Saturday, December 15, 2012

STOCK MARKET BULLISH -- LONG -- CAUTION


Keybot the Quant is long thru the weekend.  The markets are a bull-bear standoff with volatility remaining elevated, the VIX now at 17, helping the bears, and XLF and RTH remaining elevated, helping the bulls. One side will flinch. These three parameters will remain key for the trading early next week. The levels of interest can be identified for Monday trading once Keybot prints the Sunday pre-scheduled number tomorrow.

12/16/12; 7:00 PM EST =
12/12/12; 3:28 PM EST = +17; signal line is +16

3 comments:

  1. Please excuse this question if it has already been answered. In your "How Keybot the Quant Works" section, you say that your results are based on trading 2x leveraged ETFs (SSO), but that, in whipsaw periods, Keybot will switch to 1x ETFs.

    Are the results on the left side of your blog calculated using this hybrid approach? If so, I don't see where in your updates you say what ETF Keybot is currently in.

    Thank you for this wonderful blog. It's a joy to follow it.

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  2. Hello Al, when the quant flips side, the new trade is announced, if you scroll back when the flip to the long side occurred, Keybot flipped from the SH ETF to the DIA ETF which is ongoing right now. So simply reference the message where the move from long to short or short to long occurs and that calls out the ETF.

    In addition, on The Keystone Speculator site, a sister web site, the Positions and Picks page on that site continuously lists the ETF that Keybot is in at the moment.

    The move to single ETF's occurs when the markets become too erratic and unpredictable, like now, since a large move may occur in either direction at any time, the robot lessens risk that way. Once more normal trending type behavior is in place, up or down, Keybot will move back into the double ETF's. There is a 35-day timer that is triggered for the ETF's that begins if a whipsaw takes place and that was on 11/27/12 and 11/28/12. Thus, Keybot will likely move back into a double leveraged ETF starting the first week of January and beyond, once the next turn occurs, and as long as no other whipsaw occurs before then.

    In the margin, the Benchmark SPX is listed. Any investment strategy worth its weight must beat the SPX year after year to have any value. The Keybot the Quant algorithm program is the main program running the show that determines the trigger points where the move from long to short or short to long occurs. This ongoing printout is always posted in the messages. The actual trading is the true return since this is what accounts for what ETF was used, and commissions and any other mechanical-type inefficiencies that take place during the execution.

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  3. I tried to post a follow-up question and I must have messed something up.

    First, thank you for your excellent answer.

    My follow-up concerns the average time Keybot stays in 1X ETFs and in 2X ETFs. I ask because I would like a sense of how it performs against its benchmark, SPX, when comparing apples to apples.

    For example, so far in 2012 Keybot has returned 20.2% whereas SPX has returned 13.4. If Keybot has been primarily in 1X ETFS, then it has done better than SPX, but if it has spent most of its time in 2X ETFs it as underperformed SPX.

    During all the other years you list on the left Keybot outperformed SPX regardless of how much time it spent in unleveraged or leveraged ETFs; however, I still think it would instructive to know how it performed relative to its benchmark using the same yarkstick.

    Thanks,
    Alex

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