Friday, October 21, 2011


Keybot the Quant remains short currently but the algo wants to flip back to the long side. Since the open gapped up, the quant will wait for approximately 90 minutes, time for the smoke to clear, and if the SPX remains elevated at current levels, Keybot will more than likely flip back to the long side at 11 AM. The algo number remains the same today without any new numbers printing thus far.  The algo is now keying off the behavior of the SPX to set up all the ducks in a row before whipsawing back to the long side. Note that volatility remains elevated.

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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