Sunday, February 5, 2012


Keybot the Quant remains long as the algo idles on the weekend.  The Sunday number results in no change; the algo number is under the signal line showing that the quant wants to go short right now, immediately, but, there are other rules the algo has to satisfy before the move to the bear side triggers, and all the ducks are not yet lined up.

The most likely trigger of Keybot moving to the short side would be if the commodites, CRB move lower.  If the CRB drops under 309.50, the broad markets should finally experience a strong sell off providing a respite from the ongoing rally action. This makes the RBA (Austrailia) rate decision overnight tonight critical. Currency, commodities and mining sectors will immediately react.  Likewise the China CPI overnight Tuesday night into Wednesday.

Continue watching the utilities as well. Last week, the utes locked in the first downtrend week (in comparison to the weekly close 15 weeks prior) in many months. This is significant and very bearish for markets. This week, the utilities will log a second downtrend week if UTIL stays under 453.69. If UTIL stays under 453.69 and the CRB drops under 309.50, the broad markets will sell off strongly this week.  If UTIL moves above 453.69, believe it or not, the market bulls will run the indexes even higher and this will negate the ute weekly downtrend move.

For the SPX, starting at 1345, and bullish euphoria at a fevers pitch, if the market bulls simply keep the overnight futures green, even only by a smidge, the market bulls will continue the upside bull party. The bulls need to simply move the SPX less than a point higher above 1345.30 and the broad markets will accelerate higher.  The market bears need to obvously prevent the green futures from occurring, and that depends on what the RBA has planned, and push the SPX lower to lose the 1326 support level.  If 1326 is lost, the selling will dramatically accelerate. Dip-buyers may be tempted to enter at 1326, however. A move thru 1327-1344 is sideways action.

Keybot has remained long since SPX 1240 on 12/20/11 (the left margin shows SPX 1258 and 1/1/12 since that zeroed the statistics to start this year), 105 handles ago.  What a run for the bulls.  UTIL and CRB will decide broad market direction moving forward. Keybot prints only one pre-scheduled number this week on Friday morning.

2/12/12; 7:00 PM EST =
2/10/12; 10:00 AM EST =
2/5/12; 7:00 PM EST = +48; signal line is +49 but algorithm says stay long
2/3/12; 9:00 AM EST = +48; signal line is +49 but algorithm says stay long


  1. Hi Guys, I like your website. Got a black box myself, similar kinda backtest results to yours, similar kinda frequency. Mine sent an "Exit long signal" was long since 1255 in dec11.

  2. Hello Anon, that is interesting. Keybot wants to turn now but probably needs the CRB commodities index to lose 310.50 and the SPX to drop under 1337.50 in the Tuesday session to commit. The markets should heat up in the days ahead.

    Perhaps your model leads Keybot since Keybot went long from SPX 1240 on 12/20/11, about a week after your model. Thus, if you flipped short now, Keybot may follow you today or tomorrow. Time will tell.


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