Monday, January 30, 2012
Keystone's SPX:VIX Ratio Indicator Fails 68
The SPX:VIX ratio dropped under 68 at the opening bell. A large down day is on tap today for the broad indexes, typically a strong triple digit down day for the Dow Industrials, as long as the ratio stays under 68. Moving forward, market bears are favored under 68. Market bulls will only regain favor if they move the ratio back above 68.
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What has to happen for Keybot the Quant Algorithm Program and Keybot the Quant Actual Trading to go short? I think those are still long from 12/20?
ReplyDeleteThanks for the blog!
Hello Alex, yes, Keybot has been long since 12/20/11 and when the utilities, UTIL, fell thru 453 today, that should have been enough for the algorithm to go short, but it was not. The program is a hair away from triggering the short side, but not yet.
ReplyDeleteThere are many outcomes that may occur but one thing to watch would be the NYA 7650 level, if that was lost that should turn the algo bearish. Likewise the SPX 1283 level. Other than that, there are various levels for different sectors that Keybot monitors but none of them look close to confirming the bearishness. Further, there are other algo parameters but it is too involved to describe. For now, we wait, and the bull side is maintained.
For general info, the Keybot the Quant Algorithm Program is the actual computer algorithm that monitors the markets adn produces the trading signals. This computer model then allows for a direct comparison against the Benchmark SPX as the year moves along to gauge the success of the program. The Actual Trading is where Keybot triggers the actual buys and sells in the ETF's to carry out the current algorithm signal. Thus, the actual trading is the actual return for the model.
Also, Alex, watch the CRB commmodities index. Current print is just under 316. Keybot would flip short if it saw 310.50, so about a five point drop from current levels.
ReplyDeleteCommodities, copper, gold, silver, etc..., all move down on a stronger dollar, and visa versa, like when the Fed announced last week that weakened the dollar and bounced all those characters. Thus, if market bearish you want to see a stronger dollar that will weaken commmodities. If market bullish, you want more quantitative easing fuel that makes the dollar weaker and in turn commodities and equities stronger.