Friday, October 21, 2011


Keybot the Quant remains short. Another day of odd market behavior. The algo wants to be long since 1 PM Thursday afternoon but other program rules are holding it back. The algo did not print out any numbers today.  The gap up this morning was important since it prohibits the model from making any decision for about 90 minutes, then, after time elapsed, the algo wanted to see the SPX over 1239, but it did not comply all day long, until the final few minutes when price came close, the SPX closing at 1238.25. Thus, markets have to wait for Monday to find out how the EU meeting goes this weekend; happy Europe talk with a constructive meeting means up markets, sad Europe talk with a meeting in disarray with mixed messages and conflict means lower markets.

Note that the SPX is about 32 handles up instead of down compared to Keybot's entry short at SPX 1206. Thus, the algo may have to give some back come Monday. If futures are green Sunday night, Keybot will probably flip long at the open; if the futures are red going into Monday's open, Keybot will probably stay short, but we can explore more specific levels and sectors to watch this weekend, along with the pre-scheduled Sunday number. Semiconductors are important next week.

10/31/11; 7:00 PM EST EOM =
10/30/11; 7:00 PM EST =
10/28/11; 10:00 AM EST =
10/25/11; 10:00 AM EST =
10/23/11; 7:00 PM EST =
10/20/11; 1:20 PM EST = -8; signal line is -24 but algorithm says stay short
10/20/11; 1:06 PM EST = -24; signal line is -24; algorithm remains short
10/20/11; 10:59 AM EST = -40; signal line is -24; go short 1206; (Benchmark SPX for 2011=-4.1%)(Keybot this trade=+5.2%; Keybot for 2011=+29.1%)(Actual this trade via DIA=+4.8%; Actual for 2011=+40.3%)

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