Tuesday, March 6, 2012

STOCK MARKET BEARISH -- SHORT -- CAUTION

Keybot the Quant flips to the short side. Three weeks of drama and the algorithm finally triggers the short side.  Semiconductors and copper are now in the bearish camp, JJC now testing the 48 level, well below the quant's level of interest at 48.40.

The recent trade lasted about three weeks and resulted in about a one percent loss overall for the algorithm program and the actual trading. The year remains up. Note that the algo dropped into a lower risk mode due to the previous whipsaw at 2/16/12, so this limited the trading loss to about one percent to mimic the actual broad market loss. Keybot should operate in the lower risk mode for about two more weeks, and, as long as a whipsaw does not occur, the algorithm will increase risk and return to trading double leveraged ETF's. For now the single ETF's are used for the lower risk trade.

Moving forward, watch JJC 48.40, bears are in good shape if copper stays below here.  Also watch SPX:VIX ratio 68 level, now at 65. Bears stay in command as long as the ratio stays under 68.  As always, stay alert for a whipsaw that may occur today or tomorrow.

3/11/12; 7:00 PM EST =
3/9/12; 9:00 AM EST =
3/6/12; 12:18 PM EST = +44; signal line is +67; go short 1343; (Benchmark SPX for 2012  = +6.8%)(Keybot this trade = -1.0%; Keybot for 2012 = +4.7%)(Actual this trade = -0.8%; Actual for 2012 = +7.4%)
3/6/12; 9:50 AM EST = +44; signal line is +68 but algorithm says stay long
3/5/12; 3:46 PM EST = +60; signal line is +68 but algorithm says stay long
3/5/12; 3:02 PM EST = +76; signal line is +67
3/5/12; 12:21 PM EST = +60; signal line is +66 but algorithm says stay long
3/4/12; 7:00 PM EST = +76; signal line is +66
2/29/12; 7:00 PM EST EOM = +76; signal line is +65
2/28/12; 10:00 AM = +76; signal line is +64
2/26/12; 7:00 PM EST = +76; signal line is +63
2/24/12; 3:05 PM EST = +76; signal line is +62
2/24/12; 2:30 PM EST = +60; signal line is +62 but algorithm says stay long
2/24/12; 11:41 AM EST = +76; signal line is +62
2/24/12; 11:16 AM EST = +60; signal line is +61 but algorithm says stay long
2/24/12; 10:47 AM EST = +76; signal line is +61
2/24/12; 10:00 AM EST = +60; signal line is +60 but algorithm says stay long
2/22/12; 3:26 PM EST = +60; signal line is +60 but algorithm says stay long
2/22/12; 3:03 PM EST = +76; signal line is +60
2/22/12; 2:55 PM EST = +60; signal line is +59
2/22/12; 2:15 PM EST = +76; signal line is +59
2/22/12; 1:42 PM EST = +60; signal line is +59
2/22/12; 1:08 PM EST = +76; signal line is +59
2/21/12; 1:18 PM EST = +60; signal line is +57
2/21/12; 10:42 AM EST = +76; signal line is +57
2/21/12; 9:48 AM EST = +60; signal line is +55
2/19/12; 7:00 PM EST = +76; signal line is +55
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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