Quant Mashup - Quantifiable Edges
Three-day Pullback Pattern Into Turnaround Tuesday Potentially Bullish [Quantifiable Edges]
SPY’s move lower over the last 3 days has set up a potential “Turnaround Tuesday” scenario. The fact that it made a lower high, lower low, and lower close for at least the 3rd day in a row triggered the following study. 2018-04-241 The numbers are impressive and the bounces couldn’t get much
- 4 years ago, 24 Apr 2018, 12:15pm -
A SPY Setup Suggesting A Short-Term Upside Edge [Quantifiable Edges]
Friday’s action caused SPY to close in an interesting position. Traders could look at the chart and say it is “short-term oversold” due to the fact that it closed at a 5-day low for the 1st time in a while. They might also say it is “short-term overbought” since it closed above its 10-day
- 4 years ago, 22 Apr 2018, 11:30pm -
April Opex Week’s Bullish Tendency [Quantifiable Edges]
Last month I shared a table that showed performance of opex weeks by month. April was one of the most bullish. The study below looks specifically at April opex week. I last showed it on the blog in 2016. Results are all updated. 2018-04-15 The numbers are impressive, and suggest a bullish edge.
- 4 years ago, 16 Apr 2018, 09:32am -
A Scary Pattern [Quantifiable Edges]
Friday the 13th is upon us. Known for bad luck and horror movies, I decided to go back and see how SPX has performed on this day. What I found was scary… 2018-04-13 Good luck trading today!
- 4 years ago, 13 Apr 2018, 12:43pm -
Holy Bullish Thursday!! [Quantifiable Edges]
Stock market performance leading up to and around many holidays has often been bullish. This is something I have written about several times over the years. Holy Thursday is one such day that has done quite well. I have shown Holy Thursday stats a few times in the past. The chart and statistics
- 4 years ago, 29 Mar 2018, 11:25am -
When NDX Has Closed At A Multi-Week Low On A Fed Day [Quantifiable Edges]
As far as Fed Days go, Wednesday was a disappointment. Not only did it fail to rally, but it also left SPX and NDX at 10-day lows. With Fed Days typically bullish, finishing at a 10-day low is quite unusual. The results table below is part of a larger examination I did in last night’s Subscriber
- 4 years ago, 22 Mar 2018, 01:18pm -
Fed Day Performance In Rising vs Falling Rate Environments [Quantifiable Edges]
The Fed holds policy meetings 8 times per year. Many times since starting Quantifiable Edges in 2008, I have discussed the (primarily bullish) edge that exists on the final day of these meetings when the Fed releases its statement and announces any new policy changes. One question I often get about
- 4 years ago, 20 Mar 2018, 02:17pm -
When Bullish Opex Weeks Fail To Play Out [Quantifiable Edges]
I discussed last weekend that monthly option expiration (opex) week is typically a bullish week, especially during the months of March, April, October, and December. Obviously, the bullish tendency did not play out this past week. So does this mean the bullish tendency may be delayed a week? Or is
- 4 years ago, 19 Mar 2018, 10:03am -
Today’s Employment-Sparked NASDAQ Rally Appears To Be A Short-Term Bullish Indication [Quantifiable Edges]
The employment report has helped to spark a big rally today, and the NASDAQ is hitting new all-time highs. I looked back at other instances where the NASDAQ spiked higher and closed at a new high on the day of an employment report. The results I saw were compelling. Here are the list of instances
- 4 years ago, 12 Mar 2018, 06:54am -
SPX Performance After Three 1% Down Days [Quantifiable Edges]
Last night I looked at 3-day pullbacks a number of ways in relation to current market conditions. I thought blog readers might find the following interesting. I noted that SPX closed lower by greater than 1% for the 3rd day in a row on Thursday. In the past, that has often been followed by gains the
- 4 years ago, 3 Mar 2018, 01:35pm -
A Two-Day SPY Pattern Suggesting A Bullish Edge For Wednesday [Quantifiable Edges]
SPY gapped up and closed lower Tuesday after leaving an unfilled up gap on Monday. This triggered a simple study that I have examined a number of times over the years in the subscriber letter. The study can be found below. 2018-02-28 The numbers here all look solidly bullish, suggesting a potential
- 4 years ago, 28 Feb 2018, 11:20am -
The Negative Impact Of Friday’s Low Volume [Quantifiable Edges]
I mentioned in a Tweet on Friday that the low volume on Friday’s rally was a bit concerning. The study below is one I featured in the subscriber letter this weekend. It examined other times substantial rallies occurred during uptrends on very light volume. 2018-02-25 Stats here suggest a downside
- 4 years ago, 26 Feb 2018, 10:00am -
Sunday Marks the Quantifiable Edges Subscriber Letter’s 10th Anniversary [Quantifiable Edges]
Sunday Feb 18th marks the 10th anniversary of the Quantifiable Edges Subscriber Letter. I can hardly believe I have been writing it for 10 years, but it is true. A few highlights and anecdotes from the last 10 years… · When the letter began, there was not even a website – just a blogspot blog
- 4 years ago, 18 Feb 2018, 02:20pm -
Follow Through Days That Occur With Moderate Breadth & Moderate Volume Have Struggled Historically [Quantifiable Edges]
One notable bit of evidence that emerged on Wednesday was the fact that it qualified as an IBD Follow Through Day (FTD). I have done a lot of research on FTDs over the years. Much of that research can be found on the blog. Here is a link. 2018-02-15 The failure rate here is substantial no matter how
- 4 years ago, 15 Feb 2018, 11:50am -
What SPY’s Gap Up, Reverse Down & Rebound Back Up From Friday Suggest For This Week [Quantifiable Edges]
The sizable gap up, pullback, and then move back higher on Friday triggered an old Quantifinder study for the 1st time in a long time. Below is the full list of trades with a 5-day holding period. 2018-02-11 All 8 instances saw run-ups of at least 1%, and they all closed positive. While instances
- 4 years ago, 12 Feb 2018, 11:30am -
Thoughts On Dealing With Historically Abnormal Markets [Quantifiable Edges]
I have discussed some lately that the market is acting outside of historical norms. Thursday’s action reinforced that. The pullback has come so fast and been so extreme that it is going beyond even many of the most extreme moves in similar situations. For instance, I looked back to 1960 with the
- 4 years ago, 9 Feb 2018, 09:32am -
A Closer Look At Historical Performance Following New Fed Chairmen [Quantifiable Edges]
A couple of weeks ago I did a little study that looked at performance following the induction of a new Fed Chairman. With Jerome Powell starting his new job on Monday, I decided to expand on that study below. 2018-02-04 Obviously it appears to be a bit of a mixed bag. The most positive results came
- 4 years ago, 5 Feb 2018, 11:28am -
SPX at Highs with XIV at Lows [Quantifiable Edges]
XIV is an inverse-VIX ETN. In other words, it was designed to generally trade inversely to VIX futures on a daily basis. Since VIX and SPX typically trade opposite each other, you would think that XIV and SPX would often close in the same direction. And you would be right. Of course, XIV depends on
- 4 years ago, 26 Jan 2018, 12:31pm -
When New Years Begin With A Steady Stream Of Up Days [Quantifiable Edges]
The start to 2018 has been fairly remarkable. The SPX has only closed down 3 days so far, while closing up 11 days. That is a substantial hot streak, and one might think that such a strong run to start the year would almost certainly have to pullback soon. So I checked. 2018-01-23 The imminent
- 4 years ago, 23 Jan 2018, 05:14am -
A Historical Look At Market Reaction To New Fed Chairmen [Quantifiable Edges]
Jerome Powell is expected to take over for Janet Yellen as the new Fed chairman on Feb 3rd. A few days ago in the letter I looked at SPX performance after a new chairman takes over. I used the SPX and looked back to 1970. Tonight I decided to take the analysis back to 1923 using my Dow data. Like
- 4 years ago, 22 Jan 2018, 02:42pm -
Highly Unusual Behavior Between SPX and VIX [Quantifiable Edges]
Wednesday saw both SPX and VIX close at 40-day highs (about 2 months). Since they commonly trade opposite each other, to have them both be extended up like this is very rare. In fact, it has only happened 4 other times. Below is a list of those instances along with their 4-day results. 2018-01-18
- 4 years ago, 18 Jan 2018, 11:28am -
January Opex A Weak Week [Quantifiable Edges]
Opex week in January is one that the market has seen some struggles over the last 19 years. Below is the list of January op-ex weeks from 1999 – 2017 with their full week performance results. There have been 8 years in which January op-ex week occurred in conjunction with Martin Luther King Day.
- 4 years ago, 16 Jan 2018, 10:14am -
A Down Day After A Persistent Upmove To New Highs [Quantifiable Edges]
One compelling study from last night’s 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 back. I
- 4 years ago, 11 Jan 2018, 02:03pm -
Historical Results Following 4 Up Days To Begin A New Year [Quantifiable Edges]
The simple fact that the SPX posted a gain on the first 4 days of the year is a pretty rare occurrence, with 2018 only being the 9th instance since 1961. While instances have been low, the intermediate-term performance following such strong starts to the year has been impressive. And looking at most
- 4 years ago, 8 Jan 2018, 09:17am -
When A New Year Starts On A Positive 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. 2018-01-03 The stats and curve all suggest some immediate follow-through has been typical. There have now been 9
- 4 years ago, 4 Jan 2018, 09:16am -
A Not-so Merry VIX-mas Part 2 [Quantifiable Edges]
Yesterday I decided to examine performance of XIV during the last few days of the year. The thought was that we are now in a time period that is generally regarded as seasonally bullish. Additionally, volume and volatility are often light this week with many traders on vacation. So I thought with
- 4 years ago, 27 Dec 2017, 12:26pm -
A Not-So Merry Vix-mas [Quantifiable Edges]
During a time of year that is renowned for its low volatility and bullish seasonality, one might think XIV would have some strong historical returns. Well… 2017-12-25 …one would be wrong. Happy Holidays anyway!
- 4 years ago, 26 Dec 2017, 08:54am -
The Most Wonderful Week Of The Year [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
- 4 years ago, 11 Dec 2017, 10:15am -
Why The SPX Reversal May Be A Positive For The Bulls [Quantifiable Edges]
Before spending much Monday selling off, the SPX managed to make a new intraday all-time high. The new high followed by a poor and downward close triggered the study below, from the Quantifinder. Results are all updated. 2017-12-05 Results here seem to suggest an upside edge over the next 1-2 weeks.
- 4 years ago, 5 Dec 2017, 09:50am -
SPY’s 2-Day Pattern Suggesting A Bullish Tendency For Tuesday [Quantifiable Edges]
SPY gapped up and closed lower Monday after leaving an unfilled up gap on Friday. This triggered the study below that examined similar price action in SPY with regards to how it gapped and finished
- 4 years ago, 28 Nov 2017, 01:08pm -
October Opex Week Historically Bullish [Quantifiable Edges]
Option expiration week is often a pretty good week for the market. October is one of those months where it has been especially good over the years. This can be seen in the study below. 2017-10-16 I decided to exclude 2008 because action that week was such an incredible outlier that it greatly skewed
- 4 years ago, 16 Oct 2017, 11:04am -
When Months Finish At A High [Quantifiable Edges]
urn of the month will often trigger some seasonal studies. The study below looks at performance after times that SPY has closed a month at the highest closing price of the month. 2017-10-02 image1 The numbers across the board are fairly compelling. Trades may want to keep this in mind as we enter
- 4 years ago, 2 Oct 2017, 11:48am -
The Weakest Week (Updated) [Quantifiable Edges]
From a seasonality standpoint, there isn’t a more reliable time of the year to have a selloff than this upcoming week. In the past I have referred to is as “The Weakest Week”. Since 1961 the week following the 3rd Friday in September has produced the most bearish results of any week. Below is
- 4 years ago, 18 Sep 2017, 10:55am -
A Look At Historical Post-Labor Day SPX Performance [Quantifiable Edges]
Way back in 2009 I showed a study that suggested 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 take a new look at that study today. Below are updated results of post-Labor Day action when the previous
- 4 years ago, 4 Sep 2017, 01:23pm -
Why Today’s Fed Day Setup May Not Be As Bullish As Most [Quantifiable Edges]
Wednesday is a Fed Day. Fed Days have historically shown an upside tendency. I have documented this tendency in great detail over the years, with the most complete documentation coming in The Quantifiable Edges Guide to Fed Days. Based on what the market did Tuesday, this does not seem to be the
- 4 years ago, 26 Jul 2017, 11:12am -
This Study Suggests Intermediate-Term Momentum Is Strong Enough To Persist A While Longer [Quantifiable Edges]
One study from the Quantifinder that triggered last has some potential intermediate-term implications, and it is fairly interesting, so I figured I would share it. This study looked at the SPX closing price in relation to its 50-day Bollinger Bands, and the fact that we are now extended upwards. I
- 5 years ago, 4 Jun 2017, 02:26am -
SPX Dips After Persistent Move To A New High – What’s the Next Move? [Quantifiable Edges]
One compelling study that triggered tonight 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 SPX moves up at least 5 days in a row to a 50-day high, and then pulls back. (This is the current
- 5 years ago, 31 May 2017, 06:29pm -
Get Fed Day Research & Tools While Helping Fight Multiple Sclerosis [Quantifiable Edges]
Quantifiable Edges is now offering our Fed Day research and tools to anyone that makes any size donation to the MS Society! Keep reading for details. One bit of research that Quantifiable Edges has become known for are the many studies I have published on Fed Days. In fact, you could say I wrote the
- 5 years ago, 30 May 2017, 01:58am -
Why Tuesday’s 20-day High Mutes Today’s Fed Day Potential [Quantifiable Edges]
Wednesday is a Fed Day. Fed Days have historically shown an upside tendency. I have documented this tendency in great detail over the years, with the most complete documentation coming in The Quantifiable Edges Guide to Fed Days. Based on what the market did Tuesday, this does not seem to be the
- 5 years ago, 3 May 2017, 10:03am -
Holy Bullish Thursday! [Quantifiable Edges]
Below is a quick look at how the SPX has performed in the past on Holy Thursday. Like the last day before many long weekends, it has shown a bullish propensity over the years. 2017-04-13 The numbers are compelling, and it is especially impressive to see how much the winners have outsized the losers
- 5 years ago, 13 Apr 2017, 11:44am -
Early April’s Bullish Inclination [Quantifiable Edges]
The study below is one I have shown here on the blog a few times over the years. It examines the bullish inclination the market has had in early April. 2017-04-03 Numbers here appear impressive. Of further note, sixteen of the 1st eighteen years were higher on day 4, but the 2012-2014 instances saw
- 5 years ago, 3 Apr 2017, 10:58am -
Updated Look At Opex Week Broken Down By Month [Quantifiable Edges]
I’ve noted a number of times 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 the last several years. It goes back to 1984 and shows
- 5 years ago, 13 Mar 2017, 11:27am -
January Opex Struggles [Quantifiable Edges]
Opex week in January is one that the market has seen some struggles over the last 18 years. Below is the list of January op-ex weeks from 1999 – 2016 with their full week performance results. There have been 7 years in which January op-ex week occurred in conjunction with Martin Luther King Day.
- 5 years ago, 17 Jan 2017, 10:14am -
The… Most… Wonderful… Weeeeek… Of…The… Yeeeaaaarrrrr!! [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
- 5 years ago, 12 Dec 2016, 04:30pm -
Thanksgiving Week Edges [Quantifiable Edges]
The time around Thanksgiving has shown some strong tendencies over the years – both bullish and bearish. In the table below I show SPX performance results based on the day of the week around Thanksgiving. The bottom row is the Monday of Thanksgiving week. The top row is the Monday after
- 5 years ago, 21 Nov 2016, 10:26am -
October Opex Week Has Historically Been Bullish [Quantifiable Edges]
From a seasonal standpoint option expiration week is often a pretty good week for the market. October is one of those months where it has been especially good over the years. The study below examines performance during October op-ex week. 2016-10-17 image1 I decided to exclude 2008 because action
- 5 years ago, 17 Oct 2016, 09:08pm -
The Weakest Week Is Back [Quantifiable Edges]
From a seasonality standpoint, there isn’t a more reliable time of the year to have a selloff than this week. In the past I have referred to is as “The Weakest Week”. Since 1961 the week following the 3rd Friday in September has produced the most bearish results of any week. Below is a graphic
- 5 years ago, 19 Sep 2016, 09:33am -
Sharp Decline in VXO and the New Market Environment [Quantifiable Edges]
Yesterday I showed a VIX-related study that suggested it was so stretched to the upside that the market was likely to get a quick bounce. And we certainly got one on Monday. The VIX is a measure of options pricing and is often referred to as a “fear index”. It saw a 13% drop on Monday.
- 5 years ago, 13 Sep 2016, 11:39am -
What The VIX Spike Is Suggesting For The Next Few Days [Quantifiable Edges]
Friday’s big drop was accompanied by a big spike in options prices as measured by the VIX. The VIX rose so sharply that it closed Friday 32% above its 10-day moving average. The study below examines stretches of 25% or more, and how the SPX has performed in the following days.
- 5 years ago, 12 Sep 2016, 11:31am -
Tight Consolidations After New Highs [Quantifiable Edges]
The range over the last week has been extremely tight. On 7/20/16 SPY closed at a 50-day high. Every SPY close in the 5 days since 7/20 has been within the intraday range of that 7/20/16 bar. (And it wasn’t even that big of a range.) It is said that consolidations are often resolved in the
- 5 years ago, 28 Jul 2016, 10:18am -