The banks got hit hard on Tuesday with the BKX falling nearly 3%. Below are results of the last 10 times the BKX dropped on the day before a Fed Day. Gains of 5% or more are highlighted in yellow.
Topics: Fed Study, Quantitative Study

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Below is some research from last night's Subscriber Letter ... The S&P and Nasdaq set new closing highs Monday. They were the 1st closing highs since late November. Typically when the SPX breaks out to a new closing high after not making one for..
Topics: Quantitative Study

{"title":"Nasdaq Confirms S&P New High - Does It Matter?","post_url":"http:\/\/quantifiableedges.blogspot.com\/2009\/12\/nasdaq-confirms-s-new-high-does-it.html","feed_url":"http:\/\/quantifiableedges.blogspot.com\/feeds\/posts\/default?alt=rss","author":"QuantifiableEdges","date":"2009-12-15 05:10:00","summary":"Below is some research from last night's Subscriber Letter ... The S&P and Nasdaq set new closing highs Monday. They were the 1st closing highs since late November. Typically when the SPX breaks out to a new closing high after not making one for.."}

This week is options expiration. Over the last 25 years December options expiration week has been the most consistently positive week of the year for the SPX. Below I’ve updated and expanded the study from last December that looked at this phenomenon...
Topics: Quantitative Study, seasonality

{"title":"The Most Wonderful Tiiiiime Of The Yearrrrrrr","post_url":"http:\/\/quantifiableedges.blogspot.com\/2009\/12\/most-wonderful-tiiiiime-of-yearrrrrrr.html","feed_url":"http:\/\/quantifiableedges.blogspot.com\/feeds\/posts\/default?alt=rss","author":"QuantifiableEdges","date":"2009-12-13 21:01:00","summary":"This week is options expiration. Over the last 25 years December options expiration week has been the most consistently positive week of the year for the SPX. Below I\u2019ve updated and expanded the study from last December that looked at this phenomenon..."}

Below is one study that appeared in the Quantifinder last night. It suggests a bearish edge thanks primarily to the poor Nasdaq breadth on Thursday. I’ve updated the table from the 4/29/09 blog below. I should note that while there appears to be a bit..
Topics: Nasdaq Up Issues %, Quantitative Study

{"title":"Poor Nasdaq Breadth A Bit Of A Downer","post_url":"http:\/\/quantifiableedges.blogspot.com\/2009\/12\/poor-nasdaq-breadth-bit-of-downer.html","feed_url":"http:\/\/quantifiableedges.blogspot.com\/feeds\/posts\/default?alt=rss","author":"QuantifiableEdges","date":"2009-12-11 05:33:00","summary":"Below is one study that appeared in the Quantifinder last night. It suggests a bearish edge thanks primarily to the poor Nasdaq breadth on Thursday. I\u2019ve updated the table from the 4\/29\/09 blog below. I should note that while there appears to be a bit.."}

After posting an outside day on Friday, the SPY followed up with an inside day on Monday. This was also noted by Scott Andrews of Masterthegap.com last night. I’ve recently become acquainted with Scott’s work and find his application of statistical...
Topics: Quantitative Study

{"title":"Does An Inside Day After An Outside Day Provide a Directional Edge?","post_url":"http:\/\/quantifiableedges.blogspot.com\/2009\/12\/does-inside-day-after-outside-day.html","feed_url":"http:\/\/quantifiableedges.blogspot.com\/feeds\/posts\/default?alt=rss","author":"QuantifiableEdges","date":"2009-12-08 05:45:00","summary":"After posting an outside day on Friday, the SPY followed up with an inside day on Monday. This was also noted by Scott Andrews of Masterthegap.com last night. I\u2019ve recently become acquainted with Scott\u2019s work and find his application of statistical..."}