Thursday, September 8, 2011


Keybot the Quant remains short despite the big up day yesterday. The algo shows the thrust occurred at 2:02 PM and, oddly enough, the exact same time that the algo flipped short last Thursday. Chalk it up to coincidence but this may provide insight into the larger scale trading robots operating in the markets nowadays. Thus, it is prudent to watch this 2 PM time frame as time moves along. If you split the trading day into six 65-minute trading sessions, as many professional traders do, the fifth session of the day runs from 1:50 PM to 2:55 PM, thus, the robots may be seeing accelerated interest at the start of this fifth session. Then again, simple coincidence?

The retail sector bounced the broad markets during yesterday's session.  For today, for those of you keeping score at home, watch RTH, now at 103.91. Keybot is showing that if the 103.53 level is maintained, the broad market bulls will keep the indexes buoyant.  The algo is also now tracking commodities closely via the CRB, now at 339.83. If the CRB moves above 340.44, the broad markets will take off substantially to the upside. The market bears need to move retail, RTH, below 103.53 and keep the commodities, CRB, under 340.44 if they expect to regain control.

Big day on tap today starting off with BOE and ECB rate decisions and ending with President Obama's address this evening. The algo number is now within 4 points of the signal line so stay on guard for a possible move by Keybot to the bullish side, but, for now, the algo remains short.

10/7/11; 10:00 AM EST =
10/2/11; 7:00 PM EST EOM =
9/30/11; 10:00 AM EST =
9/27/11; 10:00 AM EST =
9/25/11; 7:00 PM EST =
9/20/11; 9:00 AM EST =
9/18/11; 7:00 PM EST =
9/16/11; 10:00 AM EST =
9/11/11; 7:00 PM EST =
9/7/11; 2:02 PM EST = -56; signal line is -52
9/4/11; 7:00 PM EST = -72
9/2/11; 9:00 AM EST = -72
9/1/11; 2:02 PM EST = -72; signal line is -51; go short 1207; (Benchmark SPX for 2011=-4.1%)(Keybot this trade=+5.3%; Keybot for 2011=+26.5%)(Actual this trade via SSO=+12.1%; Actual for 2011=+40.5%)

No comments:

Post a Comment

Note: Only a member of this blog may post a comment.