Saturday, February 18, 2012


Keybot the Quant is on the long side as the holiday weekend begins in the States. U.S. markets are closed on Monday with trading resuming at 9:30 AM EST on Tuesday, 2/21/12. Keybot finished the week without printing any further numbers after whipsawing back to the long side at 1 PM last Thursday. This calmness does not display the internal workings of the algorithm that are actually quite dramatic.

When trading begins on Tuesday, the utilities and copper sectors are key. Weakness in these two sectors should usher in significant broad market weakness.  The outcome of the Greece meetings this weekend and projected resolution by Monday plays a key role. The UTIL 452.91 and JJC 47.60 levels require close watching as the Tuesday bell rings. These levels as well as others can be set up after tomorrow's pre-scheduled Sunday number prints. The algo will be long to start the new week but that may change quickly depending on the developing news over the next three days.

The SPX filled the 1360 gap left behind from May 2011 but fell short of achieving a close above the 2011 closing high at 1363.61; the 1364 R held. Pay attention to 1363.61 since bells, whistles and fireworks will sound if it is touched.

2/19/12; 7:00 PM EST =
2/16/12; 1:10 PM EST = +76; signal line is +54; go long 1356; (Benchmark SPX for 2012  = +7.8%)(Keybot this trade = -1.0%; Keybot for 2012 = +5.7%)(Actual this trade = -2.0%; Actual for 2012 = +8.2%)

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