Wednesday, July 6, 2016

STOCK MARKET BULLISH -- LONG -- CAUTION

Keybot the Quant whipsaws back to the long side today at SPX 2097 as  the erratic and choppy market action continues. The session began with bear joy but then commodities rallied and volatility dropped creating an upside rally. The bulls need either SOX above 677.90 or XLF above 22.77. The bears need to push VIX above 15.86, or GTX under 2310, or JJC under 24.41. Any one of these three parameters would stop the upside rally.

On the last trade, a 9-hour trade, the algo program loses a smidge and the actual trading loses -0.6%. The benchmark SPX is up +2.6% this year. The Keybot algo is up +7% this year and actual trading is up +14% so far this year. Since a whipsaw occurred, the algo drops into single ETF mode for the next 35 days. Markets are too choppy to play leveraged ETF's. Keybot exits SDS with the loss and enters SPY.

For the SPX on Thursday starting at 2100, the bulls only need one point, to touch the 2101 level, and the upside will accelerate. The bears need to push under 2074 to regain their mojo. If the VIX, GTX or JJC turns bearish, any one of the three would do, and the SPX drops under 2074, Keybot will likely flip short. A move through SPX 2075-2100 is sideways action for Thursday. The bulls have the ball but the algo number is only 9 points above the signal line. A whipsaw move could easily occur back to the bear side. Markets are very unstable.

7/10/16; 7:00 PM EST =
7/8/16; 9:00 AM EST =
7/6/16; 1:01 PM EST = +66; signal line is +57; go long 2097; (Benchmark SPX for 2016 = +2.6%)(Keybot algo this trade = -0.3%; Keybot algo for 2016 = +7.2%)(Actual results this trade = -0.6%; Actual results for 2016 = +14.1%)
7/6/16; 12:09 PM EST = +66; signal line is +56 but algorithm remains short
7/6/16; 11:47 AM EST = +52; signal line is +55
7/6/16; 9:36 AM EST = +38; signal line is +55
7/5/16; 3:46 PM EST = +66; signal line is +55 but algorithm remains short
7/5/16; 9:40 AM EST = +52; signal line is +55; go short 2091; (Benchmark SPX for 2016 = +2.3%)(Keybot algo this trade = +1.9%; Keybot algo for 2016 = +7.5%)(Actual results this trade = +3.7%; Actual results for 2016 = +14.7%)

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