Friday, September 27, 2013

STOCK MARKET BEARISH -- SHORT -- CAUTION

Keybot the Quant flips short at SPX 1689. The markets have many moving parts and cross currents with UTIL 485.33, 483.57 (use this number instead of 483.55), VIX 14.67, GTX 4889 and XLF 20.01 of most concern. Weaker utilities and higher volatility are causing the market weakness and flip to the short side, however, commodities and copper are higher. The algo program and the actual trading both gained about one and one-half percent on the last trade. Keybot exited SPY and entered SDS. As always, stay alert for a whipsaw today or Monday which would not be surprising in these erratic markets. Bears need XLF sub 20.01 to lock in the downside. Bulls need UTIL above 485.33 and VIX under 14.67 to regain control. Markets are dicey. For now the bears are running with the ball. The UTIL number of importance for next week is 471.77 far under this weeks 485.33 so this will help the bulls come Monday morning.

9/29/13; 7:00 PM EST =
9/27/13; 10:37 AM EST = +32; signal line is +46
9/27/13; 10:00 AM EST = +18; signal line is +46
9/9/13; 9:59 AM EST = +18; signal line is +47; go short 1689; (Benchmark SPX for 2013 = +18.4%)(Keybot this trade = +1.7%; Keybot for 2013 = +13.6%)(Actual this trade = +1.5%; Actual for 2013 = +6.8%)
9/27/13; 9:42 AM EST = +34; signal line is +48 but algorithm remains long
9/27/13; 9:39 AM EST = +50; signal line is +47
9/26/13; 3:59 PM EST = +64; signal line is +45
9/26/13; 1:33 PM EST = +48; signal line is +43
9/25/13; 9:48 AM EST = +64; signal line is +42
9/25/13; 9:33 AM EST = +48; signal line is +40
9/24/13; 1:18 PM EST = +64; signal line is +37
9/24/13; 10:00 AM EST = +48; signal line is +35
9/23/13; 9:30 AM EST = +49; signal line is +34
9/23/13; 10:02 AM EST = +65; signal line is +32
9/23/13; 9:30 AM EST = +49; signal line is +29
9/22/13; 7:00 PM EST = +63; signal line is +27
9/20/13; 2:28 PM EST = +63; signal line is +24
9/20/13; 2:14 PM EST = +49; signal line is +22
9/20/13; 10:06 AM EST = +63; signal line is +20
9/18/13; 2:12 PM EST = +79; signal line is +18
9/18/13; 2:00 PM EST = +63; signal line is +14
9/18/13; 10:34 AM EST = +47; signal line is +11
9/18/13; 9:30 AM EST = +33; signal line is +9
9/18/13; 9:00 AM EST = +17; signal line is +6
9/17/13; 11:15 AM EST = +17; signal line is +5
9/15/13; 7:00 PM EST = +31; signal line is +3
9/13/13; 10:00 AM EST = +31; signal line is +1
9/12/13; 9:30 AM EST = +31; signal line is -0
9/11/13; 10:05 AM EST = +47; signal line is -1
9/11/13; 9:31 AM EST = +33; signal line is -3
9/10/13; 3:59 PM EST = +47; signal line is -3
9/9/13; 1:59 PM EST = +33; signal line is -4
9/9/13; 9:43 AM EST = +17; signal line is -5; go long 1661; (Benchmark SPX for 2013 = +16.5%)(Keybot this trade = +0.5%; Keybot for 2013 = +11.9%)(Actual this trade = +0.5%; Actual for 2013 = +5.3%)

3 comments:

  1. how long do trend change numbers have to hold to execute a trade?

    ReplyDelete
    Replies
    1. Typically 7 minutes but that is a simple answer. At this juncture with markets erratic and can go either way, there are other special rules dictating the algo's behavior now. Markets are a toss-up. XLF under 20.01 would likely lock in the equity downside.

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