Monday, September 26, 2011


Keybot the Quant flipped to the long side about an hour ago but markets are very much in a churn pattern currently.  The retail sector is lifting the broad markets today. Continue to watch RTH 103.90. Current print is 104.10 so the market bulls are only in command by a sliver. The Keybot algo gained two points on the short side play just ended but note the actual trading lost a percent on the last trade. The robot continues to operate in reduced risk mode, and this appears to be a wise choice given the current churn.  As always when a turn occurs, and especially in these sideways markets that are responding to Euro news, watch for a potential whipsaw either today or tomorrow. The algo identifies SPX 1136 as the whipsaw level where the program will step in and go short again if the SPX drops to this number within the next 24 hours. Extreme caution is warranted moving forward.

10/9/11; 7:00 PM EST =
10/7/11; 10:00 AM EST =
10/2/11; 7:00 PM EST EOM =
9/30/11; 10:00 AM EST =
9/27/11; 10:00 AM EST =
9/26/11; 11:41 AM EST = -40; signal line is -50; go long 1148; (Benchmark SPX for 2011=-8.7%)(Keybot this trade=+0.2%; Keybot for 2011=+24.1%)(Actual this trade via SH=-1.3%; Actual for 2011=+34.1%)
9/26/11; 10:51 AM EST = -40; signal line is -50 but algorithm says stay short
9/26/11; 10:09 AM EST = -56; signal line is -51
9/26/11; 9:37 AM EST = -40; signal line is -51 but algorithm says stay short
9/25/11; 7:00 PM EST = -56; signal line is -51
9/22/11; 9:30 AM EST = -56; signal line is -51; go short 1150; (Benchmark SPX for 2011=-8.6%)(Keybot this trade=-2.5%; Keybot for 2011=+23.9%)(Actual this trade via SPY=-4.3%; Actual for 2011=+35.4%)

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