Saturday, November 12, 2011


Keybot the Quant is long over the weekend. The bears attempted to boost volatility around 1 PM Friday, to push the markets lower, but failed. Bulls pushed back and printed a VIX close at 30.04, under the 30.45 bull-bear line. The three algo turns this week, whipsaw-gone-wild, are unprecedented; this behavior never before seen by the quant. The six turns in the last 18 days is remarkable. This behavior highlights the indecision in the markets and the intense bull-bear battle ongoing. High volatilty provides the large point swings each day and intraday. The ride is not over.

After the pre-scheduled number prints tomorrow, we can look at the week ahead. The algorithm shows great interest in VIX 30.45, XLF 13.00, SPX 1282-1283, copper and commodities. 

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 = +6; signal line is +2
11/11/11; 9:30 AM EST = +6; signal line is +2; go long 1251; (Benchmark SPX for 2011=-0.6%)(Keybot this trade=+0.7%; Keybot for 2011=+24.3%)(Actual this trade via DOG=-1.0%; Actual for 2011=+28.9%)

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