Quantlake

Beat fear. Beat FOMO. Stay disciplined with ETF insights and quant strategies. Not financial advice.

[Quantlake @QuantLake]

Are gold miners a gold position or an equity position?

$GLD against $GDX on correlation to the S&P 500, to bullion, and on volatility.

https://t.co/AecoKWXZpC

[Quantlake @QuantLake]

Intermediate Market Trends, our weekly check

How many of our 58 equity ETFs are ahead of the S&P 500 over 13 weeks?

https://t.co/U5AVpQIz5D

$SPY

[Quantlake @QuantLake]

Key Movers in our Fixed Income ETFs, week ending Oct. 23

Leader: Long Treasuries $TLT +1.6%

Laggard: Preferred Stock $PFF -0.3%

$SPY fell 0.4% over the week.

#LongTreasuries #PreferredStock

Quantlake Research · AI-generated voiceover

[Quantlake @QuantLake]

Key Movers in our Specialty ETFs, week ending Oct. 23

Leaders: Biotechnology $IBB +2.8%, Min Volatility $USMV +1.7%

Laggards: Gold Miners $GDX -8.6%, Gold $GLD -4.0%

$SPY fell 0.4% over the week.

#Biotechnology #MinVolatility #GoldMiners

Quantlake Research · AI-generated voiceover

[Quantlake @QuantLake]

Key Movers in our Equity ETFs, week ending Oct. 23

Leaders: Dividend Quality $SCHD +2.7%, Dividend Aristocrats $SDY +2.2%

Laggards: Copper Miners $COPX -8.6%, China Large Cap $FXI -4.5%

$SPY fell 0.4% over the week.

#DividendQuality #DividendAristocrats #CopperMiners

Quantlake Research · AI-generated voiceover

[Quantlake @QuantLake]

The Quantlake Herd Index fell 47 points in 10 sessions to 23.9, in Fear, its lowest since April 2.

After past Fear readings, $SPY's one-month median return was +2.0% (p10 -3.2%, p90 +5.5%), against +1.7% (-4.0%, +5.5%) for all days since 2009.

SPY's 21-day volatility is calm (10.6%). In Fear with calm volatility, the one-month median was +1.4%, against +1.3% for all calm days.

#SP500 #FearAndGreed

[Quantlake @QuantLake]

$SPY printed a On Neck Pattern on Oct. 23, down 0.52% to $759.97, with the Quantlake Herd Index in Fear.

After the 32 past On Neck Pattern days, SPY's one-month median return was +1.8% (p10 -4.4%, p90 +7.8%), against +1.7% (-4.0%, +5.5%) on all other days. Fear had 8, under our 50-case minimum.

SPY's 21-day volatility is calm (10.6%). Held constant, it gives a one-month p10 to p90 of -3.9% to +4.0%; the $VIX gives -6.9% to +7.5%.

#SP500 #CandlestickPatterns

[Quantlake @QuantLake]

Technical Signals in our Equity ETFs, Oct. 23

Washout Risk: China $MCHI

Overbought: Dividend Quality $SCHD

Oversold: Copper Miners $COPX, China MCHI, Emerging Markets $VWO

#China #DividendQuality #CopperMiners

Quantlake Research · AI-generated voiceover

[Quantlake @QuantLake]

Key Movers in our Equity ETFs, Oct. 23

Outperformers: Energy $XLE +2.60% (3M: +19.5%), Brazil $EWZ +1.77% (3M: +18.7%)

Underperformers: Consumer Staples $XLP -1.92% (3M: +4.1%), India $INDA -1.90% (3M: -5.0%)

3M Leaderboard

Strong: Energy XLE +19.5%, Brazil EWZ +18.7%, Healthcare $XLV +10.1%

Weak: Industrials $XLI -9.9%, China $MCHI -9.7%, China Large Cap $FXI -8.4%

Technical Signals

Overbought: $SCHD

Oversold: $COPX, MCHI, $VWO

#Energy #Brazil #ConsumerStaples

Quantlake Research · AI-generated voiceover

[Quantlake @QuantLake]

US market sentiment is in Fear according to Quantlake Herd Index
• 1M forward $SPY up rate: 73.4% vs 69.2% overall
• Median move: +2.0% vs +1.7%
• Average: +1.5% vs +1.2%
• Sharpe: +1.30 vs +0.89

Not a timing signal. A positioning read.

$SPY: State Street SPDR S&P 500 ETF Trust

#SP500 #FearAndGreed

[Quantlake @QuantLake]

Candlestick Alert: Downside Gap on $SPY

In QHI Fear, 1M forward up rate: 69.0% vs 71.4% overall.
Median: +1.9% vs +2.4%.
Average: +0.7% vs +1.5%.
Sharpe: +0.29 vs +0.99.

#SP500 #CandlestickPatterns

[Quantlake @QuantLake]

Technical Signals in our Equity ETFs, Oct. 22

Washout Risk: China $MCHI

Outsized Gain: Dividend Aristocrats $SDY, Consumer Staples $XLP, Dividend Quality $SCHD

Outsized Drop: Copper Miners $COPX, S&P Growth $SPYG, Taiwan $EWT

Overbought: Global Min Vol $ACWV, Intl Min Vol $EFAV, Dividend Quality $SCHD

Oversold: Copper Miners $COPX, China $MCHI, Emerging Markets $VWO

#China #DividendAristocrats #ConsumerStaples

Quantlake Research · AI-generated voiceover

[Quantlake @QuantLake]

Key Movers in our Equity ETFs, Oct. 22

Leaders: Consumer Staples $XLP +3.31% (3M: +7.7%), Dividend Aristocrats $SDY +2.53% (3M: +3.3%)

Laggards: Copper Miners $COPX -6.27% (3M: -5.9%), South Korea $EWY -4.98% (3M: -8.5%)

3M Leaderboard

Strong: Brazil $EWZ +17.1%, Energy $XLE +14.0%, Healthcare $XLV +11.9%

Weak: South Korea $EWY -8.5%, Industrials $XLI -8.5%, China $MCHI -8.1%

Technical Signals

Outsized Gain: $SDY, $XLP, $SCHD

Outsized Drop: $COPX, $SPYG, $EWT

Overbought: $ACWV, $EFAV, $SCHD

Oversold: $COPX, $MCHI, $VWO

#ConsumerStaples #DividendAristocrats #CopperMiners

Quantlake Research · AI-generated voiceover

[Quantlake @QuantLake]

US market sentiment is in Fear according to Quantlake Herd Index
• 1M forward $SPY up rate: 73.4% vs 69.2% overall
• Median move: +2.0% vs +1.7%
• Average: +1.5% vs +1.2%
• Sharpe: +1.30 vs +0.89

Not a timing signal. A positioning read.

$SPY: State Street SPDR S&P 500 ETF Trust

#SP500 #FearAndGreed

[Quantlake @QuantLake]

Candlestick Alert: Medium White Candle on $SPY

In QHI Fear, 1M forward up rate: 72.7% vs 68.4% overall.
Median: +2.0% vs +1.5%.
Average: +1.7% vs +1.1%.
Sharpe: +1.42 vs +0.79.

#SP500 #CandlestickPatterns

[Quantlake @QuantLake]

Technical Signals in our Fixed Income ETFs, Oct. 21

Counter-trend Rally: EM Sovereign Bonds $EMB

#EMSovereignBonds

Quantlake Research · AI-generated voiceover

[Quantlake @QuantLake]

Key Movers in our Fixed Income ETFs, Oct. 21

Outperformers: EM Sovereign Bonds $EMB +0.24% (3M: -1.9%), High Yield $HYG +0.20% (3M: -1.4%)

Underperformers: Preferred Stock $PFF -0.17% (3M: -2.9%), Int. Treasuries $VGIT -0.05% (3M: -1.1%)

3M Leaderboard

Strong: Short TIPS $VTIP +0.1%, Short Corporate $VCSH -0.2%, Global Bonds $BNDX -0.6%

Weak: Preferred Stock $PFF -2.9%, Long Treasuries $TLT -2.4%, EM Sovereign Bonds $EMB -1.9%

#EMSovereignBonds #HighYield #PreferredStock

Quantlake Research · AI-generated voiceover

[Quantlake @QuantLake]

US market sentiment is in Fear according to Quantlake Herd Index
• 1M forward $SPY up rate: 73.4% vs 69.2% overall
• Median move: +2.0% vs +1.7%
• Average: +1.5% vs +1.2%
• Sharpe: +1.30 vs +0.89

Not a timing signal. A positioning read.

$SPY: State Street SPDR S&P 500 ETF Trust

#SP500 #FearAndGreed

[Quantlake @QuantLake]

Candlestick Alert: Engulfing Bullish on $SPY

In QHI Fear, 1M forward up rate: 78.6% vs 70.2% overall.
Median: +1.6% vs +1.7%.
Average: +1.3% vs +1.0%.
Sharpe: +1.37 vs +0.57.

#SP500 #CandlestickPatterns

[Quantlake @QuantLake]

Technical Signals in our Specialty ETFs, Oct. 20

Overbought: Min Volatility $USMV

#MinVolatility

Quantlake Research · AI-generated voiceover