Quantifiable Edges

While $SPX / $SPY closed down 5 of 6 days heading into today, it never closed in the bottom third of its intraday range. Always some optimism into the close. That may change today. Not looking strong so far...

Fed Study | Quantifiable Edges DISCLAIMER: PAST PERFORMANCE, WHETHER ACTUAL OR TESTED, DOES NOT GUARANTEE FUTURE RESULTS, PROFITABILITY, OR CORRELATION TO ANY LISTED SECURITY OR TRADE IDEA.

Plenty more Fed Day research here: quantifiableedges.com/category/fed... $FED $SPX $SPY

Why A New High Before A Fed Day Is Discouraging | 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. A higher close today would not be the most favorable Fed…

Tomorrow is a $FED Day. Historically, Fed Days have shown a bullish edge, but not when $SPX makes a new high the day before. From a couple years back... quantifiableedges.com/why-a-new-hi... $SPY

Jan $VIX futures / options expiring Wed morning. Action could be interesting there over the next 24hrs.

Action Mon-Tues Can Skew $FED Day Odds On Wednesday | Quantifiable Edges While the Fed decision will certainly play a part in how the market performs on Wednesday, another factor that has historically played into Fed Day odds is simply how the market performed leading up…

A down close today would mean a 5-day $SPX low close ahead of a Fed Day. This post from a while back shows why that has been a much better setup than a 5-day high close: quantifiableedges.com/action-mon-t... More Fed studies here: quantifiableedges.com/category/fed... $SPY $FED

Final reminder that the Quantifiable Edges Black Friday -> Cyber Monday sale ends in a few hours. Last chance to save until next Thanksgiving! quantifiableedges.com/subscribers/...

The Quantifiable Edges 2025 Black Friday sale was extended through Monday. Save on subscriptions and courses at the only sale of the year: quantifiableedges.com/subscribers/...

$SPX trying hard to close over 6840.20 and finish the month positive. Let's see...

Quantifiable Edges Black Friday sale is live: quantifiableedges.com/subscribers/... It's the only sale we've had since last Black Friday...so don't miss out!

If Mon & Tues close higher does that kill the Wed-Fri Thanksgiving bullish edge? Nope. I'll be discussing this study and more in tonight's letter. Also...Black Friday sale coming later this week so it might be a good time to take a free trial: quantifiableedges.com/subscribers/... $SPY $SPX

Yesterday I posted Thanksgiving week stats.Wed-Fri both have bullish tendencies. This is NOT a secret. In fact, it is an edge that is often front-run on Tuesday afternoon...I say this because 9 of last 10 Thanksgiving-week Tuesdays saw $SPY close in the top 1/2 of its intraday range. $SPX $STUDY

An updated look at Thanksgiving week stats: quantifiableedges.com/an-updated-l... $SPX $SPY $STUDY

Previous research of mine has shown 1) Friday is the least likely day of the week to see a bounce from an intermediate-term low, BUT 2) If $SPX does bounce, Friday is the most likely day to see short-term follow-through. $SPY

If the market closed right now, the Quantifiable Edges Capitulative Breadth Indicator (CBI) would finish at 7. Perking up, but not yet at the 10+ level I look for as a strong indication of a bounce. Lots of CBI research here: quantifiableedges.com/category/cbi/ $SPX $SPY #CBI

Podcast "The Algorithmic Advantage" is the podcast and research newsletter of Algo Advantage. Check us out on YouTube!

Looking forward to joining Simon on the Algo Advantage podcast www.algoadvantage.io/podcast/ in the next week or so! Let @algo_advantage know if there is anything you want to hear us talk about.

Despite spike in $VIX the Nov-Dec futures are still slightly in contango. And rest of term structure looks orderly. Selloff not creating panic yet.

$NYSE volume is very light today. That is normal on days the stock market is open an the bond market is closed (Veteran's Day, Columbus Day). Don't make the mistake of reading into the low volume and thinking it is an indication of something more.

This is the 3rd day in a row that we are seeing $VIX and $VX futures rise along with $SPX. Unusual action.

A bunch of Fed Day studies to help you prep for tomorrow... quantifiableedges.com/category/fed...

Since the 9/11/2001 attacks and tragedy, September 11th has been a very strong day for the market. See study below, which will be included in tonight's subscriber letter. $SPX $SPY

The Reversal Tendency of Labor Day Week: quantifiableedges.com/the-reversal... $SPX $SPY $QUANT $STUDY #seasonality

First trading day of the month has generally been strong...except August: quantifiableedges.com/first-tradin... $SPX $SPY #seasonality $QUANT $STUDY

$SPX 21-day realized vol closing at lowest level (6.24) since July 2024. $VIX may seem low at 15, but it is almost 9 points above realized. Opportunities for real vol this week with earnings, $FED and jobs report. But if realized stays low through this, $VIX could be a good bit lower next week.

Also notable is that the edge basically plays out between Tues close and Wed announcement... quantifiableedges.com/why-waiting-... $SPX $SPY

$FED Day coming Wednesday. A few notes about Wed odds for you to prep as we approach... edge has been stronger with selling ahead of announcement. 3 examples: quantifiableedges.com/action-mon-t... and quantifiableedges.com/why-a-new-hi... and quantifiableedges.com/strong-selli...

I really liked this recent paper, by Tom Carlson. It presents a interesting approach to a Defense First strategy. papers.ssrn.com/sol3/papers.... $QUANT $STUDY

July has historically seen the best 1st day of any month. Performance from 1989 - 2024 can be seen in the attached chart. Note the last 14 years in a row have closed higher!

$SPX is very close to a new all-time high. Interestingly, the 50ma is still below the 200ma (Death Cross formation). It takes a sharp rally to accomplish that. I looked back and found only 4 previous instances where $SPX closed at a new high while Death Cross was still in effect. $SPY $QUANT $STUDY

One interesting aspect of Monday's action was how large the rally was compared to the recent range. $SPX moved from a 10-day low close on Fri to closing > 10ma. Only 10th time since 1961. Previous 9 showed no short-term edge. (Basically coinflip next few days.) Still interesting to me. $SPY $STUDY

Here's an interesting little study that popped up while I was doing my research this weekend... $SPY $SPX $QUANT $STUDY