VORTEX AIMing

[Conrad]

Vortex AIM Results for SPY since 03-01-2011 till 15-03-2011

The price of Spy has been almost stable since the start of the year based on price Average=(Hi-Lw)/2

Max price gain from start = 4.38 %
Max price drop from start = 0.06 %
No trades were executed
Holding zone Sell = 19%
Holding Zone Buy = 7.5%
Portfolio Gain ROTAI = 7.65 % . . . Annualised. Based on 2% Interest Gains-Trading Cost.
ROI Simple = 2.15 % Annualised

Having reconsidered the price fluctuations for the previous 11 years it is shown that the average Daily (Hi-Lw)/Lw variation on the monthly price history has been 8,5 % and the highest 39,6 % it is clear that using the average of the Hi-Lw cuts out a lot of volatility. For this reason starting from March 16 I am changing the price input for the Trade Advisor to the High and Low prices and then I assume GTC Order Execution. So if a Low price or a high price occurs the Trade is executed on that price.

This would reflect reality for the Dry Run much better although it would not be the same as what would happen in a real case.
For a real GTC Order the execution price might be lower or higher than the GTC Price. This would give better performance than the Dry Run, so that the interpretation of the Dry Run test is a conservative one.