Keybot the Quant Algorithm
Submitted by Keybot the Quant on 09/27/2011 11:27 -0400
Starting with the summer period, let's take a look at the calls to date. Keybot the Quant is a statistical arbitrage algo which oscillates long to short and back again, using the SPX as a benchmark index. To date, the SPX is down almost 9% (thru 9/26/11); Keybot algo is up 24%; actual Keybot trading is up 34%. Will post the turns as they occur.
As of today, 9/27/11, retail and semi sectors are driving the markets higher. For the market bulls, watch financials if you want to see further market upside. For the bears, watch to see if semi's and retail reverse. Retail, RTH, and semi's, SOX, are currently controlling markets and creating the positivity.
9/26/11; Go long SPX 1148
9/22/11; Go Short SPX 1150
9/14/11; Go Long SPX 1180
9/8/11; Go Short SPX 1186, whipsaw day occurs.
9/8/11; Go Long SPX 1200
9/1/11; Go Short SPX 1207
8/23/11; Go Long SPX 1146
7/11/11; Go Short 1324, Keybot flips short in front of the waterfall crash.
This information is for educational and entertainment purposes only. Do not invest based on anything you read here. Consult your finanical advisor before making any investment decision.
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Here is the latest update. Algo flipped short at SPX 1146 at 2:10 PM 9/29/11, lost two handles on last play on the long side, no biggie. Watch RTH 103.75 level to determine market direction. Utilities are the only major sector supporting the market bulls. Expect more wild moves and stutter steps moving forward.
9/29/11; Go Short SPX 1146
9/26/11; Go Long SPX1148
9/22/11; Go Short SPX 1150
9/14/11; Go Long SPX 1180
9/8/11; Go Short SPX 1186, whipsaw day occurs.
9/8/11; Go Long SPX 1200
9/1/11; Go Short SPX 1207
8/23/11; Go Long SPX 1146
7/11/11; Go Short 1324, Keybot flips short in front of the waterfall crash.
This information is for educational and entertainment purposes only. Do not invest based on anything you read here. Consult your finanical advisor before making any investment decision.
Keybot flipped to the long side at 10:21 AM EST at SPX 1146, the exact same level it entered short on 9/29/11. Utes and retail are the cause of the market strength. Continue to watch UTIL 424 and RTH 103.75.
10/6/11; Go Long SPX 1146
9/29/11; Go Short SPX 1146
9/26/11; Go Long SPX 1148
Keybot flipped to the short side on 10/20/11, Thursday, at 10:59 AM EST at SPX 1206. The semiconductors and financials broke down in early trading, but then as the positive Europe news hit, both sectors ran upwards taking the broad markets back up. Stay on guard for a whipsaw either today (Friday) or Monday. Keybot already wants to return to the long side but other algo rules are holding it back. If the SPX gets up and over 1220 during the Friday session, then Keybot will likely flip back to the long side, but, for now, the quant is short.
10/20/11: Short at SPX 1206
10/6/11: Long at SPX 1146
9/29/11: Short at 1146
Keybot flipped to the long side on 10/24/11 at the open at SPX 1238. Lower volatility today is providing another push higher for the indexes.
Last Thursday, 10/20/11, the markets were rolling over. At lunch time the Fed leaked news on quantitative easing, through Yellen's mouthpiece and others, this immediately reversed markets back to the upside, and led to a gap up open on Friday, 10/21/11. The markets are now receiving bullish support from the utilties, semiconductors, retail, financials and lower volatilty. Watch VIX 29.85 level, now at 29.5-ish, market bullish. The bulls will be partying as long as the VIX stays under 29.85. Watch for a whipsaw, especially in these markets.
10/24/11: Long at SPX 1238 (previous trade loses 32 handles)
10/20/11: Short at SPX 1206 (previous trade gains 60 handles)
10/6/11: Long at SPX 1146 (previous trade ends flat)
9/29/11: Short at SPX 1146
Keybot flipped to the short side at SPX 1233 after the open today, 11/1/11. The spike in volatility and drop in copper price, due to the weak China PMI, had a major impact. For the last trade, Keybot lost a half percent, and the actual trade lost about a percent, no biggie considering the large upside experienced thus far this year.
For broad market direction, watch the four sector pillars that are supporting the markets at the following levels; XLF 12.95; RTH 107.25; SOX 371.50; UTIL 439. If any of these fail, the broad market selling will increases substantially. If none fail, then the selling will moderate and markets will trail along sideways.
11/1/11: Short at SPX 1233 (previous trade loses 5 handles)
10/24/11: Long at SPX 1238 (previous trade loses 32 handles)
10/20/11: Short at SPX 1206 (previous trade gains 60 handles)
This information is for educational and entertainment purposes only. Do not invest based on anyting you read or view here. Consult your financial advisor before making any investment decision.
Keybot the Quant flipped to the long side at SPX 1261 taking a minor loss. The quant has quite a nest egg built up during this years trading so it can afford some give back as these jumpy markets sort themselves out. The move is not a ringing endorsement of the upside, quite the contrary. It is more like a "hold your nose and buy" moment. Many major sectors are now in the bull camp but copper and commodities remain in the bear camp. If JJC 46.45 is hit, the bulls will run lots higher. If VIX moves back above 30.50, the market bears will try to regain control. Stay on guard for a whipsaw either today or tomorrow.
11/8/11: Long at SPX 1261 (previous trade loses 28 handles)
11/1/11: Short at SPX 1233 (previous trade loses 5 handles)
10/24/11: Long at SPX 1238 (previous tarde loses 32 handles)
10/20/11: Short at SPX 1206 (previous trade gains 60 handles)
duplicate post
Keybot the Quant flipped to the short side at SPX 1260 at the open this morning. The whipsaw occurred. The algoirthm is flat over the last day but the actual trading lost a couple percent, no biggie. Volatilty jumped back above the 30.50 level the quant is monitoring. Watch financials, XLF, closely. If XLF, now printing 13.12, loses the 13 level, another large down leg will occur in the broad markets. Stay on guard for another whipsaw since the markets are very unsettled currently, and remain at the mercy of European news.
11/9/11: Short at SPX 1260 (previous trade loses 1 handle)
11/8/11: Long at SPX 1261 (previous trade loses 28 handles)
Keybot the Quant flipped to the long side at SPX 1251 at the open this morning. These moves from bear to bull, bull to bear, now back to bull again are extremely uncharacteristic for the algorithm as well as for the broad markets. This is a rare trading environment. It reflects the indecision currently in place for the broad markets. Afterall, all global traders are at the mercy of Europe.
Two key items occurred at the open. The financials bounced higher, XLF popped above 13, and volatility dropped, VIX under 30.45, providing bull fuel. Add in some strong semi's as well and this provides a 2% upside market move thus far today. Simply use XLF 13 and VIX 30.45 to monitor market direction. Market weakness will manifest itself only if XLF or VIX change direction. Also, monitor the 200 day MA's for all major indexes and sectors to gauge bullish strength, or lack thereof. Lastly, the SPX 12 month MA cross is very important as well. Thus, 1272 and 1282, respectively are extremely important levels that would signal an extended upside bull run. Until then, the move up today is suspect. Stay on guard for a whipsaw today or Monday since markets remain unsettled.
11/11/11: Long at SPX 1251 (previous trade gains 9 handles)
11/9/11: Short at SPX 1260 (previous trade loses 1 handle)
Keybot the Quant flipped to the short side at 11:27 AM at SPX 1247. The sideways churn in the markets continues. Indexes are very indecisive currently as the bull-bear struggle continues. Stay on guard for a whipsaw that may occur today or tomorrow. Markets bounced strongly over the last hour as voaltility dropped. Watch VIX 31.20 and XLF 13.03 to gauge the markets. VIX is under 31.20 as this is typed favoring market bulls. XLF is currently testing the 13.03 from the bottom side.
11/15/11: Short at SPX 1247 (previous trade loses 4 handles)
11/11/11: Long at SPX 1251 (previous trade gains 9 handles)
Keybot the Quant flipped to the long side at 9:52 AM EST today at SPX 1194. This closes out the short trade from 1247. Utilities, retail and lower volatility, relatively, are the three sectors supporting the bullish fun today. Here are a few market metrics to watch to gauge bullish versus bearish strength in the markets; RTH 108.50, VIX 32, UTIL 424.35, SPX:VIX ratio 35.
If RTH stays above 108.50, market bulls are favored, and visa versa. If UTIL stays above 424.35, market bulls are favored, and visa versa. If the SPX:VIX ratio stays above 35, market bulls are favored, and visa versa. If VIX stays under 32, market bulls are favored, if VIX moves above 32, it signals that the market bears are fighting back and regaining control.
11/28/11: Long at SPX 1194 (previous trade gains 53 handles)
11/15/11: Short at SPX 1247 (previous trade loses 4 handles)
Keybot the Quant flipped to the short side at SPX 1234 at 10:25 AM EST. Copper, semiconductors and financials are causing the weakness today, Monday, 12/12/11. Stay on guard for a whipsaw either today or tomorrow. Watch XLF 12.82. XLF is now printing 12.80 which is bearish and will weaken the broad markets. If XLF regains 12.80, then the bulls are fighting back.
12/12/11: Short at SPX 1234 (previous trade gains 40 handles)
11/28/11: Long at SPX 1194 (previous trade gains 53 handles)
Keybot the Quant flipped to the long side at SPX 1240 at 2:49 PM EST. Financials finally gave enough upside steam to confirm the market upside. Stay on guard for a whipsaw especially in these lighter volume markets. XLF now printing 12.74, use the 12.71 level for XLF as a bull-bear guide for the broad markets.
12/20/11: Long at SPX 1240 (previous trade loses 6 handles)
12/12/11: Short at SPX 1234 (previous trade gains 40 handles)
The algorithm has remained long since 12/20/11 at SPX 1240.
The final 2011 results are;
2011 Returns: SPX Benchmark ended the year flat, starting at SPX 1258 and ending at SPX 1258.
Keybot the Quant Algorithm, the program itself, was up 33%.
Keybot the Quant Acutal Trading using the Algorithm Signals was up 37%.
Thus, a 37% return for Keybot in 2011 compared to flat SPX Benchmark.
A new thread will be started for Keybot in 2012. The algo remains long since mid-December.