Keybot the Quant remains long into the weekend. Financials launched higher and volatility dropped big in the final four minutes causing the SPX to close at its highs on the day. Note how the algo number actually dipped under the signal line indicating that the quant wants to go short. Other rules in the programming held it back, and then the financials and volatility sealed the deal for a bullish finish instead in the final minutes.
Keybot printed 14 numbers today, an extremely active day for the quant, and, typically, hints that the algo is becoming open to the idea of going short. Next week's road map will be provided on the weekend; rest assured that XLF, UTIL and VIX will continue to dictate broad market direction.
10/31/11; 7:00 PM EST EOM =
10/30/11; 7:00 PM EST =
10/28/11; 10:00 AM EST =
10/25/11; 10:00 AM EST =
10/23/11; 7:00 PM EST =
10/19/11; 9:00 AM EST =
10/16/11; 7:00 PM EST =
10/14/11; 3:56 PM EST = -10; signal line is -34
10/14/11; 3:48 PM EST = -40; signal line is -37 but algorithm says stay long
10/14/11; 3:40 PM EST = -24; signal line is -38
10/14/11; 3:32 PM EST = -10; signal line is -40
10/14/11; 3:20 PM EST = -24; signal line is -42
10/14/11; 3:09 PM EST = -40; signal line is -44
10/14/11; 2:59 PM EST = -24; signal line is -44
10/14/11; 1:29 PM EST = -40; signal line is -45
10/14/11; 12:57 PM EST = -24; signal line is -45
10/14/11; 10:13 AM EST = -40; signal line is -46
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