Quantifiable Edges | Assessing Market Action With Indicators & History

Rob Hanna of Quantifiable Edges was named the 2024 recipient of the National Association of Active Investment Managers (NAAIM) Founders Award for his research paper “Chicken & Egg: Should you use the VIX to time the SPX? Or use the SPX to time the VIX?”!

You may download the paper at the NAAIM website or from SSRN.

Quantifiable Edges Courses

Quantifiable Edges offer 3 different trading courses. All view market edges from a quantitative perspective. All also have tools that would help traders further explore ideas on their own (spreadsheets, code, etc).

The Quantifiable Edges VIX Trading Course

The Quantifiable Edges Market Timing Course

The Quantifiable Edges Swing Trading Course

Quantifiable Edges Subscriptions

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. 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 access to our subscriber area, which includes the Quantifinder, Seasonality Calendars, trading systems (with code), special research, and more.

Subscribers also have access to the full archive of letters back to 2008, which include thousands of original studies.

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 YouTube ( @quantifiableedges9338 ), X (Twitter) (@QuantifiablEdgs), or receive blog posts and updates from Quantifiable Edges directly to your email.

A long-term look at the Weakest Week

Posted on September 23, 2024 by Rob Hanna

I believe the 1^st time I posted a blog on the “Weakest Week” was 2011. Historically, the week after options expiration has been the most bearish of the year. Since 2011, the downside edge has certainly persisted. Below is a look at SPX performance during this week dating all the way back to 1960.

You’ll note the average return this particular week has been -0.9% since 1960. The downward persistency of the curve shows that the bearish tendency has been quite consistent over the last 64 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. Traders may want to keep this in mind this week.

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

Streaking Longer than Ripken

Posted on July 10, 2024 by Rob Hanna

About a month ago, I hit a major milestone with Quantifiable Edges. I passed Cal Ripken. For those that don’t know, Cal Ripken was a Hall-of-Fame shortstop (and also a 3^rd baseman) with the Baltimore Orioles from 1981-2001. He holds the record for consecutive games played (2,632). His streak lasted over 16 years – from May 30, 1982 – September 19, 1998.

Quantifiable Edges subscriber letter was 1^st published on February 18, 2008. I made sure to write a letter for every market day that year. At the end of the year, I told subscribers that I would likely take a few days off next year. But I didn’t. At the end of 2009 I said the same thing. Again I ended up writing a letter for every day the NYSE was open. Now it has been about 16 ½ years. And in mid-June my streak officially went beyond the 16 years and 4 months that Cal Ripken recorded.

There has been plenty that has happened on a personal level over the last 16 ½ years, both good and bad. But through it all, I have run my studies, done some research, and posted a letter every single night. They haven’t all been good letters. Some were admittedly abbreviated, such as when I had the flu or when I was laid up with COVID. And some were dead wrong with my market interpretation. But they were published and distributed, and not a day was missed.

Like Ripken, I intend to step down from my streak at some point. I can’t do it forever. Right now I am leaning towards changing to an abbreviated version of the letter twice a week (Monday and Wednesday nights? Or a couple of nights when the market hasn’t done much?). I will likely start incorporating this new twice-a-week abbreviated format in 2025. And I may fiddle around with abbreviated formats some this year when I take vacation. (Yes, I have written every night on vacations as well.)

So I may slow down at some point, but it has been a great run, and I fully intend to keep it going a good while longer. Thanks to all my subscribers, who have helped keep me motivated for the last 16 ½ years! And thanks to Cal Ripken who kept me motivated the last couple of years as I realized I was approaching the length of time his streak lasted!

Quantifiable Edges Launches RealTest Module for VIX Trading Course - Special Launch Discount!

Posted on July 10, 2024 by Rob Hanna

We’re excited to unveil the RealTest module for the Quantifiable Edges VIX Trading Course! To celebrate, we’re offering an exclusive discount: get $200 off the course, and enjoy a whopping 90% off the RealTest module, available only through July 15th!

Initially released in late 2022, our VIX Trading Course has been a favorite among traders, providing comprehensive studies, and models that can be tested and customized with your own ideas. All students receive detailed Excel spreadsheets, making all the information and strategies accessible even without advanced software or programming skills. However, for those using Amibroker or RealTest, the course also offers the ability to explore and adapt the studies and models with these powerful tools.

The course’s popularity has surged recently thanks to Rob Hanna’s acclaimed paper, Chicken & Egg: Should you use the VIX to time the SPX? Or use the SPX to time the VIX? The paper won the prestigious NAAIM Founders Award in May. It offers a glimpse into some of the advanced concepts covered in the course.

Whether you’re new to VIX-based trading or a seasoned pro, the Quantifiable Edges VIX Trading Course offers unparalleled insights and strategies. Take advantage of this limited-time sale and elevate your trading game. Already enrolled? Upgrade with the RealTest code now!

Click here to buy now!

July Remains King of Day 1 Performance

Posted on June 28, 2024 by Rob Hanna

Since the late 80s there has been a tendency for the market to rally on the first day of the month. One theory on why this occurs is that there are often 401k inflows that are put to work on the 1st of the month. I examined this tendency and broke it down by month here on the blog a few times over the years. I decided to update the study again today.

As you can see, July has both the highest Win % and the largest Avg Trade. So maybe some of that July magic will help the bulls on Monday. I’ll also note that August has had the worst Day-1 performance of any month. Below is a more detailed look at how July has played out.

Impressive stats and curve. And the last 13 instances have all been winners. Traders may want to keep this in mind.

Talking VIX Trading and my NAAIM whitepaper with Andrew Swanscott

Posted on May 31, 2024 by Rob Hanna

I had the pleasure of joining Andrew Swanscott on the Better System Trader podcast on Wednesday afternoon. We had a detailed discussion about VIX trading and my recent whitepaper that won the NAAIM Founders Award. It had been a long time since I was last on Andrew’s podcast, but he is always a fun person to speak with! I hope you enjoy it.

You can also find it on your favorite podcast channels. If you haven’t listened to Better System Trader before, be sure to check it out. Andrew is a great interviewer and has a long list of interesting guests.

New Volatility Based Trading Techniques with Rob Hanna