Tuesday, September 27, 2011


Keybot the Quant remains long as the session ends. The weakness into the bell was not a surprise considering that the market bulls could not push the SPX:VIX ratio above 35. The market rally is led by retail and semiconductors, the semi's causing the upthrust for much of today. Into the close the semi's stumbled and even dropped back into the bear camp, as measured by the algo, before recovering in the final couple minutes to stay on the market bull side. Thus, retail and semi's continue to support the market bulls so continue to focus on these two sectors tomorrow, via RTH and SOX respectively, to gauge broad market direction.

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; 3:58 PM EST = -24
9/27/11; 3:46 PM EST = -40
9/27/11; 10:00 AM EST = -24
9/27/11; 9:51 AM EST = -24
9/26/11; 11:41 AM EST = -40; signal line is -50; go long 1148; (Benchmark SPX for 2011=-8.7%)(Keybot this trade=+0.2%; Keybot for 2011=+24.1%)(Actual this trade via SH=-1.3%; Actual for 2011=+34.1%)

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