Thursday, February 16, 2012


Keybot the Quant ends the day on the long side moving from a couple weeks of pure calmness to two turns in two days time, now back in the bull camp after the SPX triggered the 1356 level today. It would be no surprise to see the algorithm flip back to the short side tomorrow or Tuesday (U.S. stock markets are closed on Monday).

For Friday, watch UTIL 451.17, now at 452.62, tumbling into the close today. The broad indexes will weaken if UTIL falls back under the 451.17. At the 4 PM close, watch to see where UTIL finishes in reference to 452.91 since this is the number that will separate market bulls and bears for next week. Note that the current level for UTIL at 452.62 actually favors the market bears for next week (under 452.91).  Watch JJC tomorrow to see if the bulls can keep it above 47.90, likewise CRB 311.40.

For the SPX, starting at 1358, the market bulls only need one measley point, to push above 1359, and the markets will accelerate upwards, filling the 1360 gap and moving onwards to 1361 R, then 1364 R (which represents the 4/29/11 closing high), then 1365 R.  Thus, if the futures are green overnight, Friday will be a bull party into the long weekend.  The market bears will try to keep the futures red to stop the upward momo. Bears need to retrace today's move to reestablish strong negativity, a formidable task. A move thru 1343-1358 is sideways action. UTIL 451.17 should play a key role again.  Stay on guard, markets are highly unstable and erratic and can easily roll over at any time. For now, Keybot remains long.

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%)


  1. (Keybot this trade = -1.0%; Keybot for 2012 = +5.7%)(Actual this trade = -2.0%; Actual for 2012 = +8.2%)

    Can you explain why Keybot -1% but actual trade -2%? Does Keybot trade a leveraged 2x ETF like SDS?

  2. Hello Alex, yes, that is correct. The -1.0% tracks the algo program itself and that trade went the wrong way, Keybot was short as the SPX went from 1342 to 1356, thus, Keybot lost 14 handles, so, 14/1342 is a one percent loss.

    When Keybot triggers the change in direction, an ETF, either a direct one-for-one ETF, or a 2x ETF, is used for the trade. The actual trading also accounts for commission fees. But when a whipsaw move occurs like yesterday (where a flip flop occurs within 48 hours), the algo drops down into a lower risk mode since the markets are choppy, and now is only trading a one-for-one ETF, and will do so for a time of 45 days, then the algo will be allowed to use a 2x ETF again. The time allows for markets to settle down and trend so the 2x ETF's can operate more effectively.


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