Strong Selling The Day Before A Fed Day

Posted by in Fed Study, Quantitative Study March 19, 2025

I have shown many times in the past that Fed Days tend to carry a bullish edge – especially when there is selling leading up to the Fed Day. Tuesday’s selloff saw SPX close down over 1% and in the bottom half of its intraday range. I looked at this combination in the study below.

Bullish stats tableof down 1% and in bottom of range before a Fed Day

Those are some impressive stats over the next few days. I also produced the 3-day profit curve.

3-day profit curve of down 1% and in bottom of range before a Fed Day

That is a persistent move from lower left to upper right, serving as some confirmation of the upside edge suggested by the stats table.

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Market Returns With New Presidents

Posted by in Quantitative Study January 20, 2025

In this weekend’s subscriber letters I examined some Inauguration Day ideas.  I wondered whether a new president brought about new hope and optimism for the market.

I limited the instances to only those inaugurations where a new president was entering office. I don’t think re-elections carry a sense of “new hope” the way a new president does. I also eliminated inaugurations of Presidents that weren’t elected (Ford in ’74, Johnson in ’63, Truman in ’45, and Coolidge in ‘23). I just don’t believe the same sense of excitement is generated by a replacement as by a newly elected president. The remaining presidents and their inaugurations can be found in the table below.

DJI returns on inauguration day and beyond

First, I found it interesting that the wonderful speeches and overall positive vibes surrounding a new president did NOT translate to a strong Inauguration Day performance. (You could throw out Roosevelt and G.W. Bush here, since the market was not open on the days they were giving their speeches. Same with whatever happens Tuesday since Trump will be inaugurated with the market closed on Monday.) I’ll also note that Donald Trump could (and certainly would) claim he gave the greatest Inauguration Day speech of the last 100 years back in 2017, since the 0.48% rise on that day was the best of any president on the actual Inauguration Day. It could also be claimed that Obama gave the worst speech in 100 years, since the Dow tumbled 4% on the day of his inauguration.

I’ll also note that looking out over the next 10 and 75 days the market did often seem to embrace the new hope that comes along with a new administration. Harding in 1921 is the only one on the list that saw the market more than 3.5% lower 75 days out. Meanwhile, there were 7 instances where the market was more than 3.5% higher. Biden had the best 75-day performance since Roosevelt in 1933. It is tough to draw conclusions based on just 14 instances over a 100+ year period. Also, some might consider Trump to be a “2nd-term” president. While it is his 2nd term, and he is not eligible for another, he is elected, and it will be a new administration from the previous 4 years. So I’d view it more similar to a 1st term than a 2nd term from a seasonality perspective. With 11 of the last 13 instances showing gains, and most of them strong gains, we may have some positive seasonality helping the market along the next few months.

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CBI Hits 10 – A Study

Posted by in CBI, Quantitative Study January 13, 2025

Notable about Friday’s action is that the Quantifiable Edges Capitulative Breadth Indicator (CBI) rose to 10. I have generally viewed 10+ as strongly bullish over the years. The chart below shows SPX in the top pane and the CBI in the bottom pane. Whenever the CBI reached 10 or higher initially during a spike, I have marked that with a vertical line on the chart.

SPX chart showing when CBI has hit 10 from 2022-2025

As you can see, over the last 3 years, CBIs of 10+ have quickly been followed by a bounce. Of course it isn’t just the last 3 years that the indicator has been helpful.

The study below is one I have shown many times before. It looks at SPX performance if you were to buy the index when the CBI reached 10 or higher and then sell when it returned back down to 3 or lower. Results are updated.

CBI reaches 10 - but SPX and sell when it returns to 3 or lower

The COVID Crash in March of 2020 accounted for most of the gross losses. Other than that instance, the strategy would have performed very well over the years. And the last 9 instances have all closed higher, making for a nice run since the start of 2022.

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What the last day of the year can teach us about research and trading

Posted by in Quantitative Study December 31, 2024

Overall, the last day of the year used to be consistently bullish for the market. But that has changed since the turn of the century. This is true across a number of indices. The most dramatic example is the NASDAQ, which I highlighted a few years ago. I have updated the chart below.

NASDAQ last day of year historical returns

Closing up 29 years in a row is fairly astounding. Just as astounding is the abrupt changes in behavior we have seen. I have no good explanation for why such a formerly consistent edge changed, but it did.

This Nasdaq study is a great reminder though. The market is constantly changing and evolving. 2025 is just a few trading hours away. I’m not sure what it has in store for us, but I know it will play out in its own unique pattern. We will see clues along the way, and many of the truisms we’ve identified through studies over the last 17 years at Quantifiable Edges will continue to work. But some may flounder. And when something stops working, like the “last day of year bullishness” above, then I will do my best to recognize it early. Examining edges is more than just running numbers. Researchers and traders need to keep an open mind, understand the market is continually evolving, and adapt. 

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2024 Black Friday Sale is extended through Monday night!

Posted by in Quantitative Study November 28, 2024

Black Friday Returns to Quantifiable Edges…HUGE savings on Gold Subscriptions and all 3 courses are at their lowest prices ever!

We have decided to bring Black Friday back to Quantifiable Edges this year. We rarely have special sales at Quantifiable Edges, and have not had any since last year, so if you have been thinking about a Gold subscription, or the Swing Trading Course, or the acclaimed VIX Trading Course, or our Market Timing Course, now is the best opportunity you’ll see for a long time.  Check out our best offers below to start trading with a Quantifiable Edge! 

  • Quantifiable Edges Gold Annual (with access to the Market Timing Course and Amibroker Code for the Quantifiable Edges Numbered Systems)  – $875 for the next 13 months!  That is $755 savings versus a monthly subscription and separate Market Timing Course and Amibroker code purchases!  After the initial 13-month period, subscription will renew at the annual rate of $1000.
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The Quantifiable Edges Black Friday sale won’t last long, and it won’t be back for another year.  To take advantage, simply use the link below now to sign up.

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Triple-70 Breadth Thrust Triggers

Posted by in Breadth, Quantitative Study November 26, 2024

The strong breadth readings over the last few days triggered one of my oldest and most favorite studies. It looks at other times that breadth came in strong for 3 days in a row. I have shown this study many times over the years. I often refer to it as a Triple-70 Thrust, because it requires the NYSE Up Issues % to close at 70% or greater for 3 days in a row. Stats are updated.

Triple 70 breadth thrust stats

There are a lot of positive numbers and the edge generally appears to be to the upside. Results between 70 and 90 days appear especially strong and consistent. Below is the profit curve and stats assuming an 80-day holding period.

80-day profit curve for Triple 70 instances

The curve and stats remain encouraging. The broad rally we have seen over the last few days appears to be a positive breadth thrust for the intermediate-term.

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Webinar: My 5 Favorite Methods to Beat the Indices

Posted by in Webinar October 13, 2024

On Tuesday October 15th I will provide followers with a webinar on “My 5 Favorite Methods for Beating the Indices”. I will discuss long and short-term approaches designed to reduce drawdowns and enhance long-term returns.

This special free webinar will be held on Tuesday, October 15th at 12:30pm Eastern US. Registration details can be found below. All registrants will receive a link to a recorded copy of the presentation.

Date and time: 10/15/24 at 12:30pm (Eastern Time)
Duration: 45 minutes + Q&A
Description: The webinar will discuss 5 approaches that can be used with the objective of long-term index outperformance.
Registration Link: https://quantifiableedges.com/subscribers/signup/BeatTheIndex

The webinar will be recorded and all who sign up will receive a link to the recording.

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A long-term look at the Weakest Week

Posted by in Quantitative Study, seasonality September 23, 2024

I believe the 1st 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.

Chart showing bearish tendency of week after opex in September

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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Streaking Longer than Ripken

Posted by in Subscriber Features/Letter July 10, 2024

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 3rd 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 1st 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!

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

Posted by in Subscriber Features/Letter, VIX July 10, 2024

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!

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July Remains King of Day 1 Performance

Posted by in Quantitative Study June 28, 2024

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.

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Talking VIX Trading and my NAAIM whitepaper with Andrew Swanscott

Posted by in Interviews & Mentions, Quantitative Study, VIX May 31, 2024

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
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Why IRAs will have more trading flexibility starting May 28th

Posted by in Quantitative Study May 26, 2024

Starting on Tuesday, May 28th the trade settlement process is moving from 2 days to 1 day. This may not sound like a big deal. And if you trade primarily long-term strategies, or only with a margin account, then it isn’t. But for people that would like to incorporate short-term models into their IRA, this is of massive importance.

To demonstrate why, consider a simple model that trades 2 instruments: SPY and SHV. Most brokers will allow you to sell a security and then buy a new security with the cash in an IRA these days. But you can’t flip flop multiple days in a row, because you can not sell a security that you bought with unsettled cash and re-use the unsettled cash before the original trade settles.

Example with current 2-day settlement process:

  • Day 1: Holding 100% SPY
  • Day 2: Sell 100% SPY and buy 100% SHV (allowed)
  • Day 3: Sell 100% SHV and buy 100% SPY (This is not allowed because SPY sale from Day 2 will not settle until Day 4. So you cannot sell SHV and buy back SPY here with a 2-day settlement cycle.)

To make it worse, with all brokers I know, the buys and sells would actually go through, but the account holder would be hit with a violation notice. If this occurs 3 times in a year, then most brokers will halt all trading in the account for an extended period. Others will take away the ability to trade anything on unsettled cash.

If you are trading in a portfolio with lots of securities and frequent ins and outs, tracking what you are allowed to trade and what you aren’t gets even more complicated.

On May 28th with the movement to a 1-day settlement process (T+1), this potential problem goes away. As long as you are not making multiple buys and sells in and out on the same day, these “freeride” violations will not occur.

With my own trading, as well as trading I do for clients at Capital Advisors 360, I utilize several models that are capable of flipping positions after 1 day. The current T+2 settlement has prohibited me from trading some of these models in retirement accounts. But with T+1 arriving, it opens up many new opportunities for IRA holders to take advantage of these short-term models. If you have any questions on this, or if you would like to learn more about Capital Advisors 360 models and whether they could be incorporated into your portfolio, feel free to reach out.

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Rob Hanna Wins the 2024 NAAIM Founders Award

Posted by in Interviews & Mentions, Quantitative Study, Research Paper, VIX May 11, 2024

It was an exciting week here at Quantifiable Edges as it was officially announced that Rob Hanna won the National Association of Active Investment Managers (NAAIM) Founders Award, which is its annual white paper competition.

The paper: Chicken & Egg: Should you use the VIX to time the SPX? Or use the SPX to time the VIX? challenges prevailing market wisdom by suggesting that S&P 500 Index (SPX) action offers a more reliable basis for forecasting the CBOE Volatility Index (VIX) movement than VIX action does in forecasting SPX movement.

If you would like to read the paper, it is available at the NAAIM website, and can also be downloaded from the SSRN website.

If you find the information in the paper appealing and would like to explore VIX-based trading in more detail, you may want to consider checking out the Quantifiable Edges VIX Trading Course.

About the NAAIM FOUNDERS AWARD:

Launched in 2009, the NAAIM Founders Award (formerly known as the NAAIM Wagner Award) is designed to expand awareness of active investment management techniques and the results of active strategies through the solicitation and publication of research on active management.

The 2007-2008 bear market, following on the heels of the 2000-2002 decline, led many investors to question the wisdom of buy-and-hold investing.

NAAIM members have always believed active is better. This competition is designed to support this position through sound research and shine the spotlight on those individuals advancing this field of study. Since 2009 the call for papers resulted in an international response, with authors from New Zealand, Great Britain, Canada, Germany, and India as well as the U.S., submitting research demonstrating advancements in active investment management and it’s potential.

The competition is open to all investment practitioners, academic faculty and doctoral candidates who submit an innovative topic in the area of active investing. This can be either a documented and justified investing ap­proach or an exploration into the validity of active investing. Active investing topics can involve making invest­ment decisions using technical analysis, quantitative analysis, etc. Papers can also address related topics such as position sizing techniques, money management approaches, scaling into and out of trades, exit strategies, etc.

The National Association of Active Investment Managers (NAAIM) is a non-profit trade group of 125 member firms nationwide, collectively managing over $15 billion annually.  NAAIM’s purpose is to promote the common interests of those investment advisors who provide active investment management services to clients. NAAIM’s many professional development opportunities are headlined by its annual conference – Uncommon Knowledge – which is held each spring in locations around the U.S. Other events are held several times a year on timely topics for our members, as are teleconference and webinar events. For more information, visit www.naaim.org

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When $SPX has a 3-day pullback for the 1st time in over 2 months…

Posted by in Quantitative Study March 17, 2024

Friday on X (Twitter) I noted that the 3-day pullback for SPX would be the 1st one since early January. SPX had gone 48 days since the last time it had a 3-day pullback. I looked back at other times SPX went at least 2 months without a 3-day pullback, and examined performance after it finally arrived. This can be seen in the table below.

Performance after the 1st 3-day losing streak in over 2 months for SPX

Results over the next 1-5 days are compelling, and suggest a strong bullish tendency. Traders may want to keep this in mind when setting their short-term market bias.

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