is retired now but still kicking like a horse!
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Those were days when men were men and computers were computers.
I was one of those men in 1976. . .
I had written a FORTRAN program for "blowing" a wood chip Digester after the cooking was done. The idea was that the Dump Flow Rate would remain constant during the changing static head on the Blow Valve. Of course a piece of cake for me. . .a long piece of cake! As the pressure in the vessel dropped some water flashed into steam and the evaporative heat extraction would cool everything in the digester down and the pressure would drop lower yet. . .the thermodynamics of this had to be calculated in order to drive the Blow Control Valve open just the right way, till the digester was empty.
The handwritten FORTRAN code to calculate the pressure on the valve had to be send to some distant computer via a tele-type terminal and I got a heap of ticker tape with holes in it to represent my effort. Half a week later at best I got the FORTRAN code print-out on which we could check the typing errors and make changes to the program we had decided on in the meantime. . .and that had to be repeated several times. The hard data storage medium was a yellow roll of paper tape!
Those were the days when Greenhorns just out of school became men! We Greenhorns drove the companies into the Computer Age. The only computer I had ever seen that time was the IBM main frame in the basement of the University, in 1974. . .we used the Hollorith punch-cards there to “talk” to the computer. . .it was protected as if it was Fort Knocks!
Indeed Larry,
IF date<xxx,then Y,otherwise Z.
This is in principle the same as the conditional function with the value of B= 1 or B= 0 in a reference Cell. This approach was suggested to me by Clive, but I would need to reprogram all the cells that need to be "frozen" after a certain date. Once done I could change the date or the reference value as needed.
Still I am looking for an Excel function to do this. . .If I can lock identified cells with one function then it should be easy to freeze identified cells with one function.
I am going to Call Bill Gates later today to make that possible in the next Excel version and sell the idea for 1 million Dollars to him. . .just a pittance to him for an old geezer!!
unless of course if any of you people here are going to call Bill to sell my idea for less. . .then I have to drop my price to below what you are asking
OT Fun.
I was exercising with making some charts in Excel and made a function appear as a chart between -100<--x-->100
y=8a^3/(x^2+4a^2)
It is called The Witch of Agnesi and in principle it simply looks like the Normal Distribution Curve that is squeezed in the x-direction, here with a=4 here:
Then I changed the equation to
y=8a^3/(x^2+4a^3)
and the Whitch's Hat only changed to be a little wider at the base, however I was very pleasantly surprised to get this, with a=-4
Of course, when one analyses such functions one could predict more or less the rough shapes of the curve, but the Fun here is to just "play the numbers" like one does in the Cassino, and be pleasantly surprised by the result!
This game here is much safer. . one just spends time instead of money
The next Fun-Chart will be related to AIM-Mechanics!
Het Grubb, what happend to you?
I went to see my urologist. . . .
Did you stand in the deep freezer too long without your pants on?
What a bummer!
A hot bath would have "fixed" that problem!
Waiting anxiously for the Excell Cell Freeze Function you might discover!
Hi AIM There . . .
the word "hier" is Dutch for "here" in English so I tend to interpret your Forum name as "aim there". . .for me you are always "there"!
. . . .The fact that a stock declines, is not a reason to sell it, if the reasons for your purchase are still valid. I'd prefer to use fundamentals to decide which stocks to cull, I'll give some examples.
This is the Second most important rule for investing in anything! What follows from it is that an equity that is worth owning is worth buying at any time. Timing the buys in the right manner simply can add to the portfolio growth rate. Another important rule for investing is to own equity that is worth owning. . .sitting in the fence does noting much for you.
The most important rule is the Golden Rule: He that has the Gold makes the Rules. . . . To AIM or not to AIM. . .to use B& H or not, to use stop losses or not. If he buys equity that is not worth owning he is doing something wrong, even though he had the Gold and makes the rules.
I would say that the AIM discussions here should implicitly apply to equities that are worth owning, for if one buys equities that are not worth owning then one is gambling and any method of buying on the down side is simply dangerous and should not be called AIMing and should not be discussed here. So what that an equity can start rising in value after a deep dip? . . it could all of sudden drop out of sight again just after one made a strong buy of an unworthy stock after a recovery. Money gone!
It would appear to me that all the methods that one can think off to capture "opportunities" after strong declines only are valid if you apply them to equities worth owning.
"aim hier", good remarks you made! You have hit the nail on its head!
IF one is planning to AIM, only do so with equities that you have analysed yourself and you have judged to be worth owning. If you don't feel 100% confident that you want to own that equity for its intrinsic value then only use stop losses and bail out fast on a decline, and only get back in when it has recovered to the value you bought it the first time, IF its value still rising then.
Larry,
Protecting the spread is not the purpose. That I already know how to do.
The objective is to "freeze" certain cells after a certain date, so that the value remains constant even if I change various operational parameters. The purpose is to retain all the cell values from before that date so that they still are relevant in the Portfolio calculations.
What I seek is very much like the Protection Function but then it should "block" all the highlighted cells from functioning. . .I call it freezing the functions.
I would still want to know if that what I want is possible. I will try to consult a rep from Microsoft Excel!
Thanks for trying!
Not so Fuzzy you are this time!
I think you only need to trade one pair against cash so $/ Euro against cash not $/Euro against Euro/$
Well that would avoid, of course, the buying of the Euro with an Euro but it does not get me the X and the 1/X Objective Pair. So it looks like I need to do this:
Find another currency that behaves as 1/X to the USD but also to the Euro.
So X= EUR/USD now I need to find that currency pair that behaves as 1/X against the Euro as baseline, but that will be difficult, or at least it is not something that is obvious from fundamental factors. This question amounts to the same question as it applies to finding two funds who's values behave as X and 1/X against the Euro, or approximately so, and that issue has already been discussed here on various occasions.
Subject closed!
Tanks Clive for the suggestion
Perhaps something like
=IF( $B$1 =1,99,D1+C4)
Possibly it might work in principle.
Normally the object cell contains a formula like say a conditional operation like this:
=ALS(EN(ABS(G15)>=E15*$H$4;G15>0);. . . . =F=Function
The outcome of this is an unknown Quantity =N, and after a certain date this quantity must remain N.
I must enter an extra cel B in which I enter a 1 or a 0 and rewrite the object cell:
=IF( $B$1 =1,Fn,Fn-1)
Object Cell in Colum D
n = is the row number
Nn = the value of the function F(n)
B=…..Cell D
……….D0=N0
0. . .=IF( #B$1 =1,F(1),F(0)) When B=0 the Function is calculated to gives N1 from F(0)=D0
0. . .=IF( $B$1 =1,F(2),F(1)) When B=0 the Function is calculated to gives N2 from F(1)=D0
0. . =IF( $B$1 =1,F(3),F(2)) When B=0 the Function is calculated to gives N3 from F(2)=D0
1. . .=IF( $B$1 =1,F(4),F(3)) When B=1 the Function is calculated to gives N4 from F(4)=D4
1. . .=IF( $B$1 =1,F(5),F(4)) When B=1 the Function is calculated to gives N5 from F(5)=D5
So Cell D(n) retains the value of Cell D(n-1) as long as B=0. Essentially if B=0 I would copy the value of the cell above. . . .I think this would work,.. .interesting solution.
When B=1 the Function in Cell C is calculated as usual.
But this extra conditional statement is nothing different than the conditional function I already programmed. . .I should have realised this myself!!
But in order to do this I would have to rewrite all the cells that need to be frozen after a certain date. . .and that I wanted to avoid.
I would have thought there might be standard management feature in Excel that with highlighting the cells the target Cells all the values would be fixed as numbers and all the functions would be frozen. This works the same as with blocking the cells. . .but with blocking the function itself still work as usual.
Manually entering the fixed values is no option. . .but you gave me an idea with this! This could work.
If I copy the Cells and paste them on Word then only the values are pasted as well as the cells!!!!! I then copy these cells from Word and paste them back in Excel, and only the values are pasted!
That will work!
Thanks for that hint Clive!
Anybody: Excel Question.
Not being as skilled as Gummy is(was)with Excel, I want to know if it is possible to "fix" a number in any cell in which a formula calculates the value.
Other than obviously typing the number into that cell manual I thought there might be a formal way to "fix" the value of the cell as a number so that it can no longer be changed by the formula.
I would call it "Freezing" the formula. For any future calculation with for example different parameters the "fixed" cells would not be affected.
An obvious application in regards to AIMing is that if a trade has been made in an actual investment this trade can not be undone or altered and should remain fixed in the spread sheet. The trades of he past must remain as the are. I also like to use it for changing the parameters at some date in an historical data set that I use for parameter optimisation. After having added new dates and process I have to "freeze" the old data sets as they are part of a Test Run that includes the data from before the Big Freeze.
Regards,
This is Fun!
I discovered what my name looks like in Chinese:
?????? <-------Looks like Don Quichote de La Mancha' on his Donkey
Now I can do something useful with my time.
I am going to translate my Book The Vortex Method in Chinese and will get a Billion customers!
Gummy Art!
What a beautiful Excel Art Work. . .and it works too!
Just played with the inputs a bit and saw the graph jump up and down. . . no idea what it meant. . but who cares?
Gummy was(is?) a genius. I loved the way how he answered the questions in all his explanation. . .being himself his own audience!
(Its your Money!)^2
Hahahaha!
Clive, Anybody,
At this moment my head is still spinning from the Ladder Mechanics discussed here and what Clive has been telling me I have to take for granted. . . it requires more analysis for me to understand it. I assume for now that a ladder determined by the LST method would perform better that if I take a much more aggressive trade progression as I have proposed. For now I will leave that as it is. Thanks for anyone’s input on in this.
Next to this Ladder-thing I have run into a snag with testing the X and 1/X equities that give me another head ache on top. As far as I would model a (X + 1/X) portfolio this would in principle be OK buy the what I am actually testing is pointless as I was doing the wrong thing. I ended up in vicious circle chasing my tail as I am using the EUR/USD and the USD/EUR with my AIM Trading Model as if they were two equities relative to the Euro. In the Vortex AIM system I used Euro as the account currency for both the Eur.Usd and the Usd.Eur. I have the possibility to set up a $-account for buying the Euro and an €-account for buying the Dollar. The reason for this is that the Vortex program could trade for example American Steel producer equities from the American Exchange in $ and the European equities in €
From the European Exchange in the same portfolio. The Vortex program automatically combines the $ and € trades in their own currencies and convert that to a Portfolio Value in Euro or in Dollar. That works fine.
Buy it does not work for two inverse currency pairs € --$ in one's own currency. . .this problem drove to pull out my hair as I "traded furiously” both currency pairs from a Euro Euro account.
In essence when I "buy" X= 1.3812$ for 1 Euro I do not have 1.3812 $ in a $-account but simply the Euro account is debited by 1€ and the 1.3812 is a number in the in the Portfolio with a value of 1€!
The same thing happens when I buy the Inverse 1/X =0.7240 (Value =1$). . . so it cost me € 0.7240 to buy 0.724 units of the Euro, which of course is a meaningless exercise. The Yield Performance on the Portfolio for the 28 day run stood on about -1.29% ROTAI annualised, and that gave me the clue to analyse what was happening. . .I tough I should have made a considerable profit!
Having isolated start and end points of the run it was shown
$-Rate change %=
-4.84576
€-Rate change %=
5.128786
Considering a Dynamic Trading reference case
Assuming that I had “bought” initially different values of each equity, AND if they were both equities relative to the Euro currency as I had assumed, I would have suffered a loss on the X-side of
€ -3030.85
And on the inverse side a profit on the 1/X-side of
€ 4351.82
And this relative to the €
21103
Capital at Risk for the 28 days gives a 82 % annualised on € 21103 invested and 43% simple ROI using Reserve also as invested capital. So I could not understand at first why I got –1.29% anualised ROTAI for the dynamic trading with Vortex AIM. The I analysed what I had actually done with the inverse currencies. I did nothing else but switch currencies back and forth via their exchange rate and I had two pools of currencies that went up and down while shoving some of it back and forth creating “trading loses” as the published inverse values are not fully perfect inverses of each other, or is they are, digits beyond the 4th decimal are lost.
Buy & hold gain would have been ~3 %
So, AIMing inverse equities would of course work if both values are expressed relative to the trading currency.
Trading the Euro & Dollar as back and forth As I have dine in my Test is like buying and selling an equity back an forth at constant price.
Now I will take week long rest to ease my throbbing head aches.
I have a Ladder Head Ache after reading all this.
I am going to bed for a change!
Cio
Too Fuzzy. . .
Simple
Is there a link in your post?
Its too simple. I don't get it.
It has to be more complex for me to get it.
This is getting ridiculous.
Every time I write something now I get 3 replies, to which I have to write 3 responses to which I will get 9 replies and have to write 27 respponses. This is an is an explosive series 1,3,9,27,….eehhhh…..(need Excel for this)…..81, ….. !!!! This way we will hit post # 34000 in 3 days.
s.v.p. do not reply to this
Clive,
Your commens are on the money!
Ideally you want a constant total fund value such that as one is down (losing), one or more of the others collectively rise (gain) a similar amount to counter that loss such that the total fund value remains much the same overall.
Indeed! Principally the basics I hold on to is that the money can only grow like any other mass-based growth process
M(t)=M0*EXP(rt). . .or something like. . .M(t)=Mo*(1+rn*t)n
And keeping the mass at least constant id crucially important. . .is the essence of AIMing. In regards to Vortex AIMing I even advice that allowing Mo to grow apart from the intended growth from share price after an extended down trend. That this is more risky is obvious but the potential progressive gain is appropriately large.
In regards to the X and the 1/X equities I have considered
1) Aiming both apart in the same portfolio. The Reserve is shared.
A Sell of X would not necessarily be the same size as a corresponding Buy of 1/X. Rge Reserve would cycle up and down and sometimes be used up 100%. It could happen that 1/X becomes rather small in value and it would trigger smaller trades and Reserve would build up. That is OK.
2) Something I have considered doing as an alternative is to carry a small Reserve and simply use the “Price Swing Process”. . similar to the Pressure Swing Process for various gas processing systems. As X triggers a Sell of say value 1000, 1/X may trigger a Buy of value 700. I then would simply execute a Buy of value 1000. . . .accumulating more low priced shares. When the price of X rises above the pint at which 100% of the equity is sold 1/X will trigger a Buy advice. . .Now I can use the Reserve hat will still be an the account.
I have not yet grasped the true implications but essentially it moves the operation towards the TurboVest AIM (investing extra capital after the normal AIM Reserve has been exhausted. The idea here is that the total amount of the Reserve at the start is the limit of the capital the investor can make available. Without having full insight if this is a bertter way of investing it appears a lot better that better than leaving a large amount of cash unused most of the time.
overall produces better rewards than not having rebalanced along the way.
Very pertinent issue. However I see Rebalancing In a bit of a “too fuzzy” way J to see its effect in a feed forward sense. When at any particular point the “function” for determining the CER for a portfolio is addressed one will get the CER for each equity in the portfolio and one could possibly find that there is to much total cash in the pool. Then a Rebalance would be in order and one can either sell of each equities in the correct proportion or invest some cash for each equity in proportion so that all equities have the correct CER. I have no issue with that. I also see that using the Price Swing Sell-Buy for X and 1/X would more often than not create a CER for each equity in the pool that is not ideal. Then again I could lump the equity X and 1/X as a single equity. . .essentially they are already hard-linked and could be treated as a single equity. The fine structure behaviours for such a currency pair escapes me as yet.
I see you are addressing the many “fine structure” responses to price behaviour. I have as yet no grasp on those aspects for comparing currency pairs to stocks. . the variables here become too many for me to fathom. I think it would at this stage be less relevant to me as I want to see how far I can squeeze profit out of the € and $ treating them as I am doing.
Essentially I should compare the linked approach (Sell 100% ----à Buy) to the individually AIMed alternative. Two separate runs. Only then I can compare how this works. I could still use Rebalancing in both cases. . . .for now I will stick with the Price Swing Experiment. This experiment is uberhaupt a crude one. . . When I started only the only thing that was equal was the 20000 total capital for each equity. Then I started with 10000 units of each equity so the starting CER for each equity was quite different. Then I made some trading on the basis of the ladders I used and then I lost track of what I was doing. apart form holding onto the AIM advice then. Still the general action followed the AIM concept. From 23-November onwards I will simply Price Swing the action based on the EUR/USD = X and USD/EUR= 1/X.
The many aspects you consider would apply if one already have several different types of portfolios running based on market features. . .the right type of equity for certain well specified objectives . . .this is way beyond my current focus so I can’t possibly consider these aspects, although I appreciate that you can deal with them appropriately.
Yet another alternative, and the one I personally prefer, is to use a stop loss style
Well, I have also considered that as an alternative to the MACRO Filter. I have looked at the typical TA approaches of some experts here in Holland and it sure makes sense. If an AIMer one is willing to wait for a long down-turn to invest again at a significant price reversal then it maybe more sensible to bail out at 8% or 10% price loss. . especially if you “see” the “dark clouds” appearing on the horizon.
Woaw! I intended this to be a short reply! My short-term memory may get shorter as I go but my “short replies” grow longer as if it was driven by an exponential growth process!
{My Verbiage}(t) = {Your Verbiage}(t)*EXP(at)-------> grows like a nuclear detonation
***************************8
One day I am going to put a stop this!
I should have used two pictures instead . . .could have used 2000 words less!
Clive,
I think in a sense your remarks here may answer my question in my response to you previous post, in which you explained the mechanics for trade size calculation. I gather from this that you are saying that concentrating (scaling) the trades at the outer limits only works all the time if the price behaviour is predictable. . .like for the Lichello Test series. . or any such repetitive behaviour. You have referred to that in comments to others and I completely understand that. The chance of a drastic behavioural change in the price cycling or diving is real and the chosen trade system is practically useless. I also realise that.
With my strong progressive scheme I would mostly miss the volatility capture if the price start cycling on a narrow band about the Mid Point. I also understand that. My point here is that I would "notice" such change in behaviour "shortly" after it happens and then adapt to a new trading range that is better for the new behaviour. I realise that I would constantly chase the changing behaviour and that with this scheme the stock could drop sharply at the narrow lower limit and then the cash would be already gone in a previous buy, and then waiting a long time for a recovery could be a painful experience OK and could mean losing money, that too I understand, but this can happen with any other system that is based on being fully invested at the bottom with the price dropping further. TA investors can also be caught by that type of loss.
What then is the extra danger if some concentration of trades at the limits is used? I can easily soften up the strength of the progression so that there is more trading activity around the midpoint. . . it means simply using the Vortex AIM system which trades more evenly from top to bottom if the aggression factors are not too extremely high.
As for the betting schemes in this link
http://www.bjmath.com/bjmath/progress/prog1.htm
I recognise we have discussed these before when we started talking about structuring the AIM Trades this way. Especially I remember the discussion about the Martingale scheme. . .I remember this from when I was experimenting with the FOREX Testing in Ouanda.
I can remember hardly any of the fine details of the linked discussion
after reading it. . . my short term memory is get shorter so that I can not grasp the essence of detailed explanations.
I will ponder if digging deeper in my progressive trading ladder concept makes sense.
Maybe I can spare you spending so much time on my way-out endeavours!
Thanks in any case for trying so hard!
Clive, I am beginning to feel very guilty for making you go so much trouble. . .
(Sorry)^3,141
After reading this I feel sorry I asked. . . Now I feel obligated to make at least an effort to "get it"
OK, I understand that the LST is supposed to be used to calculate the trade sizes. . the that worked went over my head. In my example cases I used an arbitrary set of trades to sell and to buy, simply the way it "looked" about right as a rising percentage of the remaining "object function". . Reserve Residue for Buying side and the Equity Residu for the selling side. Before trying to relate the Trading Steps to the LST there remains a missing element in my understanding, so before proceeding I would like to "grasp" the significance of the difference between calculating the progressive step sizes via the LST-Difference function and the way I chose arbitrarily a progressive trade function. . .essentially such an arbitrary progressive function can easily look very much like to an exponential form. The only difference then is that my progressive function is note pure exponential, but within in the narrow range the trade sized would be very similar. I think I understand that with the LST we would essentially create a pure exponential Trade Ladder. . .right?
Why should an arbitrary progressive Trade Function be less effective that one that is made up by using the LST Function?
Would somehow the progressive Trade Function from an LST procedure be superior to the arbitrary progressive Trade Function? I would think not, or else I fail to see why. . .the LST function also has no input from the stock process in “between” the Action Points and therefore it can not predict a better a trade function. . . shoot me down if I am wrong.
Considering the fact that for an investment we would be ready to sometimes skip a trade, and uberhaupt we would be executing trade values based on nicely rounded-off number of shares. If the trade advice would be 7853 shares I would trade 7900 or 8000 or even 7000 units, depending on what I would be thinking at the moment. . .Any trade advice system would be a rough indicator anyway!
If you agree with me that any progressive function that would look about right will do just as well IF it satisfies the trade sizes I approximately want to implement. The only thing that remains is the choosing a system that is most easily incorporated in the AIM program so that it supersedes the Vortex AIM Algorithm.
Right?
In the meantime I will study your answer in more detail and try to grasp the details of it.
Regards,
Hi Larry,
I am glad you understand my secret code
I will keep it more simple next time, but not simpler!
Something like this is suppost to be what Einstein used to say. Beyond a certain level of simplification the essence of the issue is lost. . .what is then communicated is meaningless.
Regards.
FireBird,
I entered a bid for 1$ but I had to sign in but I am too sleepy now to do that, so I will try to do it later today.
<OT>
ZZzzzzzzz
Hi TF,
One man + one women = ?
I suppose for every word a man can get in edgewise, the woman will punish him twice!
Clive,
On the Log Stochastic( LST) Parameter you suggested:
(log(current)-log(bottom))/(log(top)-log(bottom))
1 - ( (log(current)-log(bottom))/(log(top)-log(bottom)) )
I am missing the point as to how to use it.
Here I have Price Range Top to Bottom:
Top
0,8435
0,8285
0,8141
0,8001
0,7866
0,7735 Mid Point
0,7596
0,7457...Current Price = 0,7476
0,7318
0,7179
0,7040
Bottom
Price Step = 1,69 % change per step relative to the Mid Point, so the steps Up are the same percentage as the steps Down.
The Ln Stochastic Calculation gives
As I can't see how the Ln-Difference Ratio relates to the trade step size of the ladder I used, I have also calculated the EXP(Ln Ratio), but that also does not anything anything useful for me.
Then I tried the log base 10 and got this:
10^0,332364924 = 2,1496.....….use 2: for the LST
10^0,667635076 = 4,6519504....use 5: for the 1-LST
(Instead of the Napier version in the chart)
The current price is about 2 steps below the Mid Point price
How could I use these values to generate the Trade Size Ladder.
And why are there two different expressions for the LST Parameter?
If you had given one Parmeter I would have gussed that for the current proce I should execute a Buy with 5% of the Reserve at that point.
And as the price drops more the percentage multiplier of 5% gets larger... Right?
Hi Clive. . I have done it!
By way of your Instructions For Dummies I have given birth to a baby!
This effort is just for the purpose of showing off that I am not a complete moron after all
To make use of this new skill I have done some extra work. . .it was only about 3 AM so thanks you so I wanted to show off a bit as I had plenty of time left this morning:
http://investorshub.advfn.com/boards/read_msg.aspx?message_id=57126112
Each pictures is worth 1000 words, so imagine how long that post would have been without pictures
Thanks Clive!
By way of your Instructions For Dummies I have given birth to a baby!
This effort is just for the purpose of showing off that I am not a complete moron after all
Fantastic, now I can delight all of you with new brain storms that you can actually see! That will save 1000 words/picture and all you will be glad I will say so little to say in the future
When I got to this Image Gallery I noticed that I had already loaded up various picture before and I remembered having done but how I done it had escaped the grey mush in my head! My Neurons are disconnecting themselves!
Now that I have done this I might as well give a useful commentary on the use of these charts. It is (obviously)the basis of my X<--+-->1/X Portfolio I have set op on October 29.
My AIM is to create a ladder for each equity so that approximately a Sell for the X-Equity is as large as a Buy for
the 1/X-Equity. I would experimentally set the ladders to achieve this. The motivation for this is that this way one can start with a relatively small Reserve and swing the trades back and forth so that the Reserve remains approximately constant and could be used if the price drops through the bottom of the trading range. This gives a Cash Buffer.
Naturally one could say that it would generate more profit if 100% of the capital is invested. Maybe that is indeed better. . .if it appears to be better than I can simply invest that Reserve any time I want to. Thanks Clive!
By way of your Instructions For Dummies I have given birth to a baby!
This effort is just for the purpose of showing off that I am not a moron after all
Fantastic, now I can delight all of you with new brain storms that you can actually see! That will save 1000 words/picture and all you will be glad I will say so little to say in the future
When I got to this Image Gallery I noticed that I had already loaded up various picture before and I remembered having done it, but how I done it had escaped the grey mush in my head! My Neurons are disconnecting themselves!
Now that I have done this I might as well give a bit commentary on the use of these charts. It is (obviously)the basis of my X<--+-->1/X Portfolio I have set op on October 29.
My AIM is to create a ladder for each equity so that approximately a Sell for the X-Equity is as large as a Buy for
the 1/X-Equity. I would experimentally set the ladders to achieve this. The motivation for this is that this way one can start with a relatively small Reserve and swing the trades back and forth so that the Reserve remains approximately constant and could be used if the price drops through the bottom of the trading range. This gives a Cash Buffer.
Naturally one could say that it would generate more profit if 100% of the capital is invested. Maybe that is indeed better. . .if it appears to be better than I can simply invest that Reserve any time I want to.
As I mentioned before, my AIMing system already produces a progressive ladder automatically. For a trade aggression
Fbuy = Fsell
My AIM Trades are produced as function of (PC-V).
As I am selling towards the top of the Trading Range the equity Value will become progressively smaller, so for a given a step-change in the price the Difference (PC-V) grows less rapidly than for the buying steps even though the value would rise more rapidly without the selling.
For a the buy-side the Value increases with every buy more rapidly (if the Fbuy factor) is large enough so the same step-change in the dropping price. This happens when a buy creates this effect in the Value Chart for certain by aggression:
This would create from the top down the selling and the Vortex Trade Ladder(arbitrary symmetric values in this example):
8000 = Equity Sold 15000 and 8000 left as Equity(3000 gain)
4000
2000
1000
0------> Mid Point Reserve = 20000....Value = 20000
1000
3000
6000
10000 = Equity Buying total 20000....Reserve = 0
So, for the same Sell aggression as the Buy aggression the Sells are weakened because of the equity value reduces. This is a consequence of the feature of my Proportional Trade Function
Trade = M*(PC-V)
Having realised this recently more so than I did in the past the of introducing additional Trade Ladders to deviate from the normal Vortex AIM behaviour may not be necessary in most cases as I can control the Trade Ladder with the trade Aggression Factors, who's names already imply exactly what had in mind with the ladder structures. Only in cases in which I want to introduce stronger buying and selling delays than I would expect to get normally a special trade ladder might be useful.
OT
I can't resit:
f(x)=0 at x= 0
g(x)=0 at x= 0
Now I define F(x) = f(x)/g(x)
en I claim that F(0)= 1 so that 0/0=1
This creates an infinite number of discussions on whether or not it is true.
Deliciously simple but also deliciousluy complex.
Why should we make things simple if it is so easy to make them complex and impossible to fathom?
Take this for eample:
(it's the secret code for my trading system)
OK TooFuzzy, I know you are not so fuzzy, so I make this of it:
The Black Swan falling on my head?
Fabulous! If Mila Kunis falls on my head I will have something to tell about and she would be so sorry that she will take care of me to heal the wounds that I would have suffered, but no doubt you mean something else. . .
Clive,
You don't have to trade each and every step and can make it progressive either by delaying trades to make larger trades later, or by dynamically adjusting the top and bottom range to widen/narrow the trade range and amounts traded.
Exactly! Waiting for the next ladder-step is essentially a filter!
Using the delay-filter option is more or less my view already on AIMing, on the basis of my thinking: "Always be the "Overlay Manager" of the Trading Algorithm. The "system" may run it's course as long it is does not "get out of hand". I treat is as I treated my kids. . .as long as they did not get close to a cliff or were not about to fall in a river or get not about to get hurt in some way I let then loose. . . Like it will be with investing my "kid management" did not always working out as intended, My oldest boy Damian did fall in the swimming pool when barely being able to walk. . .I was right there to fish him out. My second boy tried to climb on the TV, on which an aquarium was standing(it should not have been there!),. . .I heard a big noise and little Sean came running into the kitchen hollering: "Papa, the television started to walk". . It scared me a lot, as Sean could have been seriously hurt. He did not have scratch. For the fish we had to find alternative accommodation and a glass coffee table did also not survive
I do not pretend I am a perfect Vortex AIM Overlay Manager either.
Thanks Clive!
This reads like Investing For Dummies: How to Make a Million Dollars in the Stock Market Automatically. I need to print your instructions out to try to follow them . . .my short term memory gets shorter on a ladder function. . .every day it gets 0,0314159265 % shorter(1)
I will give it a "whirl". . . . a "vortex" that is!
If I could avoid learning how to use this Forum properly I would be way ahead on figuring out how to make my ladder-brain-storms work in Excel.
. . .but that means I have to learn more about Excel. . .
I only have 24 hr per day to do all that.
Conrad
(1) I calculated with the investment formula for compound interest, on that memory-ladder, that in 6 years my short term memory will be 50% shorter of what it is now!
Clive's Ladder Science
For 100K allocation this ladder indicates a gross gain of $591.80 per 10% cycle, deduct $25 trade costs for the two trades and that's approx $565 gross profit per cycle x 26.67 cycles p.a. average = $15K net profit p.a. average (15% return on the 100K allocated).
I if you take account of that on average you might be 50% invested then on your ROTAI (or ROCAR) would be roughly 30% and on the 50 % cash you might have earned another 2% or so.
Do you have any indication if the 50% average capital investment approximately applies to your Test?
Clive, you have captured the essence of this "ladder thing" we have been discussing here, and I had discussed this with Don Carlson way back.
The ideal case would be for an asset that you knew its price was going to remain within a tight range, never broke out above or below that range, and that zig-zaged a lot.
As most equities do not behave this well as that I have resigned my self to having more than one scenario at hand and as the behaviour I would switch to a different trading scheme.
One more thing: Your Ladder typically is defined for the complete trading range while my and Don Carlson's ideas were focussed on more progressive trades as he price moves away form the Mid Point Price.
It would appear to me that your ladder is more easily programmed into an Excel Sheet. As yet I completely escapes me to get my "ladder thing" implemented other than to let Vortex AIM run its normal course and manually intervene to execute the trades that are shown on the "ladder picture".
Indeed, if trading costs are high then frequent trading on volatility becomes problematic. . .I had this problem years ago when Trading ASMI stock from Holland. It was only listed on the American exchange and each trade cost me a basic Fl.150 + other charges it was impossible to AIM small Holding Zones. But AIMING it I did and when I sold I had an Annual yield of 137%
So, AIMing with high trading cost work fine if the volatility is high and when using high-% holding zones.
I am pulling my hait out!
This image isn't shown because it looks like you have to be logged into Facebook to access the image.
Thanks Clive!
All this work and nothing to show for
Back to the drawing Boord!
Is it not possible to publish a picture if one does not have a website?
Thanks Clive,
I get the drift of your point about different trading strategies in response to what the stock price is actually doing. I concluded something like this is especially true for my idea of the progressive Trading ladder as referenced form the Mid Point. . .by definition the trades size =0 there and low amplitude cycling about the midpoint would point to regular Vortex AIMing there with high aggression factors. . For standard AIM I think this means using negative SAFES. But stock prices behaving as they do often just change doing what they wee doing and therefore one has to be on the ball every day to try to capture that change appropriately.
For me the most difficult thing that remains to program the things I have figured out so that the trading system responds to the change in price behaviour.
The Trades you showed and the Fractional Increase to the bottom I have the trade ladder and the Fractional change like this. . .I try to show it here as you showed me:
[img] URL [/img ]..... or :
No, it does not work, so I will show the link itself:
http://www.facebook.com/album.php?aid=30976&id=100000376827032&saved#!/photo.php?fbid=169128376443055&set=a.169128193109740.30976.100000376827032
This distribution of trades is quite different. . . as I have it in mind. Your linear trade size from the top down covers 100% of the range. In my case I have the Ladder split in top-side and a bottom-side. I understand that in your example "stepping out" towards the top takes smaller and smaller steps and "stepping in towards the bottom you the buys get larger. . .this makes sense.
Actually I wanted make a post on this topic but you beat me to it.
This way of trade distribution you have shown is actually how standard Vortex AIM works when the aggression factors are set equal. Automatically then the trades for selling get smaller towards the top and the buys get bigger towards the bottom.
By using different aggression factors this effect can be amplified:
Weak Selling and Strong Buying
Strong Selling and Weak Buying
Selling as strong as Buying
I suppose I do not need a ladder!
Ha! Clive,
That equity is perfect for the Skewed Progressive Ladder Trading System as has been discussed here. I still haven not figured out exactly how to automate the "Vortex Turbo Ladder" that evolves from it so that it can Reset itself.
All the sleepless night I have had lately are beginning to pay off. though . .I am beginning to understand a bit how it should be done in principle. . .the progressive treading idea happens to be an excellent add-on subroutine for Vortex AIM. I am working now on making the idea I have clear for others. . that way I will hopefully understand it my self completely . . .it might even include that Log Stochastic Parameter(LSP) you told me about.
I have the formula but have no "feel" feel how the trades would look from the Mid Point Price if the rice either moves to the top or to the bottom of the Trading Range without reversing someplace in between.
Could you show a Generic Chart of what the trading sizes would look like for such a Ladder?
Plus . . anybody that knows.. . could you s.vp. once again show me how to get a chart on the Forum?
I tried the
thing
but can not get it to work for some reason!
Regards,
Thanks Clive, for the UK links!
I would not know what to do without all the help I am getting on the practical things!
Clive,
Do you have a direct link from which I could download the prices for the
BWX and UUP Stocks in Excel Files
you suggested to me?
I often see charts and tables but cannot do anything with it for my Excel Test sheets
TF,
Ref:
. . . the 13 day MA and 30 day MA crossover along with high volume as a signal to get in and out of a stock. Combined with AIMing that would prevent whipsaw trades.
I will ook into that. Tanks
TooFuzzy,
I didn't think you were delaying the trades. I thought you were taking them at each step.
As far as the Ladder Concept is concerned there the cases that the price goes (1)to the top of the Trading Range(TR) and (2) to the bottom of the TR. . .if there are no reversals then I have a choice to trade every step. . .(I have 5 steps up and 5 steps down). . . or if I see it fit I can skip a trade and delay the the action so that it gets closer to the limit. Lets assume I do not skip any steps.
Then if the price is 3/4 to the top and I have done a large sell all I can do is wait to see what happens. If the price reverses 1 step there is no Buy Advice. I have to think of some action. The price sits in the ladder for selling! I have several options:
A To Buy
A1 I could buy an amount that is adviced my the normal Buy Advice. . .I am running my regular AIM algorithm anyway with the parmeters that I judge correct for the case. The Ladder structure is an Overlay Manger!;
A2 I could do a buy of the same value as the amount I sold at the previous higer price so I increase the number of shares substantially, but the previous sell was a large one and I think it is better to preserve some cash to do the buying at a lower price using a bit of delay;
A3 I could simply delay buying when the price reaches the Mid Point and the it is a piece of cake. . .I am bacj at the starting point and I do a Reset.
B Not to buy and to wait more than in A3: Delay the Buy for a lower level and start buying say at step 2 or 3 below the Mid Pont
As you may have noticed over the years I an very fond of intervening with the system when I see fit. . .I would use "filters" that are in my head and when I think it is the right thing to do something I just do it. My AIM is not a Trading Robot.
Buying at a lower level . . .maybe at the bottom. . .makes sense! On the way up from the bottom I use the same arguments. To Sell or not to Sell, at any Step.
TooFuzzy,
I didn't think you were delaying the trades. I thought you were taking them at each step.
As far as the Ladder Concept is concerned there the cases that the price goes (1)to the top of the Trading Range(TR) and (2) to the bottom of the TR. . .if there are no reversals then I have a choice to trade every step. . .(I have 5 steps up and 5 steps down). . . or if I see it fit I can skip a trade and delay the action so that it gets closer to the limit. Lets assume I do not skip any steps.
Then if the price is 3/4 to the top and I have done a large sell all I can do is wait to see what happens. If the price reverses 1 step there is no Buy Advice. I have to think of some action. The price sits in the ladder for selling! I have several options:
A To Buy
A1 I could buy an amount that is advised my the normal Buy Advice. . .I am running my regular AIM algorithm anyway with the parameters that I judge correct for the case. The Ladder structure is an Overlay Manger!;
A2 I could do a buy of the same value as the amount I sold at the previous higer price so I increase the number of shares substantially, but the previous sell was a large one and I think it is better to preserve some cash to do the buying at a lower price using a bit of delay;
A3 I could simply delay buying when the price reaches the Mid Point and the it is a piece of cake. . .I am back at the starting point and then I do a Reset.
B Not to buy and to wait more than in A3: Delay the Buy for a lower level and start buying say at step 2 or 3 below the Mid Pont
As you may have noticed over the years I an very fond of intervening with the system when I see fit. . .I would use "filters" that are in my head and when I think it is the right thing to do something I just do it. My AIM is not a Trading Robot.
Buying at a lower level . . .maybe at the bottom. . .makes sense! On the way up from the bottom I use the same arguments. To Sell Or not to Sell, at ant Step.
All the suggestions of others for Resetting the system with the type of ladder I have do not seem to be workable. As long as the price does not escape the trading channel there is no need to Reset The Mid Point or at least I do not see why I should.
It is a different issue if the trading range has shifted. Then I shift the Mid Point accordingly when the price is at the new Mid Point.
Bit by bit the thing I want to do becomes clearer and clearer in my head
Holy smokes. . .it is 7:37 AM and I have been working this and on the optimization of the USD/EUR portfolio since yesterday afternoon!
Too Fuzzy
But this will not work. If in the recent past if the market dropped 80% over the last year everything will point to it going down further even though there is likely to be quite a bounce like in 2003 and 2010
Of course it will work . . even if it does not work as you like it it will still work.
First, you do not want to take a very long history for then a reversal has very little effect. Second, IF a stock is worth holding onto after it has dropped 80 of its value then the trading would have added lots of shares! This is the purpose of buying at low prices. . .and if I have used the Delay Filter then at a price reversal the Reserve is invested efficiently. At such a point you get sell orders when the rise continues and executing them with the Delay Filter does the job, even if the Sell is not optimally sized. After a sudden change the parameters will not be optimum but with a short historical set and more optimisation the parameter set will get better.
It will by no means be perfect. . .and if the changes are very drastic one needs to abandon the optimised parameters and set them on the basis of a short history or simply set them back for the current behaviour. Its a lot of work but as long as one is in touch it is always possible to intervene. . . with better personal judgement. The scheme works best of course if there is a some repetitive price behaviour and a as long as that continues it is ok. In any case
I would not let the system run as a Robot.
If you look at the USD/EUR rate over the last 9 months then it is quite well behaved. The greatest deviation form the Mid Point in this period is 8,45 % and the total drop from the top price was16,5 %, and that is well behaved.
The optimised ROTAI was 56% Annual Return on the 9 month historical Data set. The optimised parameters are not very different than I used for the Portfolio that I started on October 29.
The problem now is that I am running that portfolio on the Progressive ladder, so I will start a new Portfolio for doing the test also with the optimised parameters.
Lost of work!