Quantifiable Edges

When SPX Closes Just Under a 50-day High Prior to a Fed Day

noreply@blogger.com (Rob Hanna) — Wed, 25 Jan 2012 14:23:00 +0000

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 safe because the market just missed a new high by 0.1% on Tuesday? Last night I suspected not. And so I ran the below test. Since we are near a 50-day high I used that as the filter rather than a 20-day high. I looked at times where the SPX did NOT close at a 50-day high, but in fact closed less than 0.5% below it. So although it is not a new high, the environment still appears positive. Let’s look at the results.

Twenty-five instances and the result is nearly dead-even. This is very similar to what we saw with yesterday’s study. I’m not viewing today as a typical strongly-bullish Fed Day.

Intermediate-Term Highs Prior to Fed Days

noreply@blogger.com (Rob Hanna) — Tue, 24 Jan 2012 14:40:00 +0000

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 the “Fed Day”label. And many more may be found in the “Quantifiable Edges Guide to Fed Days”.

One variable I briefly discussed in the 11/3/10 blog was whether the market was already at an intermediate-term high. Today I thought I would illustrate that study graphically.

First, let’s take an updated look at SPX performance on Fed Days when the SPX has NOT closed at a 20-day high the day before.

That’s basically 30 years of bullishness.

But now let’s see performance at times when the SPX did close at a 20-day high the day before.

No consistency and no pronounced edge in this sample of 36 instances.

Traders looking to play for a short-term Fed Day bump should be hoping the SPX does not close up and at a new high again today.

When the Market Closes Strong Just Prior to Op-Ex Day

noreply@blogger.com (Rob Hanna) — Fri, 20 Jan 2012 13:53:00 +0000

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 examines performance when the SPX closes in the top 10% of its 10-day range on the Thursday before op-ex. Stats have been updated.

The numbers here are fairly compelling and suggest a possible downside edge. Prior to 2003 the edge was less pronounced but still negative.

January Op-ex Week's Recent Struggles

noreply@blogger.com (Rob Hanna) — Tue, 17 Jan 2012 13:33:00 +0000

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 results. Note that some of these weeks contained four trading days and some contained five. In either case the market was assumed to have been “bought” the Friday before op-ex Friday and “sold” on op-ex Friday.

As you can see there has been a decided downside tendency over the last 13 years. The drawdown / run-up stats at the bottom are especially compelling for the bears.

New High, Unfilled Up Gaps, but Weak Finishes

noreply@blogger.com (Rob Hanna) — Wed, 11 Jan 2012 14:28:00 +0000

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 on Tuesday have been followed by much more positive action when the rally closed meekly. Tuesday's action actually appears bullish. This is something I examined just last week in the 1/4/12 Subscriber Letter. Below is an excerpt from that letter.

I ran a test of performance following unfilled upside gaps that make a 20-day high. Below I’ve broken out the results by times the SPY closed above the open versus times where it closed below the open.

First let’s look at those times where the finish was relatively strong:

There doesn’t appear to be any edge in either direction here. Now let’s examine times like the present where SPY closed below the open.

These results are substantially better than earlier where the finish was good. Rather than worrying about the weak finish bulls should be excited by it.

When SPX is Above the 200ma and Closes Down on an Employment Day

noreply@blogger.com (Rob Hanna) — Mon, 09 Jan 2012 14:00:00 +0000

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 point to a decent upside edge.

2011 (and prior) Trade Idea Results from the QE Subscriber Letter

noreply@blogger.com (Rob Hanna) — Fri, 06 Jan 2012 20:50:00 +0000

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 improve their results in 2012. I don’t post results regularly because while I've always tracked trade ideas in the subscriber letter, it isn't the main focus of the service. I don't consider Quantifiable Edges to be a stock picking service. I consider it one where traders can gain market and trading knowledge through the published research, systems, and tools. The objective is to provide tools and instruction to help traders improve their own trading and results.

But the published trade ideas have done quite well. In fact, during 2011 October was the only month where the trade ideas failed to add up to positive gains. I've had several letters from subscribers lately telling me they've done quite well following certain ideas and that is always nice to hear.

I don't suggest position sizes, and I would never suggest that the trade ideas represent any kind of complete portfolio strategy. They are what they are - ideas about certain stocks or ETFs that have historically provided a statistical edge.

It is important to note that all of the trade ideas are in either ETFs or in highly liquid large cap stocks (almost exclusively S&P 100 components). I do this so that executing trades and getting fills at reasonable prices is not an issue. I think traders feel the most frustrating aspect of following trade ideas offered by some services is not being able to get into or out of the trades that they suggest at a similar price. I’ve addressed this problem with limit prices and highly liquid securities.

Some of my goals with a gold subscription have always been to help people improve their trading through the use of quantified research, and while doing so to help them offset the costs of the subscription by offering easy-to-execute trade ideas with a long-term positive profit expectancy. To date I believe Quantifiable Edges has succeeded in doing this.

Today I broke the results down by year. Amazingly, for the 2nd year in a row the trade ideas during 2011 averaged a 1.00% gain per trade idea. I also listed all of December and January’s (so far) results below so that traders could see some examples. For tracking purposes I only count trades after they have been closed out. With most trades being of the swing variety this doesn’t normally skew results much. But we did just close out a big winner that was entered in November so 2012 results are overstated while 2011 are a bit understated due to that particular trade. First let’s look at the results by year:

Now recent trade ideas:

For those that are interested, the complete list of trade ideas from 2008 - present can be downloaded from the systems page of the members’ section of Quantifiable Edges. (Available to paid and trial subscribers.) And with the full archive of subscriber letters available on the site, gold subscribers can also go back and see what I wrote about any trade and my reasons for entry and exit when it happened.

With a subscription to Quantifiable Edges I try and provide traders with ideas and instruction to improve their trading. These ideas may come in the form of previously published studies identified by the Quantifinder, or they may be something I discuss in the current subscriber letter, or perhaps it's a webinar focused on a certain trading approach or indicator, or any other number of tools that I've designed and made available. (For a more complete list of tools, see the "Using Quantifiable Edges" series of posts.) The trade ideas found in the subscriber letter are examples of how I put these tools and ideas to work. While past performance is not necessarily indicative of future results, over the long run they’ve performed well enough that many subscribers have used them for their benefit.

For more information on a gold subscription, or to subscribe, click here.

Lastly, below is the explanations and disclaimer from the Trade Ideas Results Spreadsheet.

All trade ideas ever tracked in the Quantifiable Edges Subscriber Letter may be found on this spreadsheet. I don’t suggest position sizes. The primary reason for this is I’m not acting as a financial advisor. I don’t feel it is appropriate to suggest allocation sizes without understanding someone’s financial situation and risk tolerance. Even for my own trading I run different portfolios with different levels of aggressiveness. For instance, my most aggressive may use options to sometimes get 300-400% leveraged. Other portfolios on the other hand normally take much more conservative stances and some rarely reach or exceed 100% exposure.

Since I don’t suggest position sizes this is should not be considered a performance report, but rather a trade idea scorecard. Therefore, no matter how objective I try to be the reporting of the results is always going to be skewed depending on how you approach the trades. For instance, I always recommend scaling into the Catapult positions in 3 parts, whereas the “System” trades (whatever system I unveil other than Catapult) are normally one entry. The “Index” trades I normally recommend scaling into as well. For my own trading I trade much larger size with the index trades than any of the individuals. I also control my exposure by limiting the total amount invested per day. As I mentioned, this will vary depending on the account I’m trading. My most aggressive account I may put in up to 100%/day and get heavily leveraged using options. A more conservative account may max out at 15%-20% per day.

It’s unlikely anyone would have taken all of the trades with equal amounts, so personal results would vary greatly depending on the trader’s approach. Simply adding up the results of the individual triggers as I do is an admittedly poor representation of returns. A net positive or negative does not necessarily mean a person following the ideas would have made or lost money during the period measured. And the sum total is certainly not representative of what a portfolio would return.

Feel free to contact me at support @ QuantifiableEdges.com if you have any questions.

As required by the NFA: Except where otherwise specifically stated, all trades are based on hypothetical or simulated trading. Hypothetical or simulated performance results have certain inherent limitations. Unlike an actual performance record, simulated results do not represent actual trading. Also, since the trades have not actually been executed, the results may have under-or-over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. Commissions, fees, and slippage have not been included. This is neither a solicitation to buy/sell securities or listed options.

Strong Closes for Very Modest Gains

noreply@blogger.com (Rob Hanna) — Thu, 05 Jan 2012 14:23:00 +0000

The study below was from the Quantifinder yesterday and was last seen in the 1/26/11 subscriber letter. 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. Stats are updated.

As you can see, the bearish inclination appears to max out after just 1 day. And while not terribly large, the edge has been fairly consistent over time. Just a little pattern to keep in mind today and in the future…

1% Gaps To Start A Month

noreply@blogger.com (Rob Hanna) — Tue, 03 Jan 2012 14:06:00 +0000

With futures up over 1.5% as I type pre-market, we’re seeing an unusually large gap up to start the year. Below is a list of the 8 other instances since 2003 that SPY gapped up at least 1% to start the month.

A few notes:
8/2/10 was the only instance that gapped up as much as 1.5%.
Looking out over next several days there was typically a pullback following day 1.
None of the other instances started off the year.

Evidence isn’t overly compelling, but we could see some add-on buying during the day today.

NASDAQ's Astounding Performance on the Last Day of the Year

noreply@blogger.com (Rob Hanna) — Fri, 30 Dec 2011 14:19:00 +0000

Last year in the 12/30/10 blog I showed that while the last day of the year used to be a bullish day for the market it seems to have changed over the last decade into a seasonally bearish day. I looked at performance across a number of indices last night and found the tendencies to be fairly consistent. Below is an updated equity curve for the NASDAQ Composite on the last day of the year. Its results easily stood out the most.

Closing up 29 years in a row is fairly astounding. Just as astounding is the abrupt end to the apparent edge. I am not yet ready to fully label the last day as bearish, but it should certainly no longer be considered bullish. I have no good explanation for why this may have changed, but it obviously has.

And that is something we always need to keep in mind. The market is constantly changing. It is important to always keep studying it, keep an open mind, and adapt as it evolves. Best to all in 2012! I hope it is a prosperous year for you and I hope Quantifiable Edges proves helpful along the way!

QE Big Time Swing System 2011 Results Posted

noreply@blogger.com (Rob Hanna) — Thu, 29 Dec 2011 17:15:00 +0000

I’ve updated the Quantifiable Edges Big Time Swing System overview page with results through December 28th. There is not a SPY trade currently open and based on the current market setup there is no chance of a trade triggering before year-end. I don’t update results that often since the system only trades about once per month on average.

The 2nd half of 2011 was a somewhat difficult period for those using the system to trade SPY. In August SPY suffered the worst losing trade in its history after it triggered long shortly before the US debt downgrade and market collapse. This 1 trade alone was responsible for an 8.26% loss. But even with the loss the Quantifiable Edges Big Time Swing System managed to finish the year with a small 0.25% gain for SPY traders (including dividends, commissions, interest, and compounding assumptions). This was certainly disappointing but in a tough year for the market, and with the SPY suffering it’s worst drawdown ever, it was nice to be able to finish in the black.

Traders who used the standard parameters and traded any of the other 29 ETFs that I discussed in the manual and have tracked for the last several years likely made out much better than this. Including SPY, the average return of the 30 ETFs was 11.54% and the median was 9.65%% (see assumptions in table). If you want to see stats for the full history of the 30 ETFs, that can be found on the Quantifiable Edges Big Time Swing overview page. I have listed 2011 trading results for all 30 ETFs in the table below.

You may have noticed that SPY shows a gain of just over 1% here. The disparity between this 1% gain and the 0.25% gain shown on the overview page is primarily the dividends that had to be paid on short positions and the fact that it had to overcome a drawdown. Most of the time the "raw" returns here will understate the compounded results. That isn't the case this year for SPY.

As you can see, EEM was the star in 2011. It has done extremely well over the last 5 years. This is the 3rd year in the last 5 that is has returned over 33%, and all 5 years it gained better than 12.5%. This isn’t typical, though. EEM has been an especially strong performer.

For those looking for a system that they can use as a base to build their own system from, the Big Time Swing is an attractive option. It is all open-coded and comes complete with a substantial amount of background historical research. And since it is only in the market about ¼ of the time, it can easily be combined with other systems to provide greater efficiency of capital. Once you’re ready to try and improve the system yourself you can also refer to the system manual or the August 2010 purchaser-only webinar – both of which discuss numerous ideas for customization.

And if system development isn’t your thing, the Big Time Swing System provides easy to follow mechanical rules that you can follow. The standard parameters have performed quite well. There are only about 12 trades per year averaging 7 trading days per trade. All entries and exits are either at the open or the close. And to be sure you have everything set up properly traders may follow the private-purchasers only blog that shows all SPY signals and possible entry/exit levels. This service is free for 12 months from the date of purchase.

For more information and to see the updated overview sheet, click here.

If you’d like additional information about the system, or have questions, you may email BigTimeSwing @ Quantifiable Edges.com (no spaces).

When SPX Drops Hard After A Steady Drift Higher

noreply@blogger.com (Rob Hanna) — Thu, 29 Dec 2011 13:47:00 +0000

Wednesday’s selling followed a slow drift higher and wiped out a few days worth of gains. Below I show results of the 30 instances since 1982 where 3+ days of gains were erased after a rally of 5+ days.

These results appear to provide a solid upside edge over the next 1-10 days. In the past such-give backs after a steady rise have not suffered substantial additional selling. Instead they have often been followed by a resumption of the move up.

'Twas 3 Nights Before Christmas (Nasdaq Version)

noreply@blogger.com (Rob Hanna) — Thu, 22 Dec 2011 14:02:00 +0000

The last few years I have shown the "Twas 3 Nights Before Christmas" study along with results for the SPX. It continues to do well. But this year I decided to show results for the Nasdaq Composite. As you'll see, the seasonality there has been even stronger and more reliable.

The stats in the table are stronger across the board, and the reliability shown at the bottom of the table is nothing short of incredible. Not all my studies are currently bullish, but based on this one I would expect to see at least a mild rise in the Nasdaq at some point in the next several days.

When 90% Down Days Are Followed By 90% Up Days

noreply@blogger.com (Rob Hanna) — Wed, 21 Dec 2011 13:46:00 +0000

After seeing over 90% of the volume come to the downside on Monday, Tuesday registered a 90%+ upside volume day. A 90% down followed by a 90% up day is something that was never seen from 1970 – 2006. But this is the 10th time we’ve seen it happen since the beginning of 2007. Below I have listed the previous 9 and shown how the SPX has fared the following day.

Though instances are low statistics at this point appear solidly bearish, suggesting a possible 1-day downside edge. The high downside risk vs the small upside reward makes the results especially compelling for the bears.

Introducing the Quantifiable Edges Catapult Exit Designer

noreply@blogger.com (Rob Hanna) — Wed, 14 Dec 2011 19:56:00 +0000

The Quantifiable Edges Capitualtive Breadth Indicator (more commonly known as the “CBI”) was introduced in just the 3rd blog post I ever did on January 6, 2008. The CBI was devised from a system I use to trade individual (primarily S&P 100) stocks and sometimes ETFs. I devised the system in 2005 and refer to it as my “Catapult” system. The Catapult was designed to take advantage of extreme (often capitulative) selling in these securities. The CBI reading is basically a count of the open Catapult triggers at any one time among S&P 100 stocks. What I noticed early on was that broad triggering of this system was frequently a sign that not only were these individual stocks primed for a bounce, but the market as a whole was also very likely to bounce. I have written an awful lot on the blog about edges that could be found by entering the market when the CBI reached certain levels. Traders that would like to examine any of that research more closely are always welcome to use the “CBI” label at the right hand side of the blog. It will pull up all associated posts.

In February 2008 I began the Quantifiable Edges Subscriber Letter. As part of the letter I included signals for my Catapult System. The success of the Catapult trades over the years has made it an attractive and somewhat popular feature for subscribers. I publish any signals that occur that night in the letter. Then using a limit order the next day I track them in the letter as well. When the exit signal occurs I also note this. The standard exit for a Catapult is at the open the day following the exit trigger. (On occasion I will send intraday updates alerting subscribers that the exit will trigger at a certain level and I am going to exit the trade at the close rather than waiting for the next day’s open.) While many subscribers have profited from the Catapult trades, there has been one common complaint.

The complaint is that since the Catapult is the one system on the site in which I do not reveal the entry and exit criteria it makes the trades uncomfortable for some traders. Not knowing when (or exactly how) the exit will come has prohibited some subscribers from ever entering these trades. They have instead watched many go by and found themselves a bit frustrated that they couldn’t take advantage without understanding the exit criteria. So I set about to solve this issue. Recently I released to subscribers the “Catapult Exit Designer” for Tradestation. The Catapult Exit Designer is open code that triggers entries as listed in the Subscriber letter over the last 4 years (over 250 trades) and allows the users to test their own exit criteria. It generates files for them with results of all trades. And for those subscribers that don’t use Tradestation, I show all the code and explain all the logic behind it so that you may easily transfer it to you preferred platform. In addition I provide sample exit strategies that would have produced results very similar to the actual Catapult exits.

The Catpult trades have done very well over the years. Of those that received fills and were tracked in the letter over 72% were winners, the average trade made 3.35% and the profit factor has been an impressive 3.32. What has most attracted me to this strategy is not just the fact that it has made money, but WHEN. Catapults generally trigger when the market gets scary. They happen when other systems and techniques I employ have sometimes struggled. So they have not only made me money, but they've done so when other methods were losing. This was greatly useful in helping me to limit or avoid drawdowns. The timing of the trades can be seen in the chart below. The top of the chart shows the S&P 500. The indicator on the bottom is the CBI. One way I track catapult trades is by "clusters". A cluster of trades begins when the CBI moves above zero and it ends when the CBI returns back to zero. Historically I found over 90% of clusters would have been net winners had you taken all the trades in the cluster with equal size. (The last cluster that had a net loss was about 2 ½ years ago.) Above each cluster in the chart is a number. That number shows the net additive gains that would've been generated by that particular cluster.

(As an example to clarify, the latest cluster closed out in October. That cluster saw 8 Catapults get triggered and filled. They all were winners (not typical). The % gain for each was the following: 2.8%, 6.2%, 5.0%, 11.1%, 5.2%, 8.9%, 0.2%, and 0.3%. Add those numbers up and you get the 39.7% shown above the October cluster. That is what I mean by “additive gain”. It is NOT a portfolio return.)

This year all the trades have come in 4 big clusters. And they all came during sharp selloffs when other methods may have been under stress. I’d be happy to show years 2008 – 2010 but this post is already way too long. If you want to see those results you may use the link below. They are shown there.

http://quantifiableedges.blogspot.com/2011/02/using-qe-to-your-advantage-subscriber.html

The Catapult System has been a favorite of mine and of subscribers over the years. Hopefully with the new Catapult Exit Designer more people can begin to take advantage of the opportunities the Catapult System identifies. If you think there might be some tough times in 2012 and would like to implement a method that can possibly take advantage of them, then the Catapult System may be one option. Both the Catapult System triggers and the new Exit Designer are completely included in a Quantifiable Edges Gold Membership.

When BKX Drops Hard The Day Before A Fed Day

noreply@blogger.com (Rob Hanna) — Tue, 13 Dec 2011 13:42:00 +0000

One sector that is especially sensitive to Fed Days is the banking sector (BKX). BKX closed down on Monday about 2.5%. The study below looks at drops of 2% or more on the day before a Fed Day, and how the BKX responded on the Fed Day.

Instances are a little low here but the stats are overwhelming. Below I have listed all instances.

Not shown in all the above stats is that the average run-up was 4.2% and the average drawdown just -0.6% during the Fed Day. Overall risk/reward appears strongly favorable for BKX based on the limited sample size.

The Mooost Wonderful Tiiiiiiime of the Yearrrrrrrrr!

noreply@blogger.com (Rob Hanna) — Mon, 12 Dec 2011 13:31:00 +0000

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 demonstrated this most recently in the the blog exactly a year ago. I’ve updated that study below to include last year’s stats.

The stats still appear extremely strong. I normally only show equity curves in my subscriber letter, but I'm in a good mood this morning, so below is a curve using a 5-day holding period.

Aside from the big pullback in 2000, it has been a strong steady move higher. This would seem to confirm the bullish edge.

The Nasdaq's Strong Tendency Under Similar Circumstances Over the Last Decade

noreply@blogger.com (Rob Hanna) — Tue, 06 Dec 2011 13:37:00 +0000

Many people are aware that several higher closes during a downtrend will often suggest a downside edge. Few people realize how strong this tendency has been in the Nasdaq over the last decade, especially once the index has closed up 4 days in a row. With the Nasdaq now up exactly 4 days in a row as of Monday’s close, the study below is triggering.

Not only has the bearish tendency been strong and consistent, but it has persisted for as long as 2 weeks in most cases.

Are you wondering why the 50-day low filter is included? Here's why:

http://quantifiableedges.blogspot.com/2011/10/why-shorting-in-this-environment-can-be.html

2 Up Days After A 20-day Low The SPY Gaps Up 1%...

noreply@blogger.com (Rob Hanna) — Wed, 30 Nov 2011 14:33:00 +0000

A quick study for you the morning...

Not much to go by, but perhaps some caution is warranted intraday. I also looked out over the next few days. They appear to be a tossup.

2% Gaps Up From 20-day Lows

noreply@blogger.com (Rob Hanna) — Mon, 28 Nov 2011 14:04:00 +0000

With SPY looking to gap up over 2.5% this morning below is a quick look at all other instances since 2003 when SPY gapped up over 2% immediately following a 20-day low.

Low number of instances, but the suggestion is obvious. I would note, though that although they all finished higher, they also saw some substantial pullbacks from the opening price.

When The Wednesday Prior To Thanksgiving Has Closed Lower

noreply@blogger.com (Rob Hanna) — Wed, 23 Nov 2011 19:25:00 +0000

It appears the market is going to buck historical tendencies today and close down. This will be the 11th time since 1960 that the SPX has closed lower on the Wednesday before Thanksgiving. Below I have listed the other 10 instances along with the SPX performance on Friday (the day after Thanksgiving).

The 2 instances that I have circled are the only 2 where the SPX closed the Wednesday before Thanksgiving down over 1%.

For what it's worth I would note that statistics associated with these 10 instances (win %, profit factor, avg. gain, etc) are pretty much in line with all Fridays after Thanksgiving. (It has generally been bullish.)

The Wednesday Before Thanksgiving

noreply@blogger.com (Rob Hanna) — Wed, 23 Nov 2011 13:56:00 +0000

Thanksgiving has typically shown some pretty consistent seasonality. Both the Wednesday before and the Friday after have exhibited bullish tendencies while the Monday after has been slightly bearish. Last year I showed a table breaking it all down by day. Today I decided to show a profit curve that represents simply owning the SPX from Tuesday's close through Wednesday's close.

Futures are down quite a bit this morning, so it may be difficult to keep this curve moving higher today, but over the years the next couple of days has been a pretty good bullish bet. And when seasonality is this consistent it is often worth keeping in mind.

A 1% Gap Down from a 20-day Low

noreply@blogger.com (Rob Hanna) — Mon, 21 Nov 2011 14:25:00 +0000

The SPY finished at a 20-day low on Friday, and now it is gapping down large this morning. I ran a test to see what kind of intraday edge this might suggest.

The raw numbers appears to suggest a mild intraday upside edge. But take a look at the profit curve.

This curve does not get me excited about buying into this gap down. Instead I will need to see more compelling evidence in order to anticipate an intraday move higher.

Vegas Traders Expo

noreply@blogger.com (Rob Hanna) — Thu, 17 Nov 2011 17:46:00 +0000

I am at the excellent Las Vegas Traders Expo for the next few days. I plan on seeing several presentations and will be speaking myself on Saturday. I'd love to meet some blog readers, so please come introduce yourself if you see me.

More information here:

http://www.moneyshow.com/tradeshow/las_vegas/traders_expo/main.asp

And here's the info on my presentation:

http://www.moneyshow.com/tradeshow/las_vegas/traders_expo/workshop_details.asp?wid=662DEA40711D4A5996872FB4F518F39D

Low Volume A Possible Concern

noreply@blogger.com (Rob Hanna) — Tue, 15 Nov 2011 14:20:00 +0000

Monday’s extremely low volume could be a short-term bearish sign. The 0.96% drop did not quite qualify for this 2008 study, but below is another past study that does exemplify the low-volume issue. Rather than index volume, it uses SPY volume. Either one would yield similar results in this case.

While not the most overwhelming edge we’ve ever seen, it does seem to strongly suggest that caution is warranted.