Quantitative Trading Forum
Algo, Program, Stat Arb
Keybot the Quant Turns Bearish at SPX 1848 on 4/10/14
Submitted by Keybot the Quant on 04/11/2014 04:54 -0500Keybot the Quant whipsaws back to the short side with the dramatic drop in equities. Lower retail and financial sectors and higher volatility provide downside fuel. Bears need lower semiconductors (SOX) to maintain the downside momo. Bulls need strong earnings from JPM and WFC this morning to boost the financials (XLF) and help markets recover.
4/13/14; 7:00 PM EST =
4/11/14; 10:00 AM EST =
Keybot the Quant Turns Bullish at SPX 1859 on 4/9/14
Submitted by Keybot the Quant on 04/09/2014 12:12 -0500Keybot the Quant flips back to the bull side at SPX 1859. XLF moves above 21.87 and VIX drops under 14.59 creating market bullishness.
4/11/14; 10:00 AM EST =
4/9/14; 12:22 PM EST = +47; signal line is +41; go long 1859; (Benchmark SPX for 2014 = +0.6%)(Keybot this trade = +0.9%; Keybot for 2014 = +4.6%)(Actual this trade = +0.6%; Actual for 2014 = +4.1%)
4/9/14; 11:51 AM EST = +47; signal line is +41 but algorithm remains short
4/9/14; 11:45 AM EST = +33; signal line is +41
4/9/14; 10:49 AM EST = +17; signal line is +41
4/9/14; 10:29 AM EST = +33; signal line is +42
Keybot the Quant Turns Bearish at SPX 1875 on 4/4/14
Submitted by Keybot the Quant on 04/09/2014 12:09 -0500Keybot flipped short on Friday, 4/4/14. XLF 21.87 is an important bull-bear line in the sand.
4/6/14; 7:00 PM EST = +47; signal line is +48
4/4/14; 12:53 PM EST = +47; signal line is +48; go short 1875; (Benchmark SPX for 2014 = +1.4%)(Keybot this trade = -0.1%; Keybot for 2014 = +3.7%)(Actual this trade = -0.2%; Actual for 2014 = +3.5%)
4/4/14; 12:47 PM EST = +47; signal line is +49 but algorithm remains long
4/4/14; 9:00 AM EST = +63; signal line is +50
4/2/14; 2:32 PM EST = +63; signal line is +49
4/2/14; 12:49 PM EST = +49; signal line is +48
Keybot the Quant Turns Bullish at SPX 1877 on 4/1/14
Submitted by Keybot the Quant on 04/01/2014 10:43 -0500Keybot the Quant flips bullish at SPX 1877 after traveling dead flat over the last 3 weeks. Watch RTH 59.53; bulls win above; bears win below.
4/6/14; 7:00 PM EST =
4/4/14; 9:00 AM EST =
4/1/14; 9:30 AM EST = +63; signal line is +48; go long 1877; (Benchmark SPX for 2014 = +1.6%)(Keybot this trade = -0.2%; Keybot for 2014 = +3.8%)(Actual this trade = -1.0%; Actual for 2014 = +3.7%)
3/31/14; 7:00 PM EST EOM EOQ1 = +47; signal line is +47 but algorithm remains short
3/31/14; 10:15 AM EST = +47; signal line is +48
Keybot theQuant Turns Bearish at SPX 1873 on 3/7/14
Submitted by Keybot the Quant on 03/07/2014 20:42 -0500Keybot the Quant flips bearish today at SPX 1873. VIX 13.98 holds the key and is causing market bearishness at 14.11. Markets remain a coin-flip.
3/9/14; 7:00 PM EST =
3/7/14; 1:06 PM EST = +48; signal line is +51
3/7/14; 12:25 PM EST = +62; signal line is +51 but algorithm remains short
3/7/14; 11:03 AM EST = +48; signal line is +51; go short 1873; (Benchmark SPX for 2014 = +1.4%)(Keybot this trade = +1.5%; Keybot for 2014 = +4.0%)(Actual this trade = +0.7%; Actual for 2014 = +4.7%)
3/7/14; 10:20 AM EST = +62; signal line is +51
Keybot the Quant Turns Bullish at SPX 1846 on 2/24/14
Submitted by Keybot the Quant on 02/24/2014 11:15 -0500The soap opera continues with Keybot now back on the bull side. The retail sector creates the bull thrust moving above RTH 58.65. Bears need RTH under 58.65. Bulls need VIX under 14 to send equities higher. As always stay alert for a potential whipsaw today or tomorrow.
3/2/14; 7:00 PM EST EOM =
2/28/14; 10:00 AM EST =
2/25/14; 10:00 AM EST =
2/19/14; 3:52 PM EST = +48; signal line is +35; go long 1846; (Benchmark SPX for 2014 = -0.1%)(Keybot this trade = -1.0%; Keybot for 2014 = +2.5%)(Actual this trade = -3.8%; Actual for 2014 = +4.0%)
Keybot the Quatn Turns Bearish at SPX 1828 on 2/19/14
Submitted by Keybot the Quant on 02/20/2014 06:02 -0500Keybot the Quant turns bearish. Higher volatility and lower copper and financials create the negativity. Watch XLF 21.42, JJC 39.92 and RTH 58.70. All 3 are causing market negativity. Bulls will need to regain 1 of these 3 parameters to stop the market selling.
2/23/14; 7:00 PM EST =
2/19/14; 3:52 PM EST = +16; signal line is +22; go short 1828; (Benchmark SPX for 2014 = -1.1%)(Keybot this trade = +3.5%; Keybot for 2014 = +3.5%)(Actual this trade = +9.1%; Actual for 2014 = +7.8%)
2/19/14; 12:07 PM EST = +32; signal line is +20
2/19/14; 9:36 AM EST = +48; signal line is +18
Keybot the Quant Turns Bullish at SPX 1767 on 2/6/14
Submitted by Keybot the Quant on 02/06/2014 11:46 -0500Keybot the Quant flips back to the bulls side. Commodities and semiconductors supply the bull fuel today. Watch GTX 4776 since price is leaking lower. UTIL 495.50 and SOX 523.89 remain key.
2/9/14; 7:00 PM EST =
2/6/14; 10:32 AM EST = +0; signal line is -14; go long 1767; (Benchmark SPX for 2014 = -3.8%)(Keybot this trade = +0.0%; Keybot for 2014 = +0.0%)(Actual this trade = -0.1%; Actual for 2014 = -1.3%)
2/6/14; 10:22 AM EST = +0; signal line is -14 but algorithm remains short
2/6/14; 9:36 AM EST = -16; signal line is -13
2/4/14; 9:36 AM EST = -30; signal line is -11
Keybot the Quant Turns Bearish at SPX 1768 on 2/3/14
Submitted by Keybot the Quant on 02/03/2014 13:04 -0500Keybot the Quant turns bearish at SPX 1768. Utes and semi's break down. Watch UTIL 506.57, SOX 523.89 and NYA 9750.
2/9/14; 7:00 PM EST =
2/3/14; 11:49 AM EST = -30; signal line is -1
2/3/14; 10:48 AM EST = -14; signal line is +1
2/3/14; 10:16 AM EST = +2; signal line is +3; go short 1768; (Benchmark SPX for 2014 = -4.3%)(Keybot this trade = -1.3%; Keybot for 2014 = +0%)(Actual this trade = -3.2%; Actual for 2014 = -1.2%)
2/2/14; 7:00 PM EST EOM = +2; signal line is +5 but algorithm remains long
1/31/14; 10:00 AM EST = +2; signal line is +6 but algorithm remains long
Keybot the Quant Turns Bullish at SPX 1791 on 1/30/14
Submitted by Keybot the Quant on 01/30/2014 12:48 -0500Keybot the Quant flips long today at SPX 1791. Utilities and commodities are causing the rally. Watch XLF 21.44 closely since it likely determines if the upside rally continues, or not.
1/31/14; 10:00 AM EST =
1/30/14; 11:23 AM EST = +16; signal line is +10; go long 1791; (Benchmark SPX for 2014 = -3.1%)(Keybot this trade = +2.0%; Keybot for 2014 = +1.3%)(Actual this trade = +3.7%; Actual for 2014 = +2.0%)
1/30/14; 9:36 AM EST = +16; signal line is +12 but algorithm remains short
1/29/14; 3:13 PM EST = -16; signal line is +13
1/29/14; 2:35 PM EST = +0; signal line is +16
Keybot the Quant Turns Bearish at SPX 1827 on 1/13/14
Submitted by Keybot the Quant on 01/13/2014 15:29 -0500Keybot the Quant flips bearish today at SPX 1827. Weak retail is causing the market negativity. Watch UTIL 494.12 and RTH 40.06. The algo cycled out of SSO and into SDS.
1/17/14; 9:00 AM EST =
1/13/14; 2:28 PM EST = +33; signal line is +44; go short 1827; (Benchmark SPX for 2014 = -1.1%)(Keybot this trade = -0.5%; Keybot for 2014 = -0.7%)(Actual this trade = -1.1%; Actual for 2014 = -1.7%)
1/13/14; 2:08 PM EST = +33; signal line is +45 but algorithm remains long
1/13/14; 1:31 PM EST = +49; signal line is +46
1/13/14; 1:22 PM EST = +33; signal line is +46 but algorithm remains long
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Keybot the Quant Turns Bullish at SPX 1837 on 1/7/14
Submitted by Keybot the Quant on 01/07/2014 12:45 -0500Keybot the Quant flips bullish today as UTIL and RTH jump higher and VIX collapses lower providing the market upside fuel.
1/10/14; 9:00 AM EST =
1/7/14; 10:00 AM EST = +49; signal line is +45; go long 1837; (Benchmark SPX for 2014 = -0.6%)(Keybot this trade = +0.2%; Keybot for 2014 = -0.2%)(Actual this trade = +0.3%; Actual for 2014 = -0.6%)
1/6/14; 1:59 PM EST = +49; signal line is +44 but algorithm remains short
1/6/14; 10:51 AM EST = +33; signal line is +43
1/6/14; 10:18 AM EST = +49; signal line is +43 but algorithm remains short
1/5/14; 7:00 PM EST = +33; signal line is +41
Keybot the Quant Turns Bearish at SPX 1841 on 1/2/14
Submitted by Keybot the Quant on 01/02/2014 10:58 -0500Keybot the Quant flips ot the bear side to begin the new yar at SPX 1841. Higher volatility (VIX above 14.11) and lower commodities (GTX under 4820) are causing the weakness. Watch these two parameters closely. As always, stay alert for a potential whipsaw.
1/10/14; 9:00 AM EST =
1/5/14; 7:00 PM EST =
1/2/14; 9:36 AM EST = +35; signal line is +41; go short 1841; (Benchmark SPX for 2014 = -0.4%)(Keybot this trade = -0.4%; Keybot for 2014 = -0.4%)(Actual this trade = -0.9%; Actual for 2014 = -0.9%)
