ETF Prophet

Login
Our Flickr Channel Our Facebook Our RSS Feed follow us on twitter
About Quantifiable Edges:
Quantifiable Edges's Personal Page

Subscribe to my RSS!
Quantifiable Edges utilizes technical analysis concepts and quantifies them in a way that allows traders to determine the edge that was provided in the past. Breadth, volume, sentiment, and price are used to assess market conditions. At Quantifiable Edges we are dedicated to uncovering actual historical advantages.

What’s Historically Followed Strong Selloffs

Posted on April 11th, 2014

Strong selloffs to low levels during long-term uptrends often generate favorable buying opportunities. Quantifiable Edges had a number of studies that triggered on Thursday afternoon that exemplified this concept. Below is just one example. It examines 2% drops that close at both the bottom of their daily range and their 10-day range. The 1-2 days …

An Opportunity Missed & A Successful Mindset

Posted on April 10th, 2014

Wednesday saw the market rally strongly, but the overnight Odds suggested a possible short opportunity. Let’s take a look at the Odds Sheet, then I’ll discuss how I handled it, and how it played out. As you can see, ES saw its Averages highlighted in orange. This means that they met the Overnight Edges standard …

Contemplating Weekend Risk…

Posted on March 28th, 2014

“Weekend Risk” that is a term we often hear on tv as an excuse to why the market is selling off going into a weekend. The idea is that with the market closed for 2 days there is more of a risk of “bad” news causing a big gap down. Sometimes we actually see selloffs …

Without The Fed, Where Would We Be?

Posted on March 19th, 2014

I have shown how powerful Fed Days have been a number of different ways over the years. Ever wonder where the market would be without them? The chart below shows the daily points gained and lost on every day since 12/31/97 through 3/18/14, excluding Fed Days. Keep in mind, there are only 8 days per …

Strong Breadth on Days the SPX Declines

Posted on March 16th, 2014

With small-caps doing well on Friday but large-caps struggling the Up Issues % was unusually strong for a day that the SPX declined. The study below is from the Quantifinder and it looks at days like Friday where SPX declined despite strong breadth. The edge isn’t huge, but it does appear to be worth a …

Employment Report Overnight Hot Streak

Posted on March 6th, 2014

I have highlighted the study below a couple times in recent months, but the hot streak has remained so strong that I felt it deserved another mention. For many in the economy it may not feel as though employment news has been very good over the last 19 months. But the stock market would disagree. …

Nights in March

Posted on March 3rd, 2014

March is here and it has had an interesting history from an overnight perspective. Below is a graphical look at all nights following days that ended in March since 2000. From 2000 – 2003 March posted overnight losses each year. But since then it has performed quite strongly. Eight of the last 10 years March …

How I Handle US-Only Holidays

Posted on February 14th, 2014

I am often asked how I handle US-only holidays for purposes of overnight trading. US-only holidays have some unusual characteristics for overnight traders. For ETF traders you are going to be locked into your position through the holiday, and only provided the opportunity to exit when the market opens back up the morning after the …

Unfilled Gaps Up In Different Market Environments

Posted on February 4th, 2014

After closing at a 50-day low yesterday, ES gapped higher this morning and has continued to hold those gains so far. Unfilled gaps can sometimes provide an edge, but their meaning is largely dependent on where they occur. Let’s compare unfilled up gaps from 50-day lows, like might happen today, to unfilled up gaps from …

Sizable Edge Suggested By 2 Unfilled Gaps Down During Uptrend

Posted on January 24th, 2014

Selling is hitting the market pretty hard for the 2nd day in a row. And for the 2nd day in a row we may also see ES post an unfilled gap down. That is an unusual occurrence during long-term uptrends. It is also one that has frequently led to gaps up the next day. This …

Check Out The New Quantifiable Edges!

Posted on January 13th, 2014

Quantifiable Edges has undergone a complete site overhaul!  Part of that overhaul included moving the blog.  New posts can be found at the address below:http://quantifiableedges.com/blog/Additionally, I’d like to invite everyone to explore th…

Back to Back Outside Days for SPY

Posted on January 10th, 2014

Thursday 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 a higher high and a lower low than the day before.) It’s quite unusual to see 2 consecutive outside days. I last examined back-to-back outside days for SPY in the 5/23/13 subscriber letter. I have updated that study below.

The numbers look very impressive.

It is also worth noting that this pattern has also done well with QQQ in the past.

It Is About Time For SPY To Pull Back

Posted on January 2nd, 2014

SPY has now gone 11 days without closing below its 5ma, and it closed Tuesday at another new high. The study below is one I’ve shown a few times over the years, most recently in October.  It looks at other instances in which SPY has traded above the 5ma for at least 2 weeks and is now closing at a 10-day high. All results are updated.

In the past this setup has commonly been followed by a short-term pullback. The downside edge doesn’t last long, though. It seems to pretty much play itself out over the first 2 days.  It is not an overwhelming edge, but it is still worth noting that SPY has been short-term extended for a while and the normal course of action at this point is a little pullback.

VXO Is Suggesting….

Posted on December 27th, 2013

Thursday we again saw the VIX and VXO close well below their recent mean.  Such stretches suggest a collapse in fear among investors.  The study below was last seen in the 10/21/13 subscriber letter. It looks for stretches of 15% or more that…

‘Twas 3 Nights Before Christmas (Nasdaq version)

Posted on December 20th, 2013

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 Nasdaq Composite stands out as the big winner.

The stats in this table are strong across the board, and the note at the bottom shows reliability that has been nothing short of incredible.  Traders may want to keep this one in mind over the next couple of weeks.

Santa Claus Comes at Night

Posted on December 18th, 2013

This time of the year is well known for its strong seasonality. The “Santa Claus Rally” was coined by Yale Hirsch many years ago and it refers to the last 5 trading days of December and the 1st 2 of January. I’ve broadened it some for the studies below, which show performance from the close …

Recent Employment Days

Posted on December 6th, 2013

The employment report is due to be released Friday morning.  News there could certainly send the market in either direction.  But anxiety about the employment report has largely been unfounded over the last year and a half.  The table below was published in Wednesday night’s subscriber letter.  It looks at how the VIX, XIV and SPX have all performed on employment days since 7/1/12.

These 17 instances have shown a strong propensity for the VIX to drop, and XIV and SPX to rally.  We’ll see how it works out today, but the recent tendency has been bullish on employment days.

VIX Closes Up For The 7th Day In A Row While SPY Is Uptrending

Posted on December 5th, 2013

One notable bit of action is that Wednesday marked the 7th day in a row that the VIX has risen.  That is a very unusual streak.  I decided to look back at all other times the VIX had risen for 7 days in a row while SPY was above its 200ma. &n…