Monday, November 7, 2011


Keybot the Quant is short but it wants to flip to the long side. The algo number went above the signal line today during the final hour of the session, but other programming rules prevented the quant from following thru to the long side. Keybot is only hanging on to the short side by a thread, however, and nearly flipped long in the final minutes but the clock ran out today. Thus, tomorrow may see a potential gap up at the open, that is if the market bulls want to run higher. Regardless, there is a high liklihood that Keybot will flip long after the bell tomorrow.

Volatility, VIX, dropped under 30 in the afternoon which laid the path for the indexes to rock higher. Keybot is now tracking the 30.50 level so the market bears must regain VIX 30.50 level tomorrow, otherwise the bulls will remain in charge. The SPX 1261 handle was touched in the final minutes. How does Keybot know these levels ahead of time? For Tuesday, Keybot the Quant wants to flip long at the opening bell. If the SPX moves above 1261.70, with the VIX staying under 30.50, the algo should flip long and enjoy the new bull party. If the indexes run higher, watch to see if JJC moves above 46.65, now at 46.38, if so, the party will be a bull orgy.

The market bears have only two possibilities to stop the bulls. The VIX must move back above 30.50, and/or, the SPX cannot move above 1261.70. Stay cautious, anything can happen overnight, but, if the futures are even only a smidge green, Keybot the Quant will probably flip long joining the market bulls.

11/30/11; 7:00 PM EST EOM =
11/29/11; 10:00 AM EST =
11/27/11; 7:00 PM EST =
11/25/11; 10:00 AM EST =
11/20/11; 7:00 PM EST =
11/17/11; 9:00 AM EST =
11/13/11; 7:00 PM EST =
11/11/11; 10:00 AM EST =
11/7/11; 3:06 PM EST = +6; signal line is +3 but algorithm says stay short
11/6/11; 7:00 PM EST = -8; signal line is +2
11/4/11; 9:00 AM EST = -8; signal line is +1
11/2/11; 9:30 AM EST = -8; signal line is +1
11/1/11; 3:46 PM EST = -24; signal line is +1
11/1/11; 9:30 AM EST = -8; signal line is 0; go short 1233; (Benchmark SPX for 2011=-2.0%)(Keybot this trade=-0.4%; Keybot for 2011=+26.0%)(Actual this trade via DIA=-0.9%; Actual for 2011=+35.6%)

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