VORTEX AIMing

[Conrad]

SPY 2011 Performance - Simulation

Vortex AIM Results for SPY since 03-01-2011 28-12-2011

The price of Spy has dropped 1,22% since the start of the year. Initially I used Average Prices =(Hi-Lw)/2. This creates a less volatile price than using closing prices. I have changed to weekly closing prices.

The year was started with rather high Hold-zones close to 20% based on a 10-year optimization with historical prices but I have abandoned that as the volatility is to low(I use my judgement to change the settings I see fit). Current settings and year-end results are:

Starting Conditions
Original investment =$ 20000
Stock= $ 5600
Cash= $ 14400
Interest on cash = 2%
Trading costs $ 10,95/trade
Buying Aggression Factor = 0.8
Selling Aggression Factor = 0.6

End of 2011 Status
-Holding zone Sell = 7%
-Holding Zone Buy = 7%
-Portfolio ROTAI Gain = 12,9 %
-Time Average invested capital = $ 6367
-Portfolio ROI Simple = -1.24 %
-Number of trades in 2011 = 4
-Trading Cost= $ 55
-Interest earned = $ 270
-Portfolio Value = $ 20806
-Portfolio Profit = $ 806 -
-AIM Trading Gain = $ 806-270 = $ 536
-Stock Value = $ 9787
-Reserve = $ 11019