Prep for the Fed Day with Quantifiable Edges Free Webinar

I am going to do a brief webinar on Monday covering my favorite Fed Day edges so that traders may prepare for Wednesday’s action ahead of time. I have published a large amount of research over the years related to Fed Days, some of which can be found on the blog. The Quantifiable Edges Fed Day Prep Webinar will be on Monday, July 29th at 4:15pm EST (shortly after the NYSE close). To sign up, just use the link below. The presentation will be about 20 minutes, highlighting some of the strongest edges related to Fed Days, and some things to watch out for as we approach it. I will also stick around for Q&A afterwards.

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

And in case the time is not convenient for you, anyone that signs up for the webinar will receive a link to the recording.

 

 

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The $VIX / $SPX Action Is Suggesting A Brief Pullback

While the SPX closed up the VIX also rose. Most often they trade opposite each other, so this kind of action is somewhat unusual. But VIX has a tendency to decline going into the weekend (Friday afternoons), and then rise when it returns from the weekend. So to see this action on the first trading day of the week is less unusual than at any other time. Still, combined with the SPX 50-day high, it has often been followed by a dip in the next few days. This can be seen in the study below, which appeared in Monday’s Quantifinder.

2019-07-16

Results here appear somewhat bearish over the 1st 1-2 days, and suggest a brief pullback is likely. But I am also seeing evidence that the persistent move up to new highs reduces the probability of a substantial selloff in the near-term. So while there appears to be a possible short-term downside edge based on the study above, I don’t view the current setup as very compelling for shorts. This is something I discussed in more detail in last night’s subscriber letter. (Click here for a free trial.)

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Trader Feedback On Quant Edges Swing Trading Course

The first group of traders has now completed the Quant Edges Swing Trading Course, and the feedback we received has been tremendous. The course is self-paced, and all Q&A sessions were documented and recorded, so you won’t miss out any anything if you decide to take it now.

Below is a sampling of the feedback we received:

The course is well organized and well presented. The level of detail and coverage was impressive. It was great to see the thought process involved when evaluating an edge. I especially liked the spreadsheets because of their detail and sorting capabilities. This allowed me to see how strategies performed in different environments. The Amibroker code was also a big plus.

 

I had done no quant studies or analysis before this course and was looking for a good intro and this one was excellent. It gave me good insight into how to look for tendencies via raw studies, try to combine those into a strategy and test that. And Rob expanded the course to various areas to lots of interesting and (to me) new ideas I hadn’t thought of such as Double B, SOMA flows and that you can’t rely on historical NYSE/SPX opening data, among many of the gems and insights of the course. This is a course whose material I’ll need to go through 4 or 5 times to really absorb.

 

Learned a lot about how quantitative trading works and it gave me a great stepping stone into learning how to develop systems and motivated me to learn how to code in AFL and use Amibroker, which I did not even know existed prior to the course. Basic systems coding in Amibroker was surprisingly easy to learn coming from a non programming background.

 

Rob put in great effort to continue to build out the course through the Q&A and added content to provide more information for course participants. Rob’s effort and additional work moved this course from an 8 to a 10 for me.

 

The build up from tendencies (studies) to strategies was excellent. Discussion of the generally “right number” of indicators to have in a strategy. Having most of the studies/strategies be independent of Quantifiable Edges proprietary work (Aggregator, CBI) but also showing that they can be integrated is appreciated. The Fed and SOMA work was all new to me so really great and insightful. Providing the spreadsheets and Amibroker code – thank you! Good references for following work and reading (e.g., Bandy’s work). The extra effort Rob put in to answer a boat load of questions in each section was well appreciated. That helped round out much of the material in the course and put things in context.

 

Looking at how each input (the vix, days up/down etc) affects returns was great. The best section to me was the one that put several of the inputs together and studied how to use them in conjunction with each other to build a robust system.

 

I am more of a position trader (2-8 weeks). Even though the timeframe was too short for my taste, I learned plenty from your research process, explanations and techniques. Thanks!

 

Informative, well explained, and for me just plain fun!

 

I cannot compliment you enough on the depth and detail you go into during the course. Though I have traded for many years, the value I received from this course was incredible.

Since new course participants will only have access to the recordings of the Q&A sessions, each new purchase comes complete with 1 hour of Q&A / consulting from Rob. Join our group of graduates and incorporate quant edges into your swing trading today!

The Fed’s Driving With A Foot On Each Pedal

Part of the reason the market has rallied over the past few days is an indication that a rate cut is likely coming as soon as the next Fed meeting. It is interesting timing for the Fed to begin cutting rates, since their QT program still remains in place (though it is winding down). By reducing the SOMA at the same time they are cutting rates, the Fed is basically going to be driving with one foot on each pedal. They’ll be instituting both a contractionary policy and a stimulative policy at the same time. While curious, that is not unprecedented. I decided to examine SPX performance since 2003 during weeks where 1) the most recent interest rate move was lower, and 2) the SOMA contracted. Results of starting with a $10,000 portfolio and not including any trading costs can be seen below.

2019-07-15

Results overall have been fairly poor, and very inconsistent. Not terribly encouraging. Of course rates were already at zero for many of the past instances. And the SOMA decreases occurred during policies like Operation Twist, where there was not actually an overall reduction in the SOMA, but rather week to week oscillations. So past comparisons like in the chart above are not perfect. If the Fed does cut rates, it would also be very unusual from the standpoint that the market is currently at new highs. Looking back to 1990, the only other instance I could find where the Fed began a rate cutting cycle while the SPX was within 1% of a 200-day high was in July of 1995. That rate cut was followed by 7 months of continued rallying for the market. Bottom line is that I am seeing mixed messages using difficult comparables with regards to the Fed. Anticipating market reaction in such an environment can be difficult. I will likely be relying more on some of my other indicators in the coming months to help set my market bias.

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Post Opex Weakness Typical in June

In March I discussed how the weeks following options expiration in March, June, and September have been the worst 3 weeks of the year. Below I have updated the June stats and profit, which I also showed last June.

2019-06-23

The strong, steady downslope and bearish numbers suggest we are entering a very weak seasonal period. It will be interesting to see how the market holds up this week, and whether the recent strong upside momentum can overcome the bearish headwind.

 

Speaking of headwinds, the Quantifiable Edges MS Ride fundraiser is ongoing, and readers generosity to this point has been outstanding. Unfortunately, I broke my wrist last week playing basketball. So I will not be able to face the Cape Cod headwinds on my bike. But I will still be volunteering for the weekend and helping raise funds towards the cause. More info on how to contribute and how to receive research and discounts from Quantifiable Edges with your donations can be found here.

Discounts, Code, & Research Available from Quantifiable Edges to Help Fight Multiple Sclerosis (MS)!

The last two years Quantifiable Edges readers helped me raise over $4000 each year for Multiple Sclerosis (MS), and this year I am again upping the incentive for people to donate!  I am happy for any size donation, but I have again created 2 donation levels this year so that people are incented to give more:

 

Thank You Level:

One bit of research that Quantifiable Edges has become known for are the many studies I have published on Fed Days. In fact, you could say I wrote the book on Fed Days. And the pdf version of that book sells for $25. But between now and June 30th I will send you a zip file containing the following if you make any size donation to my MS fund raiser page.

  1. The Quantifiable Edges Guide to Fed Days (pdf version)
  2. My “Fed Day” code for both Tradestation and Amibroker (new this year) that identifies every Fed Day from 1980 –2020.  (Updated from last year’s code with the new scheduled Fed meeting dates).
  3. Text file versions of the code in case you do not use Tradesation or Amibroker, but still want the full list of dates, or to translate the code into another program for your own testing.

Note that the code has only been offered with the book as part of the MS fundraiser. So even if you already have the book – make a donation and get the code!  Or if you donated last year, get the updated code!

 

Big Thank You Level:

Donate $35 or more and you will get everything above and I will also include a coupon good for $50 off any Quantifiable Edges Products, other than recurring (gold or silver) subscriptions.  This includes systems, courses, code, or research that Quantifiable Edges has to offer.  And if you want to use the coupon towards the new Quant Edges Swing Trading Course between now and when fundraising ends, I’ll make that $50 coupon a $150 coupon!  Quantifiable Edges will be coming out with more products later this year.  So even if you already own everything, you can still apply your $50 coupon to future offerings.  There is no expiration date.  And while it can only be used once per person, if you donated last year and have not yet used that coupon, then I can set it up so you can combine the 2018 and 2019 $50 coupons into one $100 coupon if you wish.

 

Why am I doing this?

Check out my personal fundraising page to learn the story of how I became involved in raising money for MS.

 

I’ll put in the training, endure the pain, and brave the traffic, but I need your help in fundraising efforts!

 

The Process:

1) Go to my personal fund raising page:

https://main.nationalmssociety.org/goto/olderslower

 

2) Make a donation of any size (but feel free to be generous!).  Note: The MS donation page makes it look like the min amount is $35.  But you can click the “other amount” button on the right and enter whatever amount you feel appropriate.  ($35 is the minimum to get the $50 coupon.)  Even small gifts are greatly appreciated!

 

3) Send an email to support@quantifiableedges.com with your receipt from the MS Society, and within 24 hours we will send you the above Quantifiable Edge Fed Day MS Ride package, (if your donation is $35 or more, please specify whether you prefer the $50 off anything coupon or the $150 off the Quant Edges Swing Trading Course). If you don’t receive the package in 24 hours, feel free to send us a 2nd email, because that means we likely missed the 1st one, or post a comment below letting us know we somehow missed it!

 

Thanks for your support and generosity! I hope the Quantifiable Edges Fed Day MS Ride package will pay you back your donation size and much more in your trading accounts!  And I hope together we can make a big positive difference in the fight against MS!

NYSE New Highs Come In Extremely Strong Shortly After SPX New Low

One notable from Friday was that the number of NYSE new highs expanded to the largest number in over a year. That’s quite remarkable considering the SPX closed at a 50-day low just 4 days ago. In looking at my new high data going back to 1970, I looked for other times where the NYSE new highs count reached the largest level in over a year within 1 week of a 50-day SPX low. I only found 3 other instances. All 3 saw further rallying over the next month, but returns after 1 month were very different. Charts of each instance can be found below.

2019-06-09-1

2019-06-09-2

2019-06-09-3

So the previous 3 times we saw such an extreme there were solid gains posted over the next month, but no consistency after that. Of course three instances is too few to put any real faith in. Still, I thought the action was interesting and notable, even if for nothing else than it is so unusual.

 

Feedback on the Quant Edges Swing Trading Course has been tremendous, and live Q&A Sessions are set to continue through June 20th. Sign up today and you can still take part in the live sessions!

The Quantifiable Edges CBI Rises 10 Points In One Day

The Quantifiable Edges CBI has spiked over the last few days. After closing at a basically neutral “4” on Wednesday, it rose to 6 on Thursday, and then posted an extra-large jump higher to 16 on Friday. In the CBI Research Paper I showed that a CBI total of 10 or more has generally been a bullish sign. But Friday saw the CBI rise by 10 points on just that day. That is a very strong 1-day change. Below I examined all other instances where the CBI spiked by at least 10 points in 1 day.

2019-06-02-1

The setup is rare, but there are some very strong numbers here. Over the next week the average instance gained 3.85%, and the average 18-day % gain was 6.7%. Below is a look at all the individual instances.

2019-06-02-2

It appears the bounces have typically been strong, but they have not always been immediate. 2002, 2008, and 2015 all show some additional scary selling before the big reversal arrived. The CBI is suggesting a strong chance of a sizable bounce at some point this week. It may or may not begin on Monday.

 

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An Updated Look At Memorial Week Historical $SPX Performance

The week of Memorial Day has shown some interesting seasonal tendencies over the years. But it has been less consistent recently. The chart below is one I have shown in the past, and have now updated. It examines SPX performance from the Friday before Memorial Day to the Friday after it.

2019-05-24

There was no substantial edge apparent throughout the 70s, but starting in 1983 through 2009 there was a bullish tendency. The last 9 years this week has been inconsistent. That said, Thursday continues to look seasonally strong, and I will update that study later this week.

 

Note:  I have received a ton of positive feedback on the Quant Edges Swing Trading Course, and also tons of questions from people considering it.  Because of all the questions, I have decided to extend the “earlybird” discount through the weekend.  Our first Q&A Session was yesterday, and the next one will be Tuesday.  Sign up by Monday to take advantage of the discount and to be able to attend Tuesday’s class.

 

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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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