Quantitative Trading Forum
Algo, Program, Stat Arb
Keybot the Quant Turns Bullish at SPX 1633 on 6/7/13
Submitted by Keybot the Quant on 06/07/2013 09:34 -0500Keybot the Quant flips to the long side today at SPX 1633. Utilities sector is running higher adding bull fuel. Copper remains weak. Stay alert for a whipsaw move either today or tomorrow especially in these volatile markets.
6/9/13; 7:00 PM EST =
6/7/13; 10:02 AM EST = +36; signal line is +30; go long 1633; (Benchmark SPX for 2013 = +14.5%)(Keybot this trade = +1.7%; Keybot for 2013 = +8.5%)(Actual this trade = +3.0%; Actual for 2013 = +8.5%)
6/7/13; 9:00 AM EST = +36; signal line is +30 but algorithm says stay short
Keybot the Quant Turns Bearish at SPX 1661 on 5/22/13
Submitted by Keybot the Quant on 05/22/2013 19:10 -0500Keybot the Quant flips to the short side today. As always, stay alert for a whipsaw tomorrow. The higher volatilty and drop in copper created the bear fuel today to finally create a trend change, however, copper recovered into the closing bell. Watch copper overnight as a key indicator of whether or not the bulls recover tomorrow. Watch VIX 13.12 and JJC 41.77 as the bull-bear lines in the sand. Volatility is creating bearishness now but copper jumped back into the bull camp by a few pennies at the close.
5/26/13; 7:00 PM EST =
Keybot the Quant Turns Bullish at SPX 1569 on 4/23/13
Submitted by Keybot the Quant on 04/23/2013 09:19 -0500Keybot the Quant flips bullish at SPX 1569. Stronger semi's and lower volatilty provide the push higher for the broad indexes. Watch SOX 424.15, VIX 14.15 and XLF 17.98. All three are in the bull camp, the bears need at least one to reverse back to the bear camp.
4/26/13; 10:00 AM EST =
4/23/13; 9:30 AM EST = +46; signal line is +32; go long 1569; (Benchmark SPX for 2013 = +10.0%)(Keybot this trade = -0.2%; Keybot for 2013 = +0.9%)(Actual this trade = -0.8%; Actual for 2013 = +0.5%)
4/21/13; 7:00 PM EST = +16; signal line is +32
4/19/13; 10:07 AM EST = +16; signal line is +32
