Keybot the Quant remains long. Friday the 13th craziness ushered in a wild finish to a lazy, slow-moving day. The markets dropped in the final minutes of trading as financials sold off and volatilty spiked higher. The VIX closed above 19.45 by pennies. The XLF came down to close at 15.13, a penny above the level that Keybot was watching earlier in the day. The current level of interest for XLF, since Keybot is constantly recalculating and adjusting all trigger levels, is 15.10, so the finanicals remain on the bull side by a hair. The SPX came down to print a 1369 handle in the final minutes as well but bounced as long buyers came in to buy the closing print. How does Keybot know these levels far in advance of when the occur? Truly remarkable.
The algo number is now below the signal line but the quant did not flip to the short side since other programming rules held it back during the chaos into the close. In fact, the algo is scanning the utilities, UTIL, 451.20 level for next week and at Monday's opening bell the first print should trigger with a higher number and thus bounce the algo number higher once again. Once the Sunday pre-scheduled number prints, the levels of interest for next week's trading can be identified. Markets remain unstable and the action in the closing minutes clearly shows why.
4/15/12; 7:00 PM EST =
4/13/12; 3:58 PM EST = 0; signal line is +9 but algorithm says stay long
4/13/12; 10:00 AM EST = +14; signal line is +11
4/13/12; 9:30 AM EST = +14; signal line is +12
4/12/12; 12:30 PM EST = +30; signal line is +13; go long 1384; (Benchmark SPX for 2012 = +10.0%)(Keybot this trade = +1.8%; Keybot for 2012 = +5.4%)(Actual this trade = +1.5%; Actual for 2012 = +6.7%)
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