Results for the second phase of the SPY Demo Portfolio between 03-01-2011 and 09005-2014:
I use only the End positions. The starting positions for this sensid phase are defined as the End Positions in the previous Post.
Second Period: 03-07-2012 to 09-05 2014
Yield Performance is calculated for the entire investment period of 41,5 months, For the several Optimization runs shorter periods were used.
Capital Investment total = $ 40000 [$ 20000 Capital was added~1 year ago]
Reserve Cash = $ 45873. . .partially received dividends are included in this(See Note 1).
Equity Value = $ 940. . . .Due to the rising Share Price triggering predominant Selling Trades
Share price = $ 187,96
Share price Gain from 127,05 ~3,5 years ago = 47,94 % over 3 years and ~5,5 months.
That is an Annual Share Price Gain of 13,9 % .. .Which is also ~ the Buy & Hold Gain
ROTAC Yield = 7,44 %
* Cash Fraction = 0,98
* Buy Threshold = 5%
* Sell Threshold = 10%
* Buy Aggression = 0,96
* Sell Aggression = 0,70
Due to the low volatility the optimizations drifted to larger aggressively but the low volatility also reduced the trading frequency. Still the Vortex ROTAC yield dropped behind the Buy & Hold Yield by ~6,5 % because of the trading costs. This is considerably worse than for the first 1,5 years...
Note 1
I must add to my embarrassment here that since 21 September 2012 I have neglected to add the Dividends. . . .A calculation shows that about $ 270 Dividend should be added to the value of the Reserve and the Total Value. The corrected Yield is then approximately 7,84 %. . .This is not significant, so the overall conclusion that the yield is still substantially less, and that the Buy & Hold Yield of almost 14 % stands as substantially higher.
ROTAI Yield at this End Point = 23,26 %
This is substantially higher than the ROTAI Yield of 14,01 in the first 1,5 year.
If the $ 270 Dividend would have been added then the ROTAI yield would have been ~ 23,26%(7,84/7/44) = 24, 5 % and THAT is substantially higher that the 14 % Annual Buy & Hold Gain.
I will retroactively add the missing Dividends in this Demo and report the effect om the End Yields per May 9th 2014.
The point of this optimizing is that using an Optimization Program VOP the yield in this case was greatly improved over the 41,5 month Investment Period, which is due to that fact that earlier I had estimated the Trading thresholds at 7% and then reduced them to 3 and 4 % which was actually too low. The VOP Program corrected that and I reset these threshgolds to 5% for buying and 10 % for selling.
Clearly it must be emphasized that this result of improvement from optimization can not be applied indiscriminately to other stocks that have behaved drastically different from SPY.
In this period the Price Chart shows a steadily increasing share price without great dips and without high peaks. For comparably gentle price behavior I would predict that Optimization such as I have practiced works fine!
A 25 % annual Yield for SPY over a period of 41,5 months, compared to 14 % Buy & Hold is quite a reasonable achievement.
The essential point in this SPY Demo is that for the ROTAI Case the Time Average Investment. . .The money actually at Risk. . . was calculated at only $ 5116 while the same for the ROTAC case the Time Average Capital was about $ 20750 for the same period.
Another point that was discovered is that I was selling SPY too fast as the price rose. I should have stopped the rapid sell off for the rising Trend Channel and lowered the Sell Aggression and increased the Buy Aggression, in order to retain the share quantity much higher than I did.
