Monday, October 24, 2011


Keybot the Quant is back on the long side at the opening bell. A short time ago the VIX, volatility has crossed back into bull territory which is encouraging further lift for the markets. The market remain at the mercy of Europe news but for now, all is right with the bulls.  The utes, semi's, retail, financials and now lower volatility are all pillars of support for the markets.

Stay on guard for a whipsaw back to the short side since the next few days of trading are expected to be a roller coaster ride.  For any initial cracks in the bull case, watch VIX now at 29.80, only pennies below the 29.86 level that the quant is watching. A move back above 29.86 will stop any further market upside.

Keybot gave back 3% on the last trade, lost 4% on the actual trade. Last Thursday the markets were rolling over when the Fed released the quantitiative easing talk. That reveresed the markets immediately also leading to a gap up open Friday morning. The algo number is now 27 integers above the signal line which is comfortably bullish--for now.

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 =
10/24/11; 10:34 AM EST = +6; signal line is -21
10/24/11; 9:30 AM EST = -8; signal line is -23; go long 1238; (Benchmark SPX for 2011=-1.6%)(Keybot this trade=-2.7%; Keybot for 2011=+26.4%)(Actual this trade via MYY=-3.8%; Actual for 2011=+36.5%)
10/23/11; 7:00 PM EST = -8; signal line is -24 but algorithm says stay short
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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