2012 Was Another Strong Year For The Quantifiable Edges Big Time Swing System

Posted by in Uncategorized January 8, 2013
I’ve updated the Quantifiable Edges Big Time Swing System overview page with results through January 3rd, when the most recent trade closed out. There is not a trade currently open. Since the system only averages about 1 trade per month, I typically update the results bi-annually. Since the last update after July 2, 2012, through January 3, 2013, the signals produced a net return of 9.04% for SPY (including dividends, commissions of $0.01/share, and an assumed interest rate on cash of 0.1%).  This was achieved with 6 long-side trades and 0 short trades.  Five of the six trades made money.  The system is also again at new equity highs.  In total, 2012 posted a net gain of 9.12%, and 2013 is already up 2.51%.

The Big Time Swing System provides easy to follow mechanical rules. The standard parameters are not optimized and have performed quite well (they are the ones used for all performance metrics). There are only about 11 trades per year averaging 7 trading days per trade. All entries and exits are either at the open or the close. And to be sure you have everything set up properly traders may follow the private purchasers-only blog that tracks all SPY signals and possible entry/exit levels. This service is free for 12 months from the date of purchase.

For system developers looking for a system that they can use as a base to build their own system from, the Big Time Swing is an attractive option. It is all open-coded and comes complete with a substantial amount of background historical research. And since it is only in the market about ¼ of the time, it can easily be combined with other systems to provide greater efficiency of capital. Once you’re ready to try and improve the system yourself you can also refer to the system manual or the August 2010 purchaser-only webinar – both of which discuss numerous ideas for customization.

For more information and to see the updated overview sheet, click here.

If you’d like additional information about the system, or have questions, you may email BigTimeSwing @ Quantifiable Edges.com (no spaces).

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Why the Persistently Low VXO is an Uh-Oh

Posted by in Quantitative Study, VIX January 7, 2013

Both the VIX and VXO (which is the old calculation for the VIX) closed well below their 10-day average for the 3rd day in a row on Friday.  This action in VXO triggered a study that I last discussed here on the blog on July 5, 2011 (though I have discussed it in the subscriber letter a few times since).  It looks for stretches of 15% or more below the 10ma that persist for 3 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.

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1% Gaps Higher to Start the Month

Posted by in gaps, Quantitative Study January 2, 2013

Fiscal cliff news has the market set to gap up strongly this morning.  The 1st day of the month is often a strong one for stocks, but how has it done intraday when it gapped up big to begin with?  That is what I looked at this morning.

6 of the 9 instances since 2003 have closed above the open.  Gross gains have been about 2.2 times the size of gross losses, and the average trade rose a little over 0.4% from open to close.  But with instances low I wouldn’t put a lot of faith in these numbers.  Early indications favor more upside but it is certainly not a clear-cut edge.

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The Incredible Story (In A Picture) of the Last Day of the Year

Posted by in Quantitative Study, seasonality December 29, 2012

Last year in the 12/30/11 blog I showed that while the last day of the year used to be a bullish day for the market, that tendency has reversed this century. Below is an updated equity curve for the NASDAQ Composite on the last day of the year.

Closing up 29 years in a row is fairly astounding. Just as astounding is the abrupt end to the apparent edge.  I have no good explanation for why this may have changed, but it obviously has.

And that is something we always need to keep in mind. The market is constantly changing. It is important to always keep studying it, keep an open mind, and adapt as it evolves. Best to all in 2013! I hope it is a prosperous year for you and I hope Quantifiable Edges proves helpful along the way!

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What 100-day Highs In The VIX Could Imply For The Short-Term

Posted by in Quantitative Study, VIX December 27, 2012

The VIX is often referred to as the fear index.  When VIX levels are relatively high, that often suggests fear and uncertainty among market participants.  Relative highs can be measured a number of ways.  Often I will show VIX levels compared to short-term moving averages.  But an interesting study from yesterday’s Quantifinder looked at 100-day VIX highs that occurred when the SPX was not making 100-day lows.  In other words, relatively extreme fear in a market that is not making long-term lows.  The study was last seen in the 3/16/11 Subscriber Letter (click here for a free trial). I have updated it below.

The stats seem to suggest a bullish edge that persists for at least three weeks. Much of that edge is realized over the first 1-7 days.

And not only has this setup been followed by bullish inclinations over the time frames shown here, but it has also been a compelling overnight setup.  For details on the overnight implications check out today’s post on Overnight Edges.

Lastly, I also noticed this morning that Woodshedder posted a study based on the short-term VIX action last night which also appears to suggest a bullish edge.

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Twas 3 Nights Before Christmas (Again)

Posted by in Quantitative Study, seasonality December 21, 2012

Thursday’s close marked the beginning of the next seasonally strong period.  The study below is the “Twas 3 Nights Before Christmas” study, and I have shown it each year on the blog.  Results are updated.

The stats all appear quite strong.  I would note the “Max Losing Trade” column shows very mild numbers from days 1-8, with no decline being worse than 2.5%.  Of course the fiscal cliff appears to be getting us off to a rough start this morning, and we could be in danger of the worst “Day 1” of the study…

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The Most Wonderful Week Of The Year

Posted by in Quantitative Study, seasonality December 17, 2012

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 showed this last year in the 12/12/11 blog.  I’ve updated that study below to include last year’s stats.

Even though last year failed to see a move higher during opex week the stats still appear extremely strong.

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An Updated Look At Intermediate-Term Highs Just Before A Fed Day

Posted by in Fed Study, Quantitative Study December 12, 2012

Today is a Fed Day. As I have discussed many times, Fed Days generally carry an upside tendency. But this tendency is greatly impacted by certain variables. A large collection of these variables may be found here on the blog under the “Fed Day”label. And many more may be found in the “Quantifiable Edges Guide to Fed Days”.


One variable I showed in September was whether the market was already at an intermediate-term high. Today I decided to updated that study.  This time I elected to show a stats table instead of the profit curve I showed in September.




No matter how you look at it, the intermediate-term high appears to take away the edge.

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1st 5 Day Low In Over 2 Weeks – QQQ Style

Posted by in Quantitative Study December 6, 2012

Yesterday I showed a SPY study that examined the 1st 5-day low in over 2 weeks. QQQ triggered its own version on Wednesday.  I showed the QQQ version last in the 11/12/10 subscriber letter.  There I found that the edge played out favorably below the 200ma but above it the edge was not apparent.  QQQ is below the 200ma, so here are the results from that 2010 study.

The numbers here appear very strong.

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What Friday’s VIX Actions Hints At (Revisited)

Posted by in Quantitative Study, VIX December 3, 2012

Even with the SPX rising on Friday, the VIX managed to close up a bit. The VIX will typically trade in a direction opposite the SPX, so it is unusual that they both close higher. On Fridays, the VIX has a natural tendency to dip in the afternoon, so it is most unusual to see them both close higher on Friday. The study below was last seen a few months ago in 9/17/12 blog. It examines other instances of the VIX and SPX both closing higher on a Friday while the SPX is in an uptrending market. All stats are updated.

As you can see, there appears to be a decent downside edge suggested by this study. That edge primarily plays out over the first three days.

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An Intermediate-Term Breadth Signal That Triggered on Friday

Posted by in Breadth, Quantitative Study November 26, 2012

Friday was the 2nd 90% Up Volume day within 5 days.  In the past this has been a bullish indication for the intermediate-term.  Below is an updated results table from the 10/11/11 Subscriber Letter study that showed this.

While the market appears overdone short-term, the breadth thrust we saw last week appears to be a positive sign for the intermediate-term.

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A Long-Term Look At Wednesday Before Thanksgiving

Posted by in Quantitative Study, seasonality November 21, 2012

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

Looks pretty good to me.  Happy Thanksgiving!

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Intermediate-term Implications of the CBI Hitting 11 on Friday

Posted by in CBI, Quantitative Study November 19, 2012

I’ve written an awful lot about the Quantifiable Edges Capitulative Breadth Indicator (CBI) here on the blog.  The CBI moved up from 9 to 11 on Friday.  Many readers are aware that a reading of 10 or higher has been a strong short-term bullish signal over the years.  But I have not discussed intermediate-term implications of high readings before, except in the Subscriber Letter.  Below is a study from last night’s Letter with results of buying the SPX when the CBI reaches 11 or higher and then selling 20 days later.

As you can see, SPX has been a perfect 19-0 when looking out 20 days from the first CBI reading of 11+.  Drawdown stats are larger than most traders would prefer.  Still, it appears a reading of this magnitude often suggests a washout is in progress that should set the stage for at least a multi-week bounce.  We may not reach the “final” bottom here, but this study indicates we should see at least a temporary bottom form soon.

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What the Recent String of Poor Closes Could Mean for Today

Posted by in Quantitative Study November 14, 2012

Where the market closes within its daily range can be an indicator of sentiment.  Over the years I have shown studies indicating persistent closes in one direction often lead to a reversion. An example of overly-optimistic closes was shown in the July 5, 2012 blog post. We are now seeing a setup suggesting excessive pessimism. Tuesday was the fifth day in a row that SPY closed in the lower half of its daily range. The study below was shown in the 12/20/11 subscriber letter (and again last night).  It examines 1-day returns following similar strings of poor closes.

The numbers here appear to be strongly compelling and indicate a possible upside edge for Wednesday.

Also, a reminder to readers that I will be speaking at the Las Vegas Traders Expo on Saturday.  In my talk I will be sharing a lot of my favorite overnight research.  I look forward to meeting several of you!

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