Quant Mashup - Quantifiable Edges
When The Market Gaps Down Huge During A Long-Term Uptrend [Quantifiable Edges]
With corona virus news scaring the market pre-open today, I decided to look back at other time SPY has gapped down more than 2% when it had been in a long-term uptrend. As you might suspect, instances have been fairly rare. Looking ack to SPY inception, there were only 16 other instances. And upping
- 4 years ago, 24 Feb 2020, 09:49am -
Persistency Beyond Almost All Other Rallies [Quantifiable Edges]
Last week I noted the current rally was reaching historical extremes for persistency. Here I will look at another study from the subscriber letter, and then update last week’s study. In last night’s letter I looked at all times back to the inception of the NASDAQ in 1971 in which both SPX and
- 5 years ago, 22 Jan 2020, 10:27pm -
The Most Wonderful Week of the Year…Until Last Year [Quantifiable Edges]
I have written many times over the years about the bullish tendency of the market during opex week in December. I’ve even referred to it as “The Most Wonderful Week of the Year”. And it was…up until last year. So below is an updated look at the stats and profit curve for owning SPX from the
- 5 years ago, 16 Dec 2019, 09:46am -
Historical Fed Day Performance By Chairperson [Quantifiable Edges]
I have written about Fed Day edges for years. Much of the research can be found in the Fed Study category blog posts. Today I decided to share a chart showing historical performance on Fed Days over the course of the last 5 Fed chairpeople. 2019-12-10 Have a happy Fed Day tomorrow!
- 5 years ago, 11 Dec 2019, 03:06am -
When the Wednesday Before Thanksgiving Closes at a New High [Quantifiable Edges]
Thanksgiving has some seasonal tendencies, with Wednesday and Friday often being bullish, and the Monday after being bearish. This year not only did Wednesday perform well, but it left the SPX at a new high heading into the holiday. So I decided to look back at other times SPX closed at a 50-day
- 5 years ago, 29 Nov 2019, 05:32am -
One Look At What Recent SPX Persistence Might Mean [Quantifiable Edges]
One compelling study that triggered Tuesday in the Quantifinder suggested the recent persistent upmove is unlikely to abruptly end. (This is a theme we have seen many times over the years.) It considers what happens after the market moves up at least 5 days in a row to a 50-day high, and then pulls
- 5 years ago, 20 Nov 2019, 09:32am -
2 Unfilled Up Gaps And A 50-Day High [Quantifiable Edges]
Monday not only saw SPY make a 50-day high, but it was also the 2nd day in a row with an unfilled gap up. The study below is from last night’s letter and was previously discussed several other times in the subscriber letter (click here for free trial). It examined other times SPY left at least 2
- 5 years ago, 5 Nov 2019, 09:38am -
A Columbus Day Edge Revisited [Quantifiable Edges]
While the stock market is open on Monday, banks, schools, government offices, and the bond market are closed. In past years with the bond market closed, the stock market has done quite well on Columbus Day. Of course the most famous Columbus Day rally was in 2008 when the market gained over 11%
- 5 years ago, 14 Oct 2019, 09:37am -
The Weakest Week (2019 update) [Quantifiable Edges]
As I have shown many times in the past, there isn’t a more reliable time of the year to have a selloff than this upcoming week. I have often referred to is as “The Weakest Week”. Since 1960 the week following the 3rd Friday in September has produced the most bearish results of any week. Below
- 5 years ago, 21 Sep 2019, 02:55am -
An Updated Look At SPX Performance After Labor Day [Quantifiable Edges]
A couple of years ago on the blog I showed a study suggesting that Labor Day week performance has been somewhat dependent on whether the market has rallied over the 20 trading days leading up to it. I decided to update that study today. Below is a look at post-Labor Day performance when the previous
- 5 years ago, 3 Sep 2019, 08:25am -
A Historical Look at Opex Week in August [Quantifiable Edges]
It is options expiration week this week. Options expiration weeks often have a bullish tendency. You can see it broken down by month in this post from March. But the summer months of June, July, & August have not seen that same bullish tendency. August’s performance has actually been net
- 5 years ago, 12 Aug 2019, 10:32am -
The $VIX / $SPX Action Is Suggesting A Brief Pullback [Quantifiable Edges]
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
- 5 years ago, 16 Jul 2019, 12:55pm -
The Fed’s Driving With A Foot On Each Pedal [Quantifiable Edges]
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
- 5 years ago, 15 Jul 2019, 01:19pm -
Post Opex Weakness Typical in June [Quantifiable Edges]
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
- 5 years ago, 23 Jun 2019, 09:37pm -
An Updated Look At Memorial Week Historical $SPX Performance [Quantifiable Edges]
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
- 5 years ago, 27 May 2019, 03:07am -
Why The Failed Bounce Is Not A Signal To Sell [Quantifiable Edges]
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
- 5 years ago, 14 May 2019, 10:52am -
CBI Hits 10+ While $SPX is in a Long-Term Uptrend [Quantifiable Edges]
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
- 5 years ago, 10 May 2019, 10:16am -
When QQQ Gaps Down Big From A High [Quantifiable Edges]
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
- 5 years ago, 6 May 2019, 10:09am -
When the Jobs Report Sparks the NASDAQ to Rally to a New High [Quantifiable Edges]
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
- 5 years ago, 5 May 2019, 02:33pm -
Tops Wobble Before Falling Over [Quantifiable Edges]
I’ve shown numerous studies in the past that suggest uptrends often become choppy before they ultimately end. It is highly unusual for an uptrend that is showing strong persistence to abruptly top out. The study below demonstrates this concept. The persistent uptrend of late has kept SPX above its
- 5 years ago, 2 May 2019, 01:03pm -
The Recent $RUT / $SPX Divergence And Why It Might Be Bullish [Quantifiable Edges]
One aspect of recent market action that is interesting is the weakness in the Russell vs the SPX over the last few days. While some may worry the divergence is concerning, an old Quantifinder study that appeared last night indicates the setup is likely suggestive of an upside edge. It looked at
- 5 years ago, 23 Apr 2019, 10:23am -
The Problem With Unfilled Gaps Down From Intermediate-Term Highs [Quantifiable Edges]
I saw some bullish studies emerge last night. But there was a study below that was not favorable that I thought readers would find interesting. One potential issue with Tuesday’s decline is that it included an unfilled gap down. Generally, an unfilled gap down from a high has more trouble quickly
- 5 years ago, 10 Apr 2019, 01:48pm -
Low Volume At Highs Does Not Provide The Short-Term Bearish Edge It Once Did [Quantifiable Edges]
Years ago, strong overbought readings during an uptrend were easily sold – especially when volume came in very light. But that has not held true in recent years. There were several studies I examined last night that noted the low volume, but they have all lost their edge over the last several
- 5 years ago, 5 Apr 2019, 11:38am -
Over 90 Years of Golden Crosses (and a look at past drawdowns) [Quantifiable Edges]
The SPX made a Golden Cross formation on Monday. A Golden Cross occurs when the 50ma crosses over the 200ma. Having the 50ma above the 200ma is commonly considered a bullish market condition – and generally it is. I used my Norgate data and Amibroker software to look back as far as 12/31/1928.
- 5 years ago, 2 Apr 2019, 09:37am -
An End of Quarter Edge [Quantifiable Edges]
It is worth noting that Friday is the last trading day of the quarter. And the last day of the quarter has some interesting characteristics. I often hear the term “window dressing” mentioned by the media when referring to end of quarter activity. The suggestion is that fund managers will make
- 5 years ago, 28 Mar 2019, 09:50pm -
Seasonality May Again Flip This Week…To Bullish [Quantifiable Edges]
With regards to seasonality, we are in an interesting period right now. The last couple of weeks the market played out well according to seasonal patterns. We saw March opex week put in nice gains as it often does. And then we saw the week after Quad-witching suffer losses this past week.
- 5 years ago, 25 Mar 2019, 09:27am -
The Bearish Aftermath Of Quad Witching [Quantifiable Edges]
A Twitter follower ( @SonnyRico ) asked me about weeks following Quad-witching, which occurs in March, June, September, and December. As I have shown in the past, the 2nd half of December has shown bullish tendencies historically (ignore 2018), but those other 3 have NOT been good weeks for the
- 5 years ago, 15 Mar 2019, 11:57am -
Options Expiration Week Performance By Month – 2019 Update [Quantifiable Edges]
Next week is monthly options expiration week. I’ve noted several times over the years that Op-ex week in general is pretty bullish. March, April, October, and December it has been especially so. S&P 500 options began trading in mid-1983. The table below is one I have showed in March each of
- 5 years ago, 8 Mar 2019, 08:22pm -
The Extreme Persistence Of The Current SPX Rally [Quantifiable Edges]
The last time the SPX closed below its 10-day moving average was January 3rd. That means it has now been 35 straight trading days that SPX has closed above the 10ma. That is a very long streak. Below is a list of all streaks since 1928 of 35 days or longer. (Note: prior to 1957 S&P 90 Index data
- 5 years ago, 26 Feb 2019, 09:45am -
Why Waiting Until The Announcement Is A Tough Way To Trade The Fed [Quantifiable Edges]
Wednesday is a Fed Day – a day in which the Federal Reserve concludes their scheduled meeting and releases a policy statement. Fed Days have historically shown a bullish inclination (up until Powell took over last year, as I showed on Sunday). One interesting aspect of Fed Days that I covered in
- 6 years ago, 29 Jan 2019, 02:05pm -
Is Jerome Powell The Most Hated Fed Chairperson Ever? [Quantifiable Edges]
Fed Days have a long history of showing a bullish tendency, and we have a large number of Fed Day studies to refer. For those that are unaware, a Fed Day is simply a day where the Federal Reserve completes a scheduled meeting and provides a policy announcement. Meetings typically take place 8 times
- 6 years ago, 28 Jan 2019, 12:06am -
Historical View Of Extreme Short-Term Gains In $OEX Components [Quantifiable Edges]
As I write this around 11am EST both NFLX and CELG are threatening to close up > 50% from their December 24th closing price, just 14 trading days ago. While that sometimes happens with speculative smallcap stocks, it is very unusual to see a largecap S&P 100 stock accomplish such strong gains
- 6 years ago, 16 Jan 2019, 11:07am -
January Opex Weak [Quantifiable Edges]
Opex week overall has typically been a bullish part of the month for the market. But over the last 20 years, January has been a major exception to this rule. The table below shows results of buying the Friday before options expiration week in January and then selling at the close of option
- 6 years ago, 12 Jan 2019, 09:55am -
Rare Zweig Breadth Thrust Signal Suggests Bullish Implications [Quantifiable Edges]
The strong breadth we have seen recently has caused the 10-day exponential moving average of the NYSE Up Issues % to rise up to 62%. A move through 61.5% after being below 40% within the last 2 weeks is considered a Zweig Breadth Thrust trigger. This is a signal created by Martin Zweig. Over the
- 6 years ago, 8 Jan 2019, 10:13am -
After A New Year Starts On A Good Note [Quantifiable Edges]
Last night’s subscriber letter featured (an expanded version of) the following study, which looks at performance in the 1st couple of days following a positive 1st day of a new year. 2019-01-03 The stats and curve all suggest some immediate follow-through has been typical. There have now been 10
- 6 years ago, 3 Jan 2019, 10:40pm -
Last Day Of The Year History (And Why Traders Need An Open Mind & Adaptability) [Quantifiable Edges]
The last day of the year used to be consistently bullish for the market. But that has changed since the turn of the century. This is true across a number of indices. The most dramatic example is the NASDAQ, which I highlighted here on the blog a few years ago. I have updated the chart below.
- 6 years ago, 29 Dec 2018, 09:47am -
The little girl study and the horrid Crash of 87 [Quantifiable Edges]
Every once in a while I come across a study that reminds me an awful lot of Longfellow’s “The little girl”. 2018-12-23-2 After the strong and persistent selling over the last few days I decided to examine other times like now where the SPX dropped at least 1.5% for 3 days in a row. The study
- 6 years ago, 23 Dec 2018, 01:26pm -
The Most Wonderful Week of the Year…2018 edition [Quantifiable Edges]
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’ve shown the study below in the blog many times since 2008. It looks back to 1984, which was the first year that SPX
- 6 years ago, 14 Dec 2018, 08:12pm -
90 Years Of Death Crosses [Quantifiable Edges]
The SPX could complete a “Death Cross” formation today or tomorrow, in which the 50-day moving average crosses below the 200-day moving average. In the past I have looked back to 1960 when examining Death Crosses. This time I decided to use Amibroker with my Norgate database, which goes back to
- 6 years ago, 7 Dec 2018, 12:41pm -
When SPX Closes Higher On Bad Breadth [Quantifiable Edges]
While the SPX closes higher on Tuesday, NYSE breadth was weak – both from an % Up Issues and % Up Volume standpoint. This triggered the study below from the Quantifinder. I also discussed it in last night’s subscriber letter. 2018-11-28-1 Here we see numbers suggesting a substantial bearish edge
- 6 years ago, 28 Nov 2018, 09:32pm -
Thanksgiving Week Seasonality – An Updated Look [Quantifiable Edges]
The time around Thanksgiving has shown some strong tendencies over the years – both bullish and bearish. I have discussed them a number of times over the years. In the updated table below I show SPX performance results based on the day of the week around Thanksgiving. The bottom row is the Monday
- 6 years ago, 19 Nov 2018, 08:38am -
The History of Russell 2000 Death Crosses & SPX Performance Following Them [Quantifiable Edges]
I have seen a fair amount of hubbub about the Russell “Death Cross” that is happening today and the potential bearish implications for the market. A “Death Cross” is a catchy (though perhaps not terribly accurate) term for when the 50-day moving average of a security cross below its 200-day
- 6 years ago, 14 Nov 2018, 09:09pm -
Midterm Elections Have Not Provided A Reliable Short-Term Market Edge [Quantifiable Edges]
Today I decided to look at SPX performance following past mid-term elections. I did not find much that suggested a strong edge. Below is a look at results since 1970 following mid-term elections. 2018-11-04-1 The numbers suggest perhaps a mild inclination for the market to “celebrate” the
- 6 years ago, 5 Nov 2018, 08:33am -
This Incredibly Bullish Seasonal Period Has Just Begun [Quantifiable Edges]
With the calendar moving from October to November, it has now entered its “Best 6 Months”. The “Best 6 Months” tendency was first published by Yale Hirsch, founder of the Stock Trader’s Almanac, in 1986. The concept behind the “Best 6 Months” is simple. Seasonality suggests that over
- 6 years ago, 1 Nov 2018, 01:57pm -
Elevated CBI And New SPX Low Carry Bullish Implications [Quantifiable Edges]
As we approached the close I noted on Twitter (@QuantEdges) that the Quantifiable Edges Capitulative Breadth Index (CBI) was starting to spike. And the closer we got to 4pm EST, the higher it got. At the end of the day, the CBI finished at 10, which is a level I have long considered bullish. The
- 6 years ago, 25 Oct 2018, 11:46pm -
A Look At How Fridays Create The Most Reliable Bounces [Quantifiable Edges]
Friday is generally not terribly reliable in being a day where the market bounces from a low. It is one of the least popular days for this to occur (along with Wednesday). But a potential positive about a Friday bounce is that when they do occur, they tend to be the most reliable moving forward. The
- 6 years ago, 15 Oct 2018, 02:08am -
Back to Back 50-day Lows and Extremely Low RSI(2) Readings [Quantifiable Edges]
Strongly oversold markets often contain a short-term upside edge. Of course oversold can always become more oversold. Wednesday took the SPX down to a 50-day closing low. Additionally, many short-term price oscillators, like the RSI(2) showed extremely low readings. Further selling on Thursday meant
- 6 years ago, 12 Oct 2018, 02:56pm -
SPX Near Monthly Highs With RUT Near Monthly Lows [Quantifiable Edges]
I have spoken a fair amount lately about the “split” market, and how that has historically been followed by declines. But not all kinds of splits are bad. Wednesday we saw the SPX rise while the RUT closed lower. That is not unusual on a 1-day basis. But it has now been several weeks in which
- 6 years ago, 20 Sep 2018, 11:51am -
Our Extremely Split Market & What That Has Meant Historically [Quantifiable Edges]
One indicator that has gotten some play in the news lately is the Hindenburg Omen. In last weekend’s subscriber letter I discussed the Hindenburg Omen signal in detail. (Click here for a free trial.) A core premise behind the Hindenburg Omen is that there are a large number of stocks hitting both
- 6 years ago, 17 Sep 2018, 10:52am -
New Highs On Low Volume During August [Quantifiable Edges]
SPX closed at a new all-time high on Friday. But NYSE volume came in at the lowest level since mid-July. Low volume at new highs can sometimes be a negative. Of course August frequently has low volume as many market participants are on vacation and not trading as actively. So I decided to look back
- 6 years ago, 27 Aug 2018, 12:06pm -