Interesting new Development!
For he Vortex AIM Program(Vortex)a Back Testing & Optimization Subroutine has been developed. Currently Version 1.00 already works!
Its features are
1 Historical stock prices for any Equity are taken out of the stock prices already downloaded into the Vortex Data Bank;
2 The date-range for the Back Test and Optimization can be selected;
3 The Parameters of Vortex can be entered from a minimum to a maximum value in an Entry Matrix;
4 The simulation starts with a number of shares and automatically all the parameter values are used with a given step-size to calculate the Fund Yield Percentage for the Test Period. For simple back testing only single parameter-values that are considered important are entered. For an optimization you enter a range of parameter-values;
5 The Parameter Set for the Absolute Maximum Point(AMP) is given in an Output Matrix ;
6 The AMP Result may not be a practical operating point: It could be valid only for a very narrow range of share prices, or even only for a single price that may never return. If this is the case you can search in the numerical Output List for any Local Maximum Point(LMP). Often you will find that a local maximum will be valid for a wide range of prices so that the Maximum Yield occurs over a broad Parameter Set Range for your Investment. Such a Parameter Set gives a better operating point. The future price behavior around a broad historical optimum price range for any fund is more likely to repeat itself than for a very narrow AMP. . .such an AMP price range seldom (or never) repeats itself.
The current Subroutine does not cover all the Parameters in Vortex at this time. In the future it might use all of the following parameters:
- Initial Investment and Total Capital allocated
- Buy & Sell Hold Zones
- Buy & Sell Aggression Factors
- Minimum Trade Amount
- Trade Cost and Interest on Reserve
- Cash Burn Brake Point + Reduced Cash Burn Rate to a predefined point at Reserve Exhaustion.
The cost of this Subroutine, available as an Option, is not yet determined and depends strongly on how many parameter are to be included in the future.
Regards,
AI
