Keystone's algorithm, Keybot the Quant, flipped to the long side after the open at SPX 1377. As mentioned this morning, the financials are strong, running well above XLF 14.50. The whipsaw move for Keybot results in a one percent loss for the trading program and a three percent loss for the actual trading. Markets are very indecisive; stay on guard for another whipsaw back to the short side late today or early next week. More information can be found at Keybot's site;
http://www.keybotthequant.blogspot.com
Whoa, Whoopsies Daisies, Keybot the Quant got whipsawed again with a 17 point+ loss in the S&P!
ReplyDeleteNo biggie Anon, trading is a marathon not a sprint, Keybot is up 2.5% this year in a difficult trading environment. Lots more fun is ahead this year.
ReplyDeleteKS, You are right, trading is a marathon and not a sprint.
ReplyDeleteAnd, I have seen a lot of good position signals get generated from your Keybot the Quant.
I like to observe your Keybot to get a sense of market bias that you provide, but yesterday I stayed long because the VIX did not change much throughout the day, and was actually down in spite of the S&P being down a lot.
Do you ever look back from past whipsaws and make modifications to your Keybot algos?
That is a good question Anon, and yes, that was all part of the ten year development, tweak after tweak. It is hard to fault the algo for the whipsaw since if the XLF would have only gained two more pennies at yesterdays close, Keybot would have been long to start the day. Also, the Jobs Report could have tanked the markets so there are always unknown outcomes.
ReplyDeleteThe whipsaws this year are due to the lingering sideways type jaggy move in the markets, it is simply the nature of the markets this year thus far. Where the algo can gain ground is that it is a long-short program, so if the markets head south, the benchmark indexes will fall, but, Keybot will likely be on the short side and gain ground. Also, the idea behind Keybot is that a machine is emotionless, it does not get caught up in drama, it only sees 1's and 0's, so it is nice to have something like that steering the ship, it helps greatly with overall risk management for a portfolio.
KS, what are the chances for market to sell off strongly prior to the elections? I think the chances are extremely low as Draghi and Ben warns short sellers not to bet against EU or QE3
ReplyDeleteThanks
Mike
Yep, that is certainly true, but it will not be surprising to see a major sell off. It likely needs a trigger, some news event to kick it off, perhaps Greece officially failing. Bernanke will step in with QE3 when the CRB drops under 270 so markets can sell off substantially before the Fed has to step in to stop the deflationary slide. The chances are probably better than 50/50 that a strong sell off will occur as the days and weeks move along.
DeleteWow the report wasnt really good and probably a complete lie but as long as the Fed can act there is a stick but the Draghi needs permission to act so lets see how long this hot air can hold... i got moderately short everything on the close so Ill be look to take some immediate profits if there is a pull back...
ReplyDeleteSpain will probably be a focus of attention this weekend into Monday. Bernanke and Draghi will likely take a back seat for a couple weeks. Jackson Hole is Friday, 8/31/12 thru that weekend. Traders are all waiting for hints by Bernanke then and then action at the 9/12/12 FOMC rate decision day. They are all likely wrong. At these levels, Bernanke has zero intention to act with any stimulus. If the CRB does not fall, Bernanke will not offer any words at Jackson Hole and will not provide any easing on 9/12/12. Just have to take it all one day at a time.
ReplyDelete8/4/12 at 9 AM EST: CRB Index closed the week at 300.69, thirty points above the 270 level which would cause Chairman Bernnake to act with QE3, and in fact, action is more likely at a lower level at CRB 250-270. Thus, Bernanke has no intention of moving towards QE3, yet, and Jackson Hole in 27 days and the FOMC meeting on 9/12/12, should, at least viewing from this juncture, prove very disappointing for traders and markets.
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