Friday, July 25, 2014


Keybot the Quant flips back to the short side today at SPX 1975 in a fickle trading environment. SOX remains bearish and VIX drifts higher today which maintained the downward selling pressure in equities. The algo was within seconds of triggering short at 1979 but did not, then at 1978 but did not, but then at 1975 near the lows of the day, the parameters all latch and the algo commits to the short side. SOX 624 is a big deal come Monday morning. VIX and RTH are also greatly impacting market direction so semiconductors, volatility and retail stocks rule the roost. Levels of interest can be identified once the Sunday pre-scheduled number prints.

The Keybot algorithm program loses -0.3% on the last trade and the actual trading loses -0.6%. The algo cycled out of SSO and into QID remaining in double X ETF's. The algo flip-flops twice, every three days over the last six days, first to the short side, then back to the long side, now back to the short side. This behavior highlights indecision in markets. Listen over the weekend for any news concerning chip and retail stocks. The bears are driving the bus.

7/27/14; 7:00 PM EST =
7/25/14; 11:25 AM EST = +50; signal line is +64; go short 1975; (Benchmark SPX for 2014 = +6.9%)(Keybot this trade = -0.3%; Keybot for 2014 = +5.0%)(Actual this trade = -0.6%; Actual for 2014 = +5.4%)
7/25/14; 9:36 AM EST = +50; signal line is +65 but algorithm remains long
7/22/14; 9:35 AM EST = +66; signal line is +65; go long 1982; (Benchmark SPX for 2014 = +7.3%)(Keybot this trade = -1.0%; Keybot for 2014 = +5.3%)(Actual this trade = -1.9%; Actual for 2014 = +6.0%)

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