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.

Forward Performance After Bad 1st Halves Of The Year

Posted on July 4, 2022 by Rob Hanna

The market had a pretty awful 1^st half of the year. The SPX lost over 20% through June, which is something it had not done since 1970 during the 1^st 6^th months of a year. Out of curiosity, I decided to see how other strongly negative 1^st halves performed during the 2^nd half of the year.

Those are some impressive 2^nd half results. I will note that 1970 is the only one in the bunch that managed to close the year positive, and it only saw a gain of 0.1% at the end of the year. (Remember, a 20% drawdown needs a 25% rebound just to get back to even.) But before we get too excited about these results, let’s also look at instances that did not quite meet the 15% criteria, but were down at least 10% in the 1^st half of the year.

Results here are much different, with 5 of the 6 instances posting losses in the 2^nd half of the year. Of course, this year fits in with the 1^st group, so perhaps we get a nice rebound. But instances are low and its been 52 years since the last instance. So I am not incorporating this into my bias at all. Still, I thought the results were interesting enough to share.

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When The Biggest Losing Week In Over A Year Is Made Up For The Following Week

Posted on June 25, 2022 by Rob Hanna

The last two weeks have been quite a wild ride. The week ending June 17^th was the worst 1-week decline for SPX (-5.79%) since March of 2020. This past week completely made up for that loss (despite it only being a 4-day week) with a gain of 6.45%. Below is a list of the 4 other times since 1930 that SPX followed the largest 1-week loss in a year with a complete reversal the following week.

1966, which is shown in the chart above, was the only other instance that the losing week was the worst in over 2 years. Results were overwhelmingly positive 1, 2, 3 and 4 quarters out for all 4 instances.

I don’t put a lot of faith in something that has only happened 4 times before, but if you are looking for a possible hopeful sign…well…this might be one.

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CBI Spikes Over 10 During A Downtrend

Posted on June 20, 2022 by Rob Hanna

For years I have published research about the Quantifiable Edges Capitulative Breadth Indicator (CBI). In fact, the 3^rd blog post ever, back in Jan 2008, was about the CBI. On Friday, the CBI jumped from 7 to 11. Over the years I have generally regarded any reading of 10 or higher to be a bullish indication. The study below is one I have shown many times. It looks a performance following a spike to 10 or higher. I also added a 200ma filter.

We see that most often during established downtrends the high reading has marked a point where the selling is nearly over (at least temporarily), and bounce is likely to begin. The 17-day curve can be seen below.

That is solid consistency. It is a wild market we are in. Based on the spike in the CBI to over 10, it appears that there is a good chance that we’ll see a bounce, and perhaps some intermediate-term relief fairly soon. Plenty more CBI research can be found here.

A more detailed version of this study appeared in the Quantifiable Edges Subscriber Letter this past weekend, along with several others. Take a free trial here if you want to see it.

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Wealth Destruction: A Visual Essay

Posted on June 18, 2022 by Rob Hanna

Wealth destruction.

But if you want to spend it…

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Fed Days: Pre vs Post-Announcement Action During Downtrends

Posted on June 15, 2022 by Rob Hanna

In a blog post a few years ago I showed that the Fed Day edge has basically played out before the announcement even takes place. Returns after the announcement have been somewhat random.

In last night’s subscriber letter I decided to take a similar look, but only examining instances during long-term downtrends. Below is a look at how the SPY has performed from 2pm to 4pm on Fed Day’s where SPY closed below the 200ma the day before.

Choppy and inconsistent with net results slightly negative. Not an appealing curve for bears or bulls. But now let’s look at performance from the close the day before the Fed Day until 2pm of the Fed Day during downtrends. (Announcements are typically at 2pm EST.)

Numbers here are very strong and the curve is incredibly consistent. I’ll also note that the last 11 instances, dating back to November 2011, all saw a gain.

This all reinforces my view that it is generally better to exit Fed Day-specific trades prior to the announcement. Of course there is a risk of missing out on a bigger Fed Day rally, but over time that has been the more consistent and more profitable approach.

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