Another Quant Edges Swing Trading Course Q&A Webinar Added / Recording from Monday Available

With questions continuing to pour in about the new Quant Edges Sing Trading Course, I have added one more live webinar today at 12:15pm EST today, in case you would like come and ask questions there.  Click here for login info to Wednesday’s webinar.

If you can’t make it, the Quant Edges Swing Trading Course Preview/Q&A webinar recording from Monday is now available to view.  Click here to watch it.

We are set to have our 1st live class session on Thursday, where I will be covering questions and expanding on material from the 1st couple sections of the course.
Keep in mind, our earlybird discount also expires on Thursday. For more details on the course, or to sign up, click here.

Introducing the Quant Edges Swing Trading Course & Free Preview/Q&A Webinar

I am very excited to announce the release of “The Quant Edges Swing Trading Course”!  The Quant Edges Swing Trading Course is designed for traders of all types and experience levels who are looking to better understand market behavior and identify quantified trading edges over the “Swing” time frame.

On Monday May 20th at 4:15pm EST (just after the NYSE close) I will be hosting a special free webinar where I will preview some of the edges and material within the course and answer any questions you may have.  Click here for webinar information.

Some highlights of the course include:

  • Detailed quantitative looks at long-term trend indicators
  • Detailed quantitative look at many short-term indicators
  • Examination of the importance of market position when large moves occur
  • Volatility measures and the edges they suggest
  • Trading Against the Trend (Which includes the new Icarus Short strategy and the Dead Icarus Bounce trading strategy along with information on the Quantifiable Edges CBI and the Catapult system.)
  • Utilizing Market Bias Filters to enhance your trading strategies
  • Trading With The Fed (Includes new Fed QE Pullback Strategies.)
  • Putting Edges together for confirmation, and the 3-Point Strategy which shows an open combination strategy
  • Amibroker Add-on Module (purchased separately) Allows users to create spreadsheets similar to those used, or generate lists of symbols triggering many of the strategies covered.
  • Will include 8 Q&A sessions over a 4-week period for participants that will examine different parts of the course and provide further insights into the sections discussed.
  • There will also be 1 additional bonus session featuring Dr. Brett Steenbarger focusing on combining quant edges with psychological edges to help traders can come closer to their peak performance.

 

Course material includes:

  • 41 short video lessons that can be watched over and over.  (About 5 ½ hours of videos.) This does not include the 9 upcoming live sessions, which will also be recorded and made available.
  • 14 Large Excel spreadsheets that provide detailed indicator analysis.  Rob discusses his thoughts and takeaways from these spreadsheets during the video lessons.  (The Amibroker Add-on module allows students to recreate the spreadsheets on their own, or create them in different timeframes or for different markets.)
  • Quantifiable Edges Guide to Fed Days Book
  • Full rules and hypothetical results for 6 trading strategies, including 2 counter-trend strategies (1 for shorting), a Fed-Based strategy, 2 Quantifiable Edges Numbered systems, and a new index-trading swing strategy that exemplifies using combinations of edges for entry and exit triggers.
  • And more…

 

Much of the information in the course, including several of the systems, has never been made public before.  Even long-time Quantifiable Edges subscribers will find new systems, edges, and research within the course.  Whether a beginning trader or one with years of experience, the Quant Edges Swing Trading Course can help you improve your trading.

 

The 1st live Q&A session will be Thursday, May 23rd, and then twice a week for the next several weeks.  Sign up now to be able to take part in the live Q&A.

Also, between now and Thursday the 23rd, traders can get $175 off the purchase price.  Just use the coupon code “earlybird” when you sign up(This offer may not be combined with any other offer, except the MS Ride Donation coupon for those that donated to Rob’s MS Ride last year.)

With the course being new to the market, I have also decided to offer it with a 100% money-back guarantee.  Purchase the Quant Edges Swing Trading course with confidence.  If you are not satisfied, let us know within 30 days and we will refund your total purchase price.

 

Click here to learn more and sign up now.

Why The Failed Bounce Is Not A Signal To Sell

After closing at a 20-day low on Thursday, the market put in a bounce attempt on Friday. Monday’s decline to a new low meant that initial bounce attempt failed. But in last night’s subscriber letter we saw several studies that showed the “failed bounce” was more likely to see another bounce attempt than it was to sell off further. The study below triggered in yesterday’s Quantifinder, and it is one of the “failed bounce” studies we looked at.

2019-05-14

The stats here are suggestive of a bullish edge looking out over the next 1-4 days. Monday was disappointing for the bulls, but the studies I am seeing suggest such a disappointment has typically not been a good time to bail out of long positions. The odds favor another bounce attempt triggering soon.

 

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CBI Hits 10+ While $SPX is in a Long-Term Uptrend

It is notable that the Quantifiable Edges Capitulative Breadth Indicator (CBI) closed at 10 on Thursday. Below is a study that shows other times the CBI reached 10 while the SPX was above its 200ma.

2019-05-10

A very high percentage of instances closed higher when looking out 4 or more days. The numbers certainly seem to point to a bullish edge. Below is a profit curve that assumes a 5-day holding period.

2019-05-10-2

As you can see, the lone loser was the 1st instance, which took place in 1996. Overall, the curve looks great. We’ll see if the historical tendency can overcome the trade war negatives. There is a lot that is strongly oversold and overdue a bounce, and that is what the CBI tells us.

 

 

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When QQQ Gaps Down Big From A High

Trump’s tweets on Sunday have put the market in a state of disarray. After closing Friday at an all-time high, QQQ is set to gap down nearly 2% this morning. Below is a look at other times QQQ gapped down at least 1% to open the day after closing at a 200-day high the day before.

2019-05-6-12

Instances are quite low. It is very rare to see the market gap down such a substantial amount after posting a new high. There is also no real consistency among the results. To increase sample size, I also looked at 1% gaps down from 50-day highs.

2019-05-06-2

Numbers here are not overwhelming. With only a sample size of 15 this does not appear to be a compelling edge. But they are a little disheartening if you are hoping for an immediate bounce on Monday morning. It is obviously a bit more suggestive of a further selloff than it is a rally.

 

 

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When the Jobs Report Sparks the NASDAQ to Rally to a New High

The employment report was the catalyst for the big rally Friday, and the NASDAQ closed at a new high. The study below looks back at other instances where the NASDAQ spiked higher and closed at a new high on the day of an employment report.

2019-05-05

Employment-sparked momentum leading to new highs like we saw on Friday has seen positive short-term follow through in the past. This certainly appears worth keeping in mind as traders ready for next week. For a list of instances, you can check out the last time I published this study on the blog (3/9/2018).

 

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Tops Wobble Before Falling Over

I’ve shown numerous studies in the past that suggest uptrends often become choppy before they ultimately end. It is highly unusual for an uptrend that is showing strong persistence to abruptly top out. The study below demonstrates this concept. The persistent uptrend of late has kept SPX above its short-term moving averages for an extended period. Tuesday, after 22 consecutive closes above the 10ma, SPX dipped down and closed below it. The study below looks at performance following other instances where SPX closed below its 10ma for the first time over 15 days.

2019-05-02

The numbers here all look solidly bullish over the next week. Below is the 5-day profit curve.

2019-05-02-2

The strong upslope serves as some confirmation of the bullish edge. As my friend and colleague, Tom McClellan says, “A spinning top does not just stop spinning and fall over. It wobbles first.” I saw a few bullish studies along these lines last night. Odds seem to suggest a good chance of a bounce arriving in the next few days.

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The Recent $RUT / $SPX Divergence And Why It Might Be Bullish

One aspect of recent market action that is interesting is the weakness in the Russell vs the SPX over the last few days. While some may worry the divergence is concerning, an old Quantifinder study that appeared last night indicates the setup is likely suggestive of an upside edge. It looked at times the RUT closed down 3 or more days in a row and the SPX closed at a 3-day high.

2019-04-23-1

As you can see, stats are bullish right off the bat, and they stay strong through the first two weeks. Instances are a little bit low, but the stats at this point are very impressive. Below is a profit curve using a 4-day exit.

2019-04-23-2

This looks pretty solid. Traders may want to keep this in mind over the next few days as they consider their market bias.

 

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The Market Loves Tax Day

In the 4/18/16 blog I showed a study about US tax day (normally April 15th). The reason tax day may be important is that it is the last day that people can make IRA contributions to count for the previous tax year. This can create a last-minute rush and you will often have an inflow of funds heading into the market right around and on April 15th. Fund managers will often put this money to work immediately and it creates a positive bias for the market. Below I have updated the study and included a profit curve.

2019-04-12

Strong stats and a good looking curve that has moved from lower left to upper right. Traders may want to keep both this and April opex in mind next week.

 

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The Problem With Unfilled Gaps Down From Intermediate-Term Highs

I saw some bullish studies emerge last night. But there was a study below that was not favorable that I thought readers would find interesting. One potential issue with Tuesday’s decline is that it included an unfilled gap down. Generally, an unfilled gap down from a high has more trouble quickly rebounding that a decline that does not include an unfilled gap. Unfilled gaps from high levels will often trap some recent bulls that bought the day before. The unfilled gap meant they were not given an opportunity to exit their positions with a profit. And if they are feeling anxious, that could lead to some more selling the following day. At the very least, they are less likely to be let off the hook as easily as if there was not an unfilled gap. You can see this exemplified in the studies below, which look at down closes from 50-day highs in SPY. The 1st test excludes instances with unfilled gaps, the 2nd test includes only those with unfilled gaps.

2019-04-10-1

2019-04-10-2

The difference is evident. The trapped bulls make the next day less appealing, and suggest a mild 1-day downside edge.

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Low Volume At Highs Does Not Provide The Short-Term Bearish Edge It Once Did

Years ago, strong overbought readings during an uptrend were easily sold – especially when volume came in very light. But that has not held true in recent years. There were several studies I examined last night that noted the low volume, but they have all lost their edge over the last several years. An example can be seen in the chart below, which is representative of the results I was seeing.

2019-04-05

Low volume at a new high has not seemed to matter during this decade. Perhaps it is due to such a long and persistent bull market. Perhaps off-exchange volume or increased derivatives trading has changed the importance of NYSE volume. Or maybe the SPX mean-reversion tendency has lessened. But whatever the reason, a new high on low volume does not seem to be a bad omen anymore.

 

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Over 90 Years of Golden Crosses (and a look at past drawdowns)

The SPX made a Golden Cross formation on Monday. A Golden Cross occurs when the 50ma crosses over the 200ma. Having the 50ma above the 200ma is commonly considered a bullish market condition – and generally it is. I used my Norgate data and Amibroker software to look back as far as 12/31/1928. Below is a list of all Golden Crosses since then. (Note that prior to 1957, S&P 90 data was used. The S&P 90 is considered the predecessor to the S&P 500.)

2019-04-02

Since the 1961 trigger, the Golden Cross has served as a fairly good timing device to sidestep large portions of bear markets. But prior to that it was not nearly as effective. This can be seen in the drawdown chart below. (Note: Overnight Fed Funds rate was used to calculate nightly interest starting in July 1954, which is as far back as my data goes. Prior to that, no interest rate was assumed when out of the market.)

2019-04-02-2

While drawdowns have been mostly quite moderate since the mid-50s, prior to that there were some very large drawdowns to endure. Even with these drawdowns, the Golden Cross would have beaten “Buy and Hold”. Generally, I consider it a bullish indication. But it is not a bulletproof long signal.

 

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An End of Quarter Edge

It is worth noting that Friday is the last trading day of the quarter. And the last day of the quarter has some interesting characteristics. I often hear the term “window dressing” mentioned by the media when referring to end of quarter activity. The suggestion is that fund managers will make late adjustments to their portfolios, in order to make them appear more attractive. So their list of large holdings might show some strong winners instead of losers for reporting. And they might do some extra buying of certain holdings on the last day or so of the quarter in order to push the price higher. Exactly what activity will be undertaken is difficult to anticipate, but one thing I have found is that small caps tend to outperform large caps on the last day of the quarter. This can be seen below in the comparison of DJI to Russell 2000 returns since June of 1987, which is as far back as my RUT data goes.

2019-03-28

That is a sizeable difference in performance. On average, the Russell has outperformed the Dow by 0.5% on the last day of the quarter, looking back to mid-1987. As a pair, the Russell has outperformed the Dow 75% of the time, and gains on winning pairs trades would have outsized losses on losing pairs trades by over 4:1. A little something to keep in mind this afternoon as you prep for end of quarter tomorrow. Note: More details about this were provided in last night’s subscriber letter. To see them, you may take a free trial.

 

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Seasonality May Again Flip This Week…To Bullish

With regards to seasonality, we are in an interesting period right now. The last couple of weeks the market played out well according to seasonal patterns. We saw March opex week put in nice gains as it often does. And then we saw the week after Quad-witching suffer losses this past week. Interestingly, the week after the 4th Friday in March has been a strong one over the last 21 years. (Not as much before that.) We can see this in the study below.

2019-03-18-1

Numbers here are very good. I’ll note that the following week could be 4 or 5 days since it is sometimes impacted by the Good Friday holiday before Easter. Below is a look at the 4-day profit curve.

2019-03-18-2

No red flags based on the curve. There appears to be a good chance the market will have a seasonal wind at its back this upcoming week. But I do have 2 concerns about the above study: 1) As already mentioned, Easter sometimes falls during this time, so some of the positive seasonality may be due to the holiday. 2) The turn of the month often offers good numbers. And early April has seen a lot of good returns over the years. Often you will get a little early-April action in the week following the 4th Friday of March. But that also is not the case this year. So the market MAY have a bullish seasonal wind at its back this week, but my confidence is a little lower in that than the seasonal studies I have shared the last couple of weeks.

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Is the $SPX Prone to a St. Patrick’s Day Hangover?

St. Patrick’s Day was yesterday. Traditionally known as the biggest drinking holiday, I wondered whether the stock market often suffered a hangover the next day. The study below looks at performance for SPX on the day after St. Patrick’s Day from 1978 – 2018.

2019-03-18-1

The numbers appear impressively bullish. Below is a look at the profit curve.

2019-03-18-2

This, too appears impressive.

Unfortunately, if we go back any further in time, the results are not nearly as compelling. So I am not sure there is a real seasonal edge here. But it does appear that the market is often able to bounce back from a night of drinking without any negative effects.

 

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