Quantitative Trading Forum
Algo, Program, Stat Arb
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%)
Keybot the Quant Turns Bullish at SPX 1797 on 12/18/13
Submitted by Keybot the Quant on 12/18/2013 16:03 -0500Keybot the Quant flips to the bull side again. The dramatic loss in the VIX under 14.20 creates the bull fuel. The bulls are driving the bus again.
12/22/13; 7:00 PM EST =
12/18/13; 3:20 PM EST = +46; signal line is +35
12/18/13; 2:38 PM EST = +32; signal line is +35 but algorithm stays long
12/10/13; 2:36 PM EST = +46; signal line is +36; go long 1797; (Benchmark SPX for 2013 = +26.0%)(Keybot this trade = +0.3%; Keybot for 2013 = +15.0%)(Actual this trade = -1.6%; Actual for 2013 = +6.4%)
12/18/13; 2:30 PM EST = +46; signal line is +36 but algorithm remains short
Keybot the Quant Turns Bearish at SPX 1803 on 12/10/13
Submitted by Keybot the Quant on 12/10/2013 13:39 -0500Keybot the Quant flips to the short side at SPX 1803 since VIX is above 14 and GTX below 4811. Markets remain erratic and unstable. Stay alert for a potential whipsaw.
12/15/13; 7:00 PM EST =
12/10/13; 12:31 PM EST = +32; signal line is +41
12/10/13; 12:21 PM EST = +46; signal line is +41 but algorithm remains short
12/10/13; 11:56 AM EST = +32; signal line is +41; go short 1803; (Benchmark SPX for 2013 = +26.4%)(Keybot this trade = +0.0%; Keybot for 2013 = +14.7%)(Actual this trade = +0.0%; Actual for 2013 = +8.0%)
Keybot the Quant Turns Bullish at SPX 1803 on 12/6/13
Submitted by Keybot the Quant on 12/06/2013 13:54 -0500Keybot the Quant finally flips to the bull side due to the drop in volatility. Watch VIX 13.95 as a bull-bear line in the sand.
12/8/13; 7:00 PM EST =
12/6/13; 12:41 PM EST = +44; signal line is +34; go long 1803; (Benchmark SPX for 2013 = +26.4%)(Keybot this trade = -3.3%; Keybot for 2013 = +14.7%)(Actual this trade = -7.1%; Actual for 2013 = +8.0%)
12/6/13; 11:52 AM EST = +44; signal line is +33 but algorithm remains short
12/6/13; 10:49 AM EST = +30; signal line is +33
12/6/13; 10:00 AM EST = +44; signal line is +33 but algorithm remains short
Keybot the Quant Turns Bearish at SPX 1746 on 10/23/13
Submitted by Keybot the Quant on 10/23/2013 10:22 -0500Keybot the Quant flips short at SPX 1746. Watch JJC 40.21 and SOX 488.95 very closely. Semiconductors collapse today.
10/25/13; 10:00 AM EST =
10/23/13; 10:20 AM EST = +32; signal line is +59
10/23/13; 10:45 AM EST = +48; signal line is +60; go short 1746; (Benchmark SPX for 2013 = +22.4%)(Keybot this trade = +3.9%; Keybot for 2013 = +18.0%)(Actual this trade = +7.8%; Actual for 2013 = +15.1%)
10/23/13; 9:37 AM EST = +48; signal line is +60 but algorithm remains long
10/22/13; 10:45 AM EST = +64; signal line is +60
10/22/13; 9:50 AM EST = +78; signal line is +59
Keybot the Quant Turns Bullish at SPX 1681 on 10/10/13
Submitted by Keybot the Quant on 10/10/2013 11:53 -0500Keybot the Quant flips to the bull side as the Washington law makers meet to resolve the debt ceiling limit. Watch XLF 20.02 and UTIL 483.63 and 485.90.
10/10/13; 11:36 AM EST = +32; signal line is +2
10/10/13; 11:33 AM EST = +16; signal line is +2
10/10/13; 11:02 AM EST = +0; signal line is +2 but algorithm remains long
10/10/13; 10:45 AM EST = +16; signal line is +2; go long 1681; (Benchmark SPX for 2013 = +17.9%)(Keybot this trade = +0.5%; Keybot for 2013 = +14.1%)(Actual this trade = +0.5%; Actual for 2013 = +7.3%)
Keybot the Quant Turns Bearish at SPX 1689 on 9/27/13
Submitted by Keybot the Quant on 09/27/2013 10:42 -0500Keybot flips short today but the markets are a coin flip. Watch UTIL 485.33, 483.57, XLF 20.01, VIX 14.67 and GTX 4889 as key inflection points that will dictate market direction.
9/29/13; 7:00 PM EST =
9/27/13; 10:37 AM EST = +32; signal line is +46
9/27/13; 10:00 AM EST = +18; signal line is +46
9/9/13; 9:59 AM EST = +18; signal line is +47; go short 1689; (Benchmark SPX for 2013 = +18.4%)(Keybot this trade = +1.7%; Keybot for 2013 = +13.6%)(Actual this trade = +1.5%; Actual for 2013 = +6.8%)
9/27/13; 9:42 AM EST = +34; signal line is +48 but algorithm remains long
Keybot the Quant Turns Bullish at SPX 1661 on 9/9/13
Submitted by Keybot the Quant on 09/09/2013 20:52 -0500Keybot the Quant flips bullish today at SPX 1661. Themove may be short-lived. Watch XLF 19.94, RTH 53.74 and JJC 39.96, all are bullish now, any move to the bear side for these three parameters will take equities lower.
9/13/13; 10:00 AM EST =
9/9/13; 1:59 PM EST = +33; signal line is -4
9/9/13; 9:43 AM EST = +17; signal line is -5; go long 1661; (Benchmark SPX for 2013 = +16.5%)(Keybot this trade = +0.5%; Keybot for 2013 = +11.9%)(Actual this trade = +0.5%; Actual for 2013 = +5.3%)
9/8/13; 7:00 PM EST = +1; signal line is -6 but algorithm remains short
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Submitted by Renata13 on 08/28/2013 22:43 -0500Ehrlich points out that some watch designers allow the wearer to switch out watch faces, bezels and bands to create a completely customizable look.
Keybot the Quant Turns Bearish at SPX 1669 on 8/15/13
Submitted by Keybot the Quant on 08/15/2013 12:23 -0500Keybot the Quant whipsaw's back to the short side at 1669. Semi's collapse. Financials, retail and volatility all drop into the bear camp creating market negativity. Watch XLF 20.13, RTH 54.08 and VIX 14.21 to determine market direction.
8/16/13; 9:00 AM EST =
8/15/13; 11:29 AM EST = +17; signal line is +50
8/15/13; 9:50 AM EST = +3; signal line is +51
8/15/13; 9:43 AM EST = +33; signal line is +53; go short 1669; (Benchmark SPX for 2013 = +17.0%)(Keybot this trade = -1.5%; Keybot for 2013 = +11.4%)(Actual this trade = -2.8%; Actual for 2013 = +4.8%)
Keybot the Quant Turns Bullish at SPX 1694 on 8/13/13
Submitted by Keybot the Quant on 08/13/2013 13:40 -0500Keybot the Quant flips long at SPX 1694. Semiconductors and financials run highe and VIX is relentlessly beaten lower to provide the bull oomph. As always, stay alert for a whipsaw move back to the short side today or tomorrow.
8/16/13; 9:00 AM EST =
8/13/13; 12:50 PM EST = +65; signal line is +54; go long 1694; (Benchmark SPX for 2013 = +18.8%)(Keybot this trade = -0.2%; Keybot for 2013 = +12.9%)(Actual this trade = -0.6%; Actual for 2013 = +7.6%)
8/13/13; 10:38 AM EST = +65; signal line is +54 but algorithm says stay short
8/13/13; 10:22 AM EST = +49; signal line is +53
Keybot the Quant Turns Bearish at SPX 1691 on 8/7/13
Submitted by Keybot the Quant on 08/07/2013 09:51 -0500Keybot the Quant flips to the bear side at SPX 1691 today. Watch JJC 39.00 (now causing bearishness), GTX 4795 (now causing bullishness) and VIX 14.20 (now causing bullishness.
8/11/13; 7:00 PM EST =
8/7/13; 9:35 AM EST = +49; signal line is +51; go short 1691; (Benchmark SPX for 2013 = +18.6%)(Keybot this trade = +5.6%; Keybot for 2013 = +13.1%)(Actual this trade = +4.0%; Actual for 2013 = +8.2%)
8/6/13; 10:55 AM EST = +49; signal line is +50 but algorithm says stay long
8/6/13; 9:30 AM EST = +65; signal line is +50
Keybot the Quant Turns Bullish at SPX 1601 on 6/26/13
Submitted by Keybot the Quant on 06/26/2013 09:33 -0500Keybot the Quant flips to the bull side with financials, retail and utilities providing the bull juice. Watch XLF 19.20, RTH 51.48 and UTIL 480.83 for market direction.
6/30/13; 7:00 PM EST EOM EOQ2 EOH1 =
6/28/13; 10:00 AM EST =
6/26/13; 9:31 AM EST = +21; signal line is +7; go long 1601; (Benchmark SPX for 2013 = +13.7%)(Keybot this trade = +1.5%; Keybot for 2013 = +7.5%)(Actual this trade = +0.5%; Actual for 2013 = +4.2%)
6/26/13; 9:30 AM EST = +5; signal line is +8
6/25/13; 10:37 AM EST = -27; signal line is +8
6/25/13; 10:11 AM EST = -43; signal line is +9
Keybot the Quant Turns Bearish at SPX 1625 on 6/20/13
Submitted by Keybot the Quant on 06/20/2013 10:45 -0500Keybot the Quant flips back to the bear side at SPX 1625 in these volatile markets. Another minor loss occurs. Keybot flips from SPY into SH. Watch XLF 19.28 closely since that is the path to extended market selling. Bulls may mount a recovery if they can hold the line on XLF 19.28.
6/23/13; 7:00 PM EST =
6/20/13; 9:30 AM EST = +3; signal line is +29; go short 1625; (Benchmark SPX for 2013 = +14.0%)(Keybot this trade = -0.8%; Keybot for 2013 = +6.0%)(Actual this trade = -1.4%; Actual for 2013 = +3.7%)
6/19/13; 3:53 PM EST = +17; signal line is +30 but algorithm says stay long
Keybot the Quant Turns Bullish at SPX 1638 on 6/17/13
Submitted by Keybot the Quant on 06/17/2013 10:46 -0500Keybot flips back to the long side at SPX 1638 as the roller coaster ride continues. Markets are extremely unstable currently. Use UTIL 448.48 and GTX 4764 as a guide. Stay alert for a whipsaw back to the short side today or tomorrow.
6/23/13; 7:00 PM EST =
6/18/13; 9:00 AM EST =
6/17/13; 9:30 AM EST = +49; signal line is +31; go long 1638; (Benchmark SPX for 2013 = +14.9%)(Keybot this trade = -1.0%; Keybot for 2013 = +6.8%)(Actual this trade = -2.0%; Actual for 2013 = +5.1%)
6/16/13; 7:00 PM EST = +49; signal line is +31 but algorithm says stay short
