Keybot the Quant™ is an algorithm that cycles in and out of long and short ETF's. The leveraged double ETF's are favored such as SSO for long positions and SDS for short positions, however, if a whipsaw move occurs where the algorithm flips sides but reverses within one day's time, the algorithm will drop into a mode of using single ETF's for about one-month's time. If there are no other whipsaw's over that time period, the algo will then return to the leveraged double ETF's.
The secret sauce behind the program is under lock and key, but hopefully an explanation of some of the nuances of the algorithm will be helpful. This algorithm has been in development for over ten years and uses a unique, abstract if you will, view of the price time relationship. Keybot the Quant™ is a price model in its simplest form but algorithmic rules as well as economic data indicators are part of the equation as well.
The main number that is shown in the printout appearing in the posts is a positive or negative number generated by the Keystone Oscillator™. The signal line number that is called out in the printout is a smoothing mechanism, a moving average, and no, the moving average frequency cannot be revealed. It would be of no use anyway since it correlates to nothing else that exists in Wall Street land. When the oscillator value crosses above the signal line, Keybot the Quant™ is itching to go long and when the oscillator value crosses below the signal line, the quant is itching to go short.
The signal cross is the first step in a change of trend move. The signal must also satisfy numerous algorithm rules before the signal change is accepted and the quant actually commits to the new position. This is why the oscillator and signal line sometimes cross telling the algorithm to flip position but the algorithm rules take precedence and may prevent the position change. Once the algorithm rules are satisfied along with the signal cross, then Keybot the Quant™ will commit to the new trend.
Changes are made intraday 10 minutes after blog post stamp time or at the next market opening price if post is made after the market close.