# Quantifiable Edges

> Original quantitative market research and trading studies by Rob Hanna,
> published continuously since 2008. Audience: serious retail traders and
> institutional market participants. Voice is first-person, data-forward,
> and direct — every claim is backed by a study with stated methodology
> and sample size.

The site contains 1,400+ blog posts covering market studies, proprietary
indicators, breadth analysis, gap patterns, IBD Follow Through Days,
seasonality, VIX behavior, and event-driven setups (Fed days, options
expiration, holidays, new presidents/Fed chairmen). Rob also publishes the
nightly Quantifiable Edges Subscriber Letter and runs an investment
advisory practice at Capital Advisors 360.

## About the author

- [Rob Hanna — About](https://quantifiableedges.com/about-rob/): bio,
  credentials, the Quantifiable Edges thesis, and links to Rob's external
  profiles (LinkedIn, Capital Advisors 360, Substack, X/Twitter, Bluesky,
  YouTube, StockTwits).

## Courses

- [Quantifiable Edges Market Dynamics Course — Expanded 2nd Edition](https://quantifiableedges.com/course/quantifiable-edges-market-timing-course-expanded-2nd-edition/):
  the flagship course. Quant-driven combination models for market bias,
  with a Fed Liquidity indicator added in the 2023 expansion. All three
  original combination models have outperformed buy-and-hold SPX with
  reduced drawdown and exposure since the 2014 release.
- [Quantifiable Edges VIX Trading Course](https://quantifiableedges.com/course/the-quantifiable-edges-vix-trading-course/):
  VIX-based trading techniques, including the methods underlying Rob's
  2024 NAAIM Founders Award-winning whitepaper "Chicken & Egg: Should
  you use the VIX to time the SPX?"

## Proprietary indicators and tools

- [Capitulative Breadth Indicator (CBI)](https://quantifiableedges.com/my-capitulative-breadth-indicator/):
  Rob's signature mean-reversion indicator. Measures the breadth of
  capitulative selling among large-cap stocks. Traded since 2005.
  Reading thresholds of 7 and 10 mark extreme capitulation.
- [QE CBI Research Paper](https://quantifiableedges.com/intraducing-the-quantifiable-edges-cbi-research-paper/):
  free downloadable research paper documenting every CBI spike since 1995,
  with comprehensive stats and charts.
- [CBI Hits 10 — Strategy Study](https://quantifiableedges.com/cbi-hits-10-a-study/):
  buying SPX at CBI 10+ and exiting at 3 or lower. Last 9 instances all
  closed higher.
- [Quantifiable Edges Aggregator](https://quantifiableedges.com/the-quantifiable-edges-aggregator/):
  proprietary composite that tallies projected returns across all active
  studies in the nightly Subscriber Letter to produce a single daily
  market bias.
- [QE Aggregator — Methodology Deep Dive](https://quantifiableedges.com/how-the-quantifiable-edges-aggregator-uses-expectations-and-riskreward-analysis-to-establish-a-reliable-market-bias/):
  how the Aggregator uses expectations and risk/reward analysis to combine
  multiple disagreeing indicators into one bias signal.
- [Catapult System + CBI Walkthrough](https://quantifiableedges.com/using-qe-to-your-advantage-subscriber-tools-1-the-catapult-the-cbi/):
  the Catapult System (mean-reversion complement to trend following) and
  how it pairs with the CBI for explosive reversal entries.

## Breadth thrust signals

Breadth thrusts are a core QE specialty.

- [Zweig Breadth Thrust](https://quantifiableedges.com/the-zweig-breadth-thrust-signal/):
  Martin Zweig's signal (10-day EMA of NYSE Up Issues % crosses 61.5% from
  below 40%). All 7 triggers since 1970 closed higher 20 days later with
  minimum 3% gains.
- [Triple-70 Breadth Thrust](https://quantifiableedges.com/triple-70-breadth-thrust-triggers/):
  3 consecutive days of NYSE Up Issues % above 70%. Rob's oldest and most
  favored breadth study. Strong intermediate-term upside, especially
  70-90 days out.
- [Unprecedented Breadth Thrust Trifecta](https://quantifiableedges.com/an-unprecedented-breadth-trifecta-has-triggered/):
  first-ever simultaneous trigger of Triple-70, Deemer Breakaway Momentum
  (BAM), and Whaley Advance/Decline Thrust (ADT5). Bullish track record
  whenever 2 of 3 fire on the same day.
- [Inverse Zweig Breadth Collapse](https://quantifiableedges.com/a-rare-inverse-zweig-breadth-collapse-triggers/):
  the bearish counterpart. Only 10 instances since 1928; the 2022 trigger
  was the first since 1943.

## Gap patterns

Gap behavior is one of the most heavily researched topics in the QE archive.

- [Two Unfilled Up Gaps + 50-Day High](https://quantifiableedges.com/2-unfilled-up-gaps-and-a-50-day-high/):
  consistent short-term follow-through edge after two consecutive unfilled
  up gaps closing at a 50-day high.
- [SPY Unfilled Gap Up Then Gap Down](https://quantifiableedges.com/what-the-2-day-gap-pattern-in-spy-suggests-for-the-next-few-days/):
  reversal pattern. Unfilled gap up immediately followed by unfilled gap
  down has led to further short-term weakness.
- [Breakaway Gaps on a 50-Day High Breakout](https://quantifiableedges.com/short-term-momentum-from-breakaway-gaps/):
  unfilled gap on a breakout produces strong 5-day momentum; without the
  gap, no edge.
- [Two Unfilled Down Gaps Below the 200-Day](https://quantifiableedges.com/two-unfilled-down-gaps-for-spy-good-news/):
  bullish 5-day edge in long-term downtrends.
- [Intraday Performance After a Massive Gap Down](https://quantifiableedges.com/intraday-performance-after-a-massive-gap-down/):
  open-to-close behavior after outsized gap-down opens.
- [SPY Gap Partial-Fill Pattern](https://quantifiableedges.com/a-spy-gap-partial-fill-pattern-suggesting-more-upside/):
  partially filled up gap that closes high has produced upside follow-through.

## IBD Follow Through Days (full quantitative analysis)

QE has the most rigorous publicly available quantitative analysis of
William O'Neil / Investor's Business Daily Follow Through Days.

- [FTD Series Intro: Do They Provide a Quantifiable Edge?](https://quantifiableedges.com/do-ibd-follow-through-days-provide-a-quantifiable-edge-intro/)
- [Part 1: Are They Predictive?](https://quantifiableedges.com/ibd-follow-through-days-pt-1-are-they-predictive/)
- [Part 2: Does Every Rally Have One?](https://quantifiableedges.com/follow-through-days-pt-2-does-every-rally-have-one/)
- [Part 3: Do They Miss Too Much of the Rally?](https://quantifiableedges.com/follow-through-days-pt-3-do-they-miss-too-much-of-the-move/)
- [FTDs Quantified — Summary](https://quantifiableedges.com/follow-through-days-quantified/):
  consolidated finding: ~55% success rate (vs. IBD's claimed 70-80%) and
  FTDs typically arrive within 10 days of the bottom.
- [FTD on a 20-Day SPX High](https://quantifiableedges.com/a-20-day-closing-high-on-a-follow-through-day-ftd-has-provided-a-bullish-edge/):
  particularly bullish variant. 10 of 13 instances saw "successful" rallies.
- [Moderate-Breadth FTDs: Only 20% Succeed](https://quantifiableedges.com/follow-through-days-that-occur-with-moderate-breadth-moderate-volume-have-struggled-historically/):
  FTDs that trigger without strong breadth and volume have failed badly.

## Cross patterns (Golden Cross / Death Cross)

- [SPX Golden Crosses Since 1928](https://quantifiableedges.com/spx-golden-crosses-since-1928/):
  every Golden Cross since the S&P 90 era. Effective bear-market filter
  after 1961; less reliable before.
- [97 Years of Death Crosses](https://quantifiableedges.com/97-years-of-death-crosses/):
  the bearish counterpart back to the late 1920s.
- [Russell 2000 Death Crosses Since 1988](https://quantifiableedges.com/the-history-of-russell-2000-death-crosses-spx-performance-following-them/):
  small-cap Death Crosses and what they've meant for SPX forward returns.

## Seasonality

- [Op-Ex Week by Month Since 1984](https://quantifiableedges.com/opex-week-by-month-and-the-2020-impact-on-march-stats/):
  S&P 500 options expiration week performance by month. March, April,
  October, and December have been the strongest historically.
- [The Weakest Week of the Year](https://quantifiableedges.com/a-long-term-look-at-the-weakest-week/):
  the week after monthly op-ex has averaged -0.9% on SPX since 1960 —
  the most consistently bearish week of the year.
- [Thanksgiving Week SPX Day-of-Week Stats](https://quantifiableedges.com/an-updated-look-at-thanksgiving-week-stats/):
  Wednesday wins 76.9% of the time; Friday strong historically;
  Monday-after gives most of it back.
- [Labor Day Week Reversal Tendency](https://quantifiableedges.com/the-reversal-tendency-of-labor-day-week/):
  Labor Day week tends to invert the prior month's momentum.
- [First Trading Day of the Month](https://quantifiableedges.com/first-trading-day-of-the-month-has-generally-been-strong-except-august/):
  by-month seasonality. July strongest; August is the only month with a
  negative average Day 1 return.
- [Last Day of the Year](https://quantifiableedges.com/what-the-last-day-of-the-year-can-teach-us-about-research-and-trading/):
  NASDAQ's 29-year up streak inverted at the turn of the century — a
  lesson in how edges fade and how to update research over time.

## VIX and volatility

- [Is a Low VIX a Short Trigger?](https://quantifiableedges.com/is-a-low-vix-a-short-trigger/):
  Connors-style mean-reversion test of stretched VIX readings below
  the 10-day moving average.
- [Rare October VIX Year-to-Date Low](https://quantifiableedges.com/a-rare-year-to-date-vix-low-in-october/):
  only 6 instances since 1990. SPX forward returns 2-12 months later.

## Breadth and market structure

- [McClellan Oscillator: Quantifying NYSE Breadth Extremes](https://quantifiableedges.com/what-the-mcclellan-oscillator-is-suggesting/):
  Sherman and Marian McClellan's breadth oscillator (NYSE advancing minus
  declining issues) and what extreme readings have meant for SPX.
- [NYSE Closing TICK as an Indicator](https://quantifiableedges.com/how-the-nyse-closing-tick-can-be-utilized-as-a-valuable-indicator/):
  Tom McClellan's TICK oscillator (10-day MA of closing TICK minus its
  10-day MA) for spotting overbought/oversold conditions.
- [Split Market: 8+ Days of NYSE New Highs AND New Lows](https://quantifiableedges.com/our-extremely-split-market-what-that-has-meant-historically/):
  Hindenburg-Omen-related study. What persistent split-market regimes
  have historically meant for SPX.

## Event-driven setups

- [Equity Put/Call Ratio at Historical Extreme](https://quantifiableedges.com/equity-put-call-ratio-at-historical-extreme/):
  one of the strongest historical sentiment extremes Rob has documented.
- [Strong Selling Before a Fed Day](https://quantifiableedges.com/strong-selling-the-day-before-a-fed-day/):
  SPX bullish edge when the day before a Fed Day closes down 1%+ in the
  bottom half of its range.
- [Performance After a New Fed Chairman](https://quantifiableedges.com/a-closer-look-at-historical-performance-following-new-fed-chairmen/):
  SPX returns 15 and 50 days after new Fed Chairman start dates. Last
  10 transitions all saw the Dow higher 15 days later.
- [SPX Performance Under New Presidents](https://quantifiableedges.com/market-returns-with-new-presidents/):
  Inauguration Day SPX performance for newly elected (not re-elected,
  not unelected) presidents.
- [SPX After Big Friday Selloffs](https://quantifiableedges.com/spx-performance-following-big-friday-selloffs/):
  Friday selloffs of 2.5%+ have bounced by Tuesday afternoon since 1987.
- [Turnaround Tuesday — 2-Day Pullback Bounce](https://quantifiableedges.com/a-simple-turnaround-tuesday-study/):
  the Turnaround Tuesday bounce tendency when SPX is below the 200ma.

## Research methodology

- [How to Read QE Studies (Series Part 1)](https://quantifiableedges.com/using-quantifiable-edges-to-your-advantage-part-1-understanding-the-study-layout/):
  the layout of every QE study table — what each column means and how
  to interpret sample size, win rate, average P/L, and drawdown columns.
- [How Many Instances Do You Need?](https://quantifiableedges.com/how-many-instances-are-needed-when-considering-study-results/):
  judging whether a quant study has enough instances to be statistically
  usable in trading.
- [Optimal f Position Sizing — Why "Optimal" Often Isn't](https://quantifiableedges.com/my-take-on-optimal-position-sizing/):
  Ralph Vince's formula and why mathematically optimal sizing usually
  isn't what to use in practice.
- [First Profitable Close Exit Strategy](https://quantifiableedges.com/the-1st-profitable-close-exit-strategy-when-its-appropriate/):
  when this exit makes sense (choppy regimes) and when it doesn't.
- [Distribution Days Quantified](https://quantifiableedges.com/distribution-days-quantified/):
  rigorous test of the IBD distribution-days concept.

## External recognition

- [Rob Hanna Wins 2024 NAAIM Founders Award](https://quantifiableedges.com/rob-hanna-wins-the-2024-naaim-founders-award/):
  Rob's whitepaper "Chicken & Egg: Should you use the VIX to time the SPX?"
  won the 2024 NAAIM (National Association of Active Investment Managers)
  Founders Award — the active-investment-management whitepaper competition.
- [Better System Trader Podcast (2024)](https://quantifiableedges.com/talking-vix-trading-and-my-naaim-whitepaper-with-andrew-swanscott/):
  Rob's 2024 interview with Andrew Swanscott on VIX trading and the
  NAAIM whitepaper.