Wednesday, September 17, 2014


Keybot the Quant is on the long side but the algo is already having second thoughts about the move with the algo dipping back below the signal line. The internal parameters are not latching in place to allow the whipsaw back to the short side as yet. So the bulls keep riding the Yellen rally wave into the closing bell only a couple minutes away. VIX is 12.61 above the bull-bear line identified by the algo at 12.37 back in bear territory and causing the market leakage into the bell. If the bears could have prevented the VIX from falling under 12.37 a short time ago, the algo may have not flipped long. The bulls are driving the bus but a bull-bear struggle continues.

9/18/14; 9:00 AM EST =
9/17/14; 3:50 PM EST = +42; signal line is +43 but algorithm remains long
9/17/14; 2:24 PM EST = +56; signal line is +42; go long 2005; (Benchmark SPX for 2014 = +8.5%)(Keybot this trade = -0.4%; Keybot for 2014 = +8.1%)(Actual this trade = -1.0%; Actual for 2014 = +9.3%)

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