Quant Mashup - Quantifiable Edges
Some Seasonal Strength Could Help Today [Quantifiable Edges]
While most people are not fond of tax day in the US, it has historically seen strong inflows into IRA’s and hence the stock market. This has set up the day after tax day as a strong day for the market. Below is a look at how SPX has done since 1981 on tax day. The numbers are all impressive. They
- 8 years ago, 16 Apr 2015, 08:54am -
Monday When The Good Friday Employment Report Has Gone Bad [Quantifiable Edges]
The employment report was released at 8:30am on Friday and the reaction in the futures was not good. ES sold down over 20 points in the next 45 minutes before closing for the day. As of Monday morning it has not bounced much. So it appears we are about to see a sizable gap lower.. Since inception of
- 8 years ago, 6 Apr 2015, 08:34am -
When The Employment Report Has Been Released On Good Friday [Quantifiable Edges]
One thing to be aware is that while the market is closed on Friday for Good Friday, the BLS will be releasing the employment report. This is only the 11th time since 1980 that this has happened. Below is a list of all previous instances along with their performance on Monday when the market was open
- 8 years ago, 2 Apr 2015, 01:10am -
A Shift In “1st of the Month” Market Behavior [Quantifiable Edges]
Wednesday will be the 1st day of a new month. A couple of months ago I shared a chart that showed that the first day of the month has weakened substantially in recent years. Today I will use a couple of other charts to show just how drastic the change in market character has been. These charts
- 8 years ago, 31 Mar 2015, 09:11am -
Opex Week Performance By Month, And Why March Opex Is Notable [Quantifiable Edges]
There is a seasonal influence that could have a bullish impact on the market this week. 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 on the blog in years
- 8 years ago, 16 Mar 2015, 09:01am -
Historical Returns Following Very Bad Fridays (updated) [Quantifiable Edges]
The study below appeared in the Quantifinder on Friday. It is one I last showed on January 27, 2014 and it examines large drops on Fridays. Both the Crash of ’29 and the Crash of ’87 happened on Monday. The Crash of ’87 is still remembered by many traders that are active today. In 1987 there
- 8 years ago, 9 Mar 2015, 09:10am -
What Follows Relatively Large Drops From New Highs [Quantifiable Edges]
Tuesday saw the 1st somewhat sizable drop for the market in a while. And the action triggered the study below, which looks at relatively large drops from intermediate-term highs. I have updated all the stats.
- 8 years ago, 4 Mar 2015, 09:13am -
A Big Move Up Followed By Narrow Range on Light Volume [Quantifiable Edges]
I’ve been seeing mixed evidence over the last few days. In yesterday’s blog I showed a study that suggested short-term bullish inclinations. This morning’s study makes a case for the bears. It suggests that big intraday rallies like we saw on Friday that have been followed by tight
- 8 years ago, 24 Feb 2015, 09:21am -
Double Outside Days for SPY [Quantifiable Edges]
Notable about Friday’s market action is that it 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 both a higher high and a lower low than the day before.) Back-to-back are fairly rare. I last discussed this setup in the 1/10/2014
- 8 years ago, 23 Feb 2015, 08:32am -
How The Friday Before Presidents Day Has Changed [Quantifiable Edges]
It is notable is that Friday is the last day before the President’s Day holiday. Historically the Friday before President’s Day has been a poor performer. But more recently the downside edge has not persisted. This can be seen in the curve below.
- 8 years ago, 13 Feb 2015, 09:28am -
Rob Hanna Giving Free Webinar About Trading On & Around Fed Days (Wed 5:30pm EST) [Quantifiable Edges]
As part of the Festival of Traders I will be presenting a webinar on Wednesday at 5:30pm EST with much of my Fed Day research in focus. Click here for more information and to register for the event.
- 8 years ago, 11 Feb 2015, 01:32am -
Rob Hanna Will Be On TimingResearch’s Weekly Webshow – 1pm EST on Monday [Quantifiable Edges]
I have been asked to join a live discussion panel being put on by TimingResearch. Each week, TimingResearch surveys a large group of traders to get their thoughts about current market conditions. TimingResearch then produces a report based on the survey.
- 8 years ago, 2 Feb 2015, 06:30am -
A Look At The January Barometer [Quantifiable Edges]
The January Barometer is a fairly famous study from the Stock Traders Almanac. It says that “as goes January, so goes the year”. In other words, a positive January will typically lead to a positive year, while a negative January can be a warning. Let’s look at how the SPX has done for the
- 8 years ago, 2 Feb 2015, 12:15am -
A Look At Struggling “1st Of The Month” Bullishness [Quantifiable Edges]
Friday is the last trading day of January. The first day of the month is well known for having a seasonal bullish tendency. Interestingly, I have noted this tendency has not been prevalent over the last few years. This can be seen in the equity curve below.
- 8 years ago, 30 Jan 2015, 09:39am -
Fed Days After 1% Drops [Quantifiable Edges]
Selloffs as strong as we saw on Tuesday have been fairly rare just ahead of a Fed Day. In fact it was the 1st time since October 2012 that SPY closed down over 1% on the day before a Fed Day. Below are results of all instances since SPY’s inception in 1993.
- 8 years ago, 28 Jan 2015, 04:28am -
After Monday’s Big Effort For A Small Gain [Quantifiable Edges]
The mild action on Monday did not trigger a whole of studies Monday afternoon but the one below was fairly compelling. It suggests that when SPY closes strong (in the top 10% of its range) but still only manages a small gain on the day, that the next day has a downside tendency.
- 8 years ago, 27 Jan 2015, 04:21am -
What Wednesday’s Partial Recovery Hints At For Thursday [Quantifiable Edges]
One thing that stood out about Wednesday’s action was that the market closed down but still enjoyed a strong reversal of the lows. In the study below I combined the multi-day pullback concept with the fact that the market saw a relatively strong close.
- 8 years ago, 15 Jan 2015, 04:15am -
A Combination Of Factors Suggesting A Bounce [Quantifiable Edges]
There were a number of Quantifinder studies yesterday that looked at SPY and/or SPX making short-term lows, closing down 3+ days in a row, and/or leaving unfilled gaps down. The study below it combined all of these ideas.
- 8 years ago, 6 Jan 2015, 04:05am -
What Happens After A Big Down Day Between Christmas & New Years [Quantifiable Edges]
As I discussed last week, the time between Christmas and New Year’s tends to be a very strong seasonal period. (And even through the 1st or 2nd trading day in January). Wednesday was only the 11th time since 1960 that SPX fell greater than 1% on a day during this week.
- 8 years ago, 2 Jan 2015, 02:48am -
‘Twas 3 Nights Before Christmas – NASDAQ version [Quantifiable Edges]
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
- 8 years ago, 22 Dec 2014, 09:45am -
The Bullish Intermediate-Term Tendency Following High CBI Readings [Quantifiable Edges]
I’ve written an awful lot about the Quantifiable Edges Capitulative Breadth Indicator (CBI) here on the blog. The CBI moved up from 8 to 12 on Tuesday. While 10 has been a strong indication for a short-term bounce, 11 or higher has been a reliable indication for the
- 8 years ago, 17 Dec 2014, 04:20am -