a positive. So I decided to run some studies and examine other times the NYSE A/D line broke out to a 1-year high while SPX had not hit a new high for at least a month. The table below shows results going back to 2003.

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Numbers here are strong across the board. I looked at several profit curves in this weekend’s subscriber letter (click for free trial). I’ll focus on the 20-day results here on the blog. Below is a look at the profit curve for the 20-day test.

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That is a steady and impressive upslope. The intermediate-term implications of the A/D line hitting leading new highs since the end of the 2000 – early 2003 bear appear to have been quite bullish. Interestingly, I found performance of this study prior to 2003 to be streaky and less reliable. This can be seen in the chart below, which goes back to 1931.

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It certainly appears the leading A/D line has been a positive over the last 16 years. And I am viewing it as a positive right now. But the edge has not always been as reliable. So as with all studies, it is worth keeping an eye on to make sure the bullish message persists.

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