ETF Prophet

Friday is the last trading day before the President’s Day holiday. The day prior to many holidays we see a bullish tendency. This is NOT the case with Presidents Day. Over the last 20 years the Friday before President’s Day has been a very poor …

Action in SPY the last couple of days has been interesting as it has left large unfilled gaps in both directions. The Quantifinder identified the study below. It looks at other instances where you had a 20-day closing high, then an unfilled gap down,…

Big gap down from yesterday’s high.  Below is one way to look at it.

These results were similar to a few scenarios I ran.  The evidence suggests no edge in trying to buy the low open.  In fact there may be a bit of a downside edge fro…

There were a few studies related to VIX action that appeared in the Quantifinder yesterday afternoon. This particular study looks at large mid-week rises in the VIX during times the SPX is closing at a 50-day high. All results are updated.

New rea…

I discussed the QE Buying Power Index a few times in the last week and demonstrated how it could be used as a filter for a mean reversion system. While a good number of people have signed up for the webinar there are many that remain unconvinced of it…

The market was down a little and no one seemed to care.  Volume was extremely light, and the range was the lowest in months.  This kind of indifference can sometimes mean that bulls are done (temporarily).  They pushed prices higher lead…

On Friday I introduced the QE Buying Power Index and showed results over the 2008-2011 period when looking to buy pullbacks with a strong QE Buying Power Index reading versus a weak one. Today I’ll show the other side of the coin. Below is a short-…

A market variable that I rarely see discussed and almost never utilized is Buying Power. And while it has become easily measurable and quantifiable over the last several years, I have found very little information on the concept. In some special web…

Employment days have an interesting history and they have contributed to some worthwhile studies over the years. Below is a chart of SPY performance on Employment Days. For this equity curve I filtered to only include days where SPY was > its 200m…

When breadth posts solid numbers and the SPX declines (during an uptrend) that has often been followed by a rebound in the next few days. The study below triggered at Tuesday’s close. It is one I have shown several times in the Subscriber Letter. …

I’ve shown before that of all days Tuesday has historically shown the highest propensity to halt a short-term pullback. The study below is one from the larger Turnaround Tuesday study. All stats are updated..

As you can see the market has strong…

Yesterday I showed that Fed Days typically carry a bullish edge, but that edge failed to hold when the SPX closed at a 20-day high just prior to the Fed Day. By closing down 0.1% Tuesday the SPX narrowly missed closing at a 20-day high. So are we now…

Wednesday 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…

Despite the negative seasonality that is typical during January op-ex and MLK week (which are often the same) the market has continued to rise and closed Thursday at a new rally high. The study below was last seen in the 2/18/11 subscriber letter. It…

January op-ex week has been a tough week for the market since 1999. Interesting about January op-ex week is that it often occurs in conjunction with Martin Luther King Day. Below is a list of the last 13 January op-ex weeks with their performance resu…

While the final numbers were good and the SPY left an unfilled upside gap, some traders may have been disappointed yesterday that the SPY finished in the lower part of its daily range. Historically, unfilled gaps and 20-day intraday highs as was put in…

One study that triggered on Friday examined performance the day after an Employment Day (typically the 1st Friday of each month) when the SPX was above its 200-day moving average and the Employment Day closed down.

The stats here are strong and all p…

I don’t often discuss trade idea results from the subscriber letter here on the blog. The last time I did was in June. But 2011 was another solid year and I thought it would be worth mentioning in the hope that Quantifiable Edges could help traders imp…