Webinar – VIX Trading Course Preview

I am very excited to announce the release of the new Quantifiable Edges VIX Trading Course. The course is just being rolled out, and will feature live Q&A sessions over the next few weeks. There is currently a Black Friday discount for the course, which we will run through Cyber-Monday.
 
On Sunday 11/27 at 10:00am EST, and then again Monday at noon EST I will be hosting a special free webinar where I will preview some of the material and edges within the course and answer any questions you may have. Details can be found below.

Date and time: 11/27/2022 10am (Eastern Time) & again 11/28/2022 – 12:00 Noon – (Eastern Time)

If you would like a link to the recording of the webinarsimply register here.

Duration: 30 minutes + Q&A

Description: The VIX Trading Course Preview will cover the following topics:

  • Why are VIX-based securities so appealing to trade?
  • Who is the VIX Trading Course appropriate for?
  • What will be covered in the course?
  • I’ll review one sample indicator spreadsheet and share some hypothetical model stats
  • Open Q&A

Video and Screen Sharing:

Online meeting ID: robh60

Online Meeting Link: https://join.freeconferencecall.com/robh60

Alternate Dial-In Info:

Dial-in number: (605) 313-5497(U.S.) – (Note: not toll free. Free option is using link above)

Access Code: 181851#

International Dial-in Numbers: View List

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

2023 Black Friday Sale, Including the new VIX Trading Course!

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 subscription, or the Swing Trading Course, or the new VIX Trading 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 System)  – $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.
  • Quantifiable Edges Swing Trading Course – $300 off. Down from $950 to $650! Created in 2019, this is a sizable discount for our highly rated course that teaches a quantified approach to swing trading.

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.

https://quantifiableedges.com/subscribers/signup/black

Updated Thanksgiving Week Stats for 2022

Note: Later this week I will be having the annual “Black Friday” sale, which is the only sale I run during the year. If you think you might be interested in a subscription, then now might be a good time to take a free 1-week trial and see if Quantifiable Edges would be helpful for you. Also this week we expect to release the new Quantifiable Edges VIX Trading Course! More to come on that…

The time around Thanksgiving has shown some strong tendencies – both bullish and bearish. I have discussed them a number of times over the years. In the updated table below I show SPX performance results based on the day of the week around Thanksgiving. The bottom row is the Monday of Thanksgiving week. The top row is the Monday after Thanksgiving.

Thanksgiving Week Stats

Monday and Tuesday of Thanksgiving week do not show a strong, consistent edge. But the data for both Wednesday and Friday looks quite strong. Wednesday has had the most consistent gains (77.4%), and the largest average p/l of 0.3% ($301.88 on $100k.) Friday’s stats look fairly impressive, but it has not performed nearly as well over the last dozen years as it had previously. Meanwhile, the Monday after Thanksgiving has given back a good chunk of the gains that were realized on Wednesday and Friday. The worst “Monday After” came in 2008 with a 9% 1-day decline. Since then, Monday After performance has been basically breakeven.

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$NDX Performance After 5 Down Days and a 150-Day Low

The two big up days to start last week have now been followed by 5 down days in a row. And the 5-day selloff has put the NDX at a new bear-market closing low. The study below looks at other times since 1990 that NDX closed down for the 5th consecutive day and at a 150-day low.

NDX performance after 5 down days and a 150-day low

These results suggest an upside tendency. Five days later all 11 instances closed higher, with the average instance up 4.14% and the median up 3.68%. But it is also notable that the gains were not achieved without some short-term pain. The average drawdown of the 11 instances was nearly 3.5%.

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Some Views of the 2022 Bond Carnage

Bonds have had their worst year ever by many measures. And September has the potential to be the worst month ever for several bond ETFs and indices. Below I am going to show the worst months of all time for a few bond ETFs.

First, IEF, (iShares 7-10 year Treasury Bond ETF).

IEF worst months

Four of the worst ten months ever for IEF occur in 2022 (so far).

Next, AGG (iShares Core US Aggregate Bond ETF)

AGG worst months

Five of the worst ten months have come in 2022, including the 4 worst ever.

Lastly, let’s check out the US Treasury 1-3 yr Total Return Index going back to 1990.

Six of the worst 12 months ever have occurred this year. No other year has more than 1 month on the list.

If you feel like your bond investments have been beating you up month after month this year…you’re right.

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When $SPX closes at a 5-day low and below the 200ma just before a Fed Day

Wednesday is a Fed Day. And a decent amount of the recent selling may be attributable to anxiety over the Fed announcement. I’ve shown Fed Days to be bullish in the past, especially when there has been a selloff heading into the Fed Day. The study below is from this past weekend’s subscriber letter. It looks at other times SPX closed at a 5-day low and below the 200ma on the day before a Fed Day.

5-low < 200ma before a Fed Day

The numbers are strongly positive, and as you can see, the setup really picked up steam starting in 2008. Below are the stats and list of instances from 2008 onward.

5-low under 200ma before Fed Day since 2008

SPX would need to close below 3873 today in order to trigger this setup. For many more studies regarding Fed Days, check out the Fed Study category here on the blog.

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RUT Down 7 Days In A Row. Gotta Bounce…Maybe?

While SPX and NDX posted small gains last Thursday, the Russell 2000 is now down 7 days in a row. I decided to examine past instances where RUT closed down 7 days in a row and under the 200ma.

RUT returns after 7 down days < 200ma

If you were hoping that 7 consecutive down days put the market so oversold that it “had” to bounce, well, these results would be disappointing. Winners to losers has been basically 50/50 but the losers have been substantially larger. Below is a look at all the instances and their 4-day results.

Buy RUT after 7 down days and sell 4 days later

Quite a few sizable declines in the mix here. The average drawdown over the 4-day period for all 18 instances was 4.6%, and the average run-up was 2.7%. In other words, volatility was high. Seven down days for RUT does not seem to assure us of anything, other than perhaps some additional volatility.

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Does Quick Drop To 20-Day Low Invalidate Recent Breadth Thrust?

A couple of weeks ago on Twitter I shared a breadth thrust study that looked at times the % of SPX stock above their 50ma quickly rose from <= 15% to >= 90% within 50 days. The results I shared can be found below.

I noted the following in the letter after examining the results…but this appears to be yet another breadth study that we can add to the growing list suggesting an upside edge over the intermediate-term. Of the 17 instances that triggered since 1957, all of them saw the SPX higher 3, 6, and 12 months later.

I have received some questions and seen some discussion on Twitter about whether the recent tumble the market has taken meant the end of the breadth thrust signal. So I looked at it a couple of ways. I noted that Friday’s selloff caused the SPX to close at a 20-day low. I then looked at other times the market quickly reversed and posted a 20-day closing low after seeing a breadth thrust like those above.

There were only 3 instances that saw such a quick dive to a 20-day low after posting a similar breadth thrust. I never like to read anything into just 3 instances. So I expanded the time period to note any instance that closed at a 20-day low within 50 days. Those results are below.

Still just 12 instances, but also still no indication that the pullback would suggest the original study has been invalidated by the recent drop. While there are bearish studies and indicators out there, I see no good reason to throw out the original breadth study. Other instances where there have been pullbacks to 20-day lows after similar breadth thrusts have all been followed by gains 2, 3, 6, and 12 months later.

I will note that I did see a “breadth collapse” study that triggered last week suggesting more downside over the next month. I wrote about that in the subscriber letter. (You may take a free trial here if you wish to see it.)

So while the 50ma breadth thrust study still appears to be a positive looking out over the longer time-frames, there is contrasting evidence for the intermediate-term. Overall, that leaves breadth readings somewhat questionable. Perhaps we will see more clarity in the weeks to come.

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Forward Performance After Bad 1st Halves Of The Year

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

2nd half of year after 1st half down 15%

Those are some impressive 2nd 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 1st half of the year.

2nd half of yr after 1st half down 10% - 15%

Results here are much different, with 5 of the 6 instances posting losses in the 2nd half of the year. Of course, this year fits in with the 1st 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

The last two weeks have been quite a wild ride. The week ending June 17th 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.

SPX performance after biggest losing week in a year is reversed the next 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

For years I have published research about the Quantifiable Edges Capitulative Breadth Indicator (CBI). In fact, the 3rd 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.

CBI >- 10 SPX <200

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.

CBI >=10 SPX < 200 17 day SPX returns

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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Fed Days: Pre vs Post-Announcement Action During Downtrends

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.

Fed Perf after announcement in down

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.)

SPY performance pre-announcement during downrends

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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A Rare “Inverse Zweig Breadth Collapse” Triggers

A few years back I wrote about Zweig Breadth Thrusts in some detail. The Zweig Thrust takes a 10-day exponential moving average of the NYSE Up Issues %. It looks for a move from < 40% to over 61.5% within a 10-day period to signal there has been a breadth thrust.

Over the last 3 days we have essentially what could be considered the inverse setup trigger. The NYSE Up Issues % 10ema has fallen from above 61.5% to under 40% in 10 trading days. Rather than a breadth thrust, we have seen a “breadth collapse”. I looked back at other times where such an “Inverse Zweig Breadth Collapse” has occurred. I found the setup to be rare. The full list of instances can be found below.

SPX performance after NYSE Breadth Collapse

There have only been 10 instances dating back to 1928, and the current instance is the 1st one since 1943, when the S&P 90 was the primary S&P index. The modern S&P 500 inception occurred in 1957. So it is fairly amazing to see a breadth collapse so unusual that it has not happened in nearly 80 years. In looking at all the instances between 1931 and 1943, results were not encouraging for the bulls. On average the market was down 2.5% five days later, down 4.3% ten days later, down 7.1% one month later, down 7.3% three months later, and down 7.7% six months later. I will not put a whole lot of faith in a signal that has not triggered in nearly 80 years. But the fact that we have seen such an extreme breadth collapse the last few days does seem notable. And it sure doesn’t appear to be market positive for the next few months.

This study appeared in this weekend’s Quantifiable Edges Subscriber Letter. You may sign up for a free trial (no obligation and no credit card required) here.

A 3x 70% Breadth Thrust Signal

The strong breadth readings over the last few days triggered one of my oldest and most favorite breadth studies.

Strong intermediate-term returns after 3x 70% Up Issue days

There are a lot of positive numbers and the edge appears to be to the upside. Results between 70 and 90 days appear especially strong and consistent. Below is the full list of 80-day results.

Instances of 3 days of 70% Up Issues Breadth from 1957 - 5/2022

That is quite the winning record. Of course every time is different, and we are facing an unfriendly Fed at the moment. But similar breadth thrusts have a strong track record of seeing more gains over the intermediate-term.

More details on this study, along with additional research and studies, can be found in this weekend’s subscriber letter. Sign up for a free trial – no credit card required.