Monday, September 26, 2011


Keybot the Quant kicks off the week on the short side and prints a number after the opening bell. This places the algo in the mode to want to flip long but other algo rules for the quant are holding it back right now. If the SPX can get up and over 1148 today, Keybot will probably flip to the long side. The retail sector is buoyant which is giving the markets its current strength. This may be fading, however, since RTH is now printing 104.19 and the algo is monitoring the 103.90 level to separate market bulls from market bears.

10/9/11; 7:00 PM EST =
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 =
9/26/11; 9:37 AM EST = -40; signal line is -51 but algorithm says stay short
9/25/11; 7:00 PM EST = -56; signal line is -51
9/22/11; 9:30 AM EST = -56; signal line is -51; go short 1150; (Benchmark SPX for 2011=-8.6%)(Keybot this trade=-2.5%; Keybot for 2011=+23.9%)(Actual this trade via SPY=-4.3%; Actual for 2011=+35.4%)

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