Thursday, November 3, 2011


Keybot the Quant remains short despite the big up day today.  If you were watching the sectors described this morning, you see that the bulls keep utes, semi's, retail and financials in their camp.  At the same time, the bears keep copper and high volatility in their camp, hence, the algo motored along unimpressed without printing any numbers. This bolsters the idea that today was a pure 'Greece referendum-abandonment relief rally'. If the rally was real, copper would have moved much higher, perhaps tomorrow it will confirm the upside, but at least for overnight tonight and thru the jobs report numbers in the morning, Keybot remains short.

The quant prints out a pre-scheduled number in the morning before the open. At that time, the Friday session will be set up for the technical levels to watch.  Today, JJC (copper price) was key. If JJC would have moved above 46.75 the bull rally party would have been real, since JJC could only muster up 46.58, still 17 pennies short, and that was the closing print at the HOD, the rally is suspect. VIX stayed above 30 as well further placing the rally in question. Note that the SPX is about 28 points above where the algo entered short at 1233. The algorithm is not shy about taking losses and reversing sides if the program dictates but it is interesting that today Keybot chose to stay short. Tomorrow will tell the tale.

11/20/11; 7:00 PM EST =
11/17/11; 9:00 AM EST =
11/13/11; 7:00 PM EST =
11/6/11; 7:00 PM EST =
11/4/11; 9:00 AM EST =
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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