The study below is one I have shown a few times in the past. It suggests that when SPY closes strong (in the top 10% of its range) but still only manages a small gain on the day, that the next day has a downside tendency. Here is the stats table.

As you can see the numbers imply a bit of a bearish inclination. It appears that when the market needs to expend a fair amount of energy just to squeak out a small gain, that its lack of momentum is often followed by a swing back in the opposite direction the next day.

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The studies below appeared in the Quantifinder yesterday and the Gold Subscriber Letter last night. The first one looked at times the SPY bounced up 2 days in a row but still failed to close above the close of 3 days ago.

The stats suggest a moderate upside edge over the 1st 2 days.

To see the importance of the “close < 3 days ago” filter let’s also examine those times when the 2-day rally was strong enough to close above the close of 3 days ago. Those results are below.

As you can see, that small change makes a big difference. Two days out total gains are about the same despite the fact that there are about 5 times as many instances.

Of course today is a Fed Day…

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Quantifiable Edges has provided quantitative research and analysis since 2008.  But until now we have never released a product focused on long-term market timing.  That changed Wednesday with the release of the Quantifiable Edges Market Timing Course!

Whether you are an inexperienced trader looking to improve your approach to timing your investments, or an active trader with an eye towards better determining your intermediate to long-term market bias, the Quantifiable Edges Market Timing Course has something for you.

In the course I share 4 time-tested long-term market timing indicators. I show exactly how each one works, and provide detailed historical information about each of them. I then builds on the concepts and shows how different combinations would’ve performed over time.

Below are some of the features included with the course.

• The course is divided into 10 “lessons”. Each of these is between 3-11 minutes long. Upon completion of the course, students may go back and review any of the lessons at any time.
• The lessons total about 1.25 hours of video instruction detailing the indicators, their history, different combinations, and expert analysis, including a discussion of how investors may want to utilize the indicators going forward.
• Detailed spreadsheets are provided that include calculations for the price-based indicators and full signal history dating back to at least 1971 and as far as 1960.
• Tradestation code is also provided, along with preset workspaces with the price-based indicators and strategies applied.
• Detailed Excel spreadsheets are provided at the end of the course, which show signals and performance metrics for all of the combinations discussed.
• Access to the Market Timing Course Indicator Charts page, where students can check the status of the indicators covered at any time.

For more information, check out the Market Timing Course signup page.

Strong selloffs to low levels during long-term uptrends often generate favorable buying opportunities. Quantifiable Edges had a number of studies that triggered on Thursday afternoon that exemplified this concept. Below is just one example. It examines 2% drops that close at both the bottom of their daily range and their 10-day range.

The 1-2 days results here are especially intriguing. They suggest a good chance of a bounce.

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The new all=time intraday high Friday for SPX came on a day when NDX had its worst day in over a year. There has never been another time where SPX made a 200-day intraday high while NDX had its worst drop of the last 200 days. Loosening the criteria to a 50-day high for SPX and the biggest drop in 50-days for NDX there have been 5 instances.

Too few occurrences to put much confidence in an edge, but the limited results are fairly impressive. I note that every instance had a run-up of at least 5%, and the largest drawdown was under 3.2%.

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The way SPY has gapped and reversed the last couple of days triggered an interesting study in the Quantifinder. An updated version of that study is below.

It appears the choppy conditions may continue and the next chop is a little more likely to take the market lower. The edge isn’t huge but risk/reward has seemed to favor the bears.

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