Blog | Quantifiable Edges | Assessing Market Action With Indicators & History

Back to Back Outside Days for SPY

Posted by Rob Hanna in Quantitative Study January 10, 2014

Thursday marked the 2nd day in a row that SPY posted an outside day. (An outside day is a day where the security or index makes a higher high and a lower low than the day before.) It’s quite unusual to see 2 consecutive outside days. I last examined back-to-back outside days for SPY in the 5/23/13 subscriber letter. I have updated that study below.

The numbers look very impressive.

It is also worth noting that this pattern has also done well with QQQ in the past.

A Turnaround Tuesday Setup

Posted by Rob Hanna in Quantitative Study, seasonality January 7, 2014

I’ve discussed many times in the past that Tuesdays have a well-earned reputation for being a day when the market will often halt a decline. The study below is one from the larger Turnaround Tuesday study published in the 9/25/12 blog. All statistics are updated.

As you can see the market has strongly favored a quick move higher. And when that move hasn’t happened on Tuesday it has often happened in the next few days.

Some Evidence It Is About Time For SPY To Pull Back

Posted by Rob Hanna in Quantitative Study January 2, 2014

SPY has now gone 11 days without closing below its 5ma, and it closed Tuesday at another new high. The study below is one I’ve shown a few times over the years, most recently in October. It looks at other instances in which SPY has traded above the 5ma for at least 2 weeks and is now closing at a 10-day high. All results are updated.

In the past this setup has commonly been followed by a short-term pullback. The downside edge doesn’t last long, though. It seems to pretty much play itself out over the first 2 days. It is not an overwhelming edge, but it is still worth noting that SPY has been short-term extended for a while and the normal course of action at this point is a little pullback.

Should You Quit Trading Early Today?

Posted by Rob Hanna in Intraday, Quantitative Study, seasonality December 31, 2013

The table below is from a study I showed in last night’s subscriber letter. It shows how SPY has performed every year, during the last 15 minutes of trading for the year.

On average SPY has lost 0.25% in the last 15 minutes of trading. And if you just look at the losers, the average loss was 0.345%. Last year was the 1 big up year (excitement over avoiding the Fiscal Cliff?). If you are a daytrader with a long position, this might be a good day to close up shop 15 minutes early…

VXO Is Suggesting An Immediate Pullback – Or None At All

Posted by Rob Hanna in Quantitative Study, VIX December 27, 2013

Thursday we again saw the VIX and VXO close well below their recent mean. Such stretches suggest a collapse in fear has taken place among investors. The study below looks for stretches of 15% or more below the 10-day moving average that have persisted for three days.

Based on the stats table there appears to be a downside inclination. I find the note at the bottom of the study to be especially interesting. Nearly every case has experienced an almost immediate pullback, but those that didn’t went without pulling back for a long time.

‘Twas 3 Nights Before Christmas (updated Nasdaq version)

Posted by Rob Hanna in Quantitative Study, seasonality December 20, 2013

I’ve been posting and updating the “Twas 3 Nights Before Christmas” study on the blog here since 2008. The study will kick in at today’s close. This year I will again show the Nasdaq version of the study. While all the major indices have performed well during this period, the Nasdaq Composite stands out as the big winner.

The stats in this table are strong across the board, and the note at the bottom shows reliability that has been nothing short of incredible. Traders may want to keep this one in mind over the next couple of weeks.

The Most Wonderful Tiiiiime of the Yeeeeeeaaaaaarrrrrrr!

Posted by Rob Hanna in Quantitative Study, seasonality December 16, 2013

Over several time horizons op-ex week in December has been the most bullish week of the year for the SPX. The positive seasonality actually has persisted for up to 3 weeks. I have shown the table below every year since 2008, and have updated the results again this year.

The stats here are extremely strong. Have a happy (and most likely bullish) December Opex Week!

Learn Some Fed-Based Edges at the Festival of Traders

Posted by Rob Hanna in Uncategorized December 9, 2013

I’m going to be participating the The Festival of Traders this month for the 1st time. It is a 2-day event that features presentations from 8 traders.

I’ll be speaking about Fed-based edges in regards to numerous time-frames (from short-term to long-term, and in between). My talk is scheduled for 5:30pm EST on Tuesday, Dec 10th. Time not convenient? No worries! Register using this link and recordings of all speakers will be automatically sent to you at the conclusion of the Festival.

And beyond my talk, the line-up looks very impressive. In fact, on Wednesday 2 of the 7 guys I placed on my list of “Real Deal Traders” will be talking – Scott Andrews and Dave Landry.

This is a Quantifiable Edge I suggest you take advantage of 🙂

Again, the link to register is available here. (Nothing but an email address required.)

Recent Employment Day Tendencies

Posted by Rob Hanna in Employment Days, Quantitative Study, seasonality, VIX December 6, 2013

The employment report is due to be released Friday morning. News there could certainly send the market in either direction. But anxiety about the employment report has largely been unfounded over the last year and a half. The table below was published in Wednesday night’s subscriber letter. It looks at how the VIX, XIV and SPX have all performed on employment days since 7/1/12.

These 17 instances have shown a strong propensity for the VIX to drop, and XIV and SPX to rally. We’ll see how it works out today, but the recent tendency has been bullish on employment days.

VIX Closes Up For The 7th Day In A Row While SPY Is In An Uptrend

Posted by Rob Hanna in Quantitative Study, VIX December 5, 2013

One notable bit of action is that Wednesday marked the 7th day in a row that the VIX has risen. That is a very unusual streak. I decided to look back at all other times the VIX had risen for 7 days in a row while SPY was above its 200ma. Below are results of SPY assuming a 3-day holding period.

Instances are low, but so far the returns are overwhelmingly bullish. Very little drawdown compared to both the run-up and the average trade. This appears to be worth some consideration.

A Compelling 3-day Pullback Study

Posted by Rob Hanna in Quantitative Study December 4, 2013

Tuesday marked the 3rd close lower in a row for SPY. Three-day pullbacks will often trigger a few bullish studies. The one below is the one I found most interesting. It was featured in last night’s subscriber letter. It looked at other times that SPY had a 3-day pullback from a 50-day high, and that pullback was deep enough to put it below the 10ma, but not deep enough to see it at a 10-day closing low. I have updated the stats table below.

Under these circumstances, it appears bounces have been both reliable and powerful.

A Long Term Look At Thanksgiving Wednesday

Posted by Rob Hanna in Quantitative Study, seasonality November 27, 2013

Thanksgiving has shown some pretty consistent seasonality over the years. On Monday I showed a table breaking returns down by day of the week. Both the Wednesday before and the Friday after have exhibited bullish tendencies while the Monday after has been somewhat bearish. Today I decided to show a profit curve that represents simply owning the SPX from Tuesday’s close through Wednesday’s close.

Appears to be an impressive looking upslope. Happy Thanksgiving!

An Updated Look At Thanksgiving Week Tendencies

Posted by Rob Hanna in Quantitative Study, seasonality November 25, 2013

Historically Thanksgiving week has shown some very strong tendencies. The last time I showed the table below on the blog was in 2010. I decided to update it this year.

Monday and Tuesday before Thanksgiving don’t seem to carry a sizable edge. Monday’s total return was actually negative until 2008 when it posted a gain of over 6%. Wednesday and Friday surrounding Thanksgiving have shown strong upside tendencies and the Monday after has shown a downside edge.

Back to Back Outside Days for QQQ

Posted by Rob Hanna in Quantitative Study November 14, 2013

QQQ made both a lower low and a higher high on Wednesday versus the day before. That is often referred to as an “outside day”. Outside days are not terribly unusual. What is unusual is that it happened fort eh 2nd day in a row. In the past the simple fact that range has expanded for the last 2 days has led to a short-term rally. I last showed this in the 8/22/12 blog. Below is an updated results table.

The numbers all appear impressive. I also produced an equity curve that assumed a 1-day holding period.

The persistent upslope is impressive and it serves to confirm the upside edge.

The TICK TomOscillator & How It Is Suggesting A Bounce

Posted by Rob Hanna in Quantitative Study, TICK November 8, 2013

This morning @PsychTrader was kind enough to mention Quantifiable Edges and the TICK TomOscillator on StockTwits.

The blog post he linked to was this one from May 13, 2011.

In light of this I thought I would share the study that was discussed in the subscriber letter last night that @PsychTrader referred to as the long signal. It utilized the standard TICK TomOscillator (as Tom McClellan designed it). The standard reading was -245.42 at the close yesterday. This is extremely low. In fact, there have only been 3 lower readings in the past year. The study looked at readings below -200 that coincided with a 5-day low in in SPX and an SPX close above its 200-day moving average. Here is the results table:

There has been a strong propensity for the market to bounce over the next 2-3 days. Despite the negative reaction to the jobs report, traders may want to keep this in mind.