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.

First Day of Month Based on Month

Posted on July 1, 2020 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 on the blog in 2013 and 2009. I thought it would be interesting to take another look at it today. Below is an updated version of the study.

July has been the most reliable month in term of closing positive. And when looking at the size of the average gain, it comes in 2nd. You also note that August is the worst on both counts.

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What Friday's Action Suggests About Short-Term Volatility

Posted on June 15, 2020 by Rob Hanna

It was unusual on Friday to see such large opening gap (+2.54%) filled, and then SPY still managed to close positive. This can be seen in the study below, which I showed in the subscriber letter over the weekend.

Four instances closed higher, and 6 closed lower over the next 2 days. So there does not appear to be a strong directional bias. But the takeaway is that the volatility did not just disappear. At the bottom you’ll see I circled stats looking at avg “run-up + 1 standard deviation” and avg drawdown – 1 std deviation”. What those mean is that it would not be unusual to see the market rise as much as 6% or decline as much as 9% over the next couple of days. That is a huge spread for a 2-day time span. It speaks to the potential risk of being wrong.

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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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