is retired now but still kicking like a horse!
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TooFuzzy,
My considered opinion is that the market will be volatile.
Well, that should at least be good for all AIMers! But who will create the greatest volatility, McCain or Obama?
My personal judgement is that Obama would be a better President than McCain will be.
Conrad Winkelman
What is Vortex AIMing? Look for my Vortex Discussion Forum:
http://investorshub.advfn.com/boards/board.asp?board_id=1341
How will the next President-elect of te USA affect the stock market?
I am interested to find out what you think of that and have set up a bit of a survey:
What will the market do from November 2008 onwards:
http://investorshub.advfn.com/boards/read_msg.aspx?message_id=29860337
In a few minutes we will know what Hillary Clinton is going to say about it!
Conrad Winkelman
What is Vortex AIMing? Look for my Vortex Discussion Forum:
http://investorshub.advfn.com/boards/board.asp?board_id=1341
Hillary Clinton is about to make her speech about her defeat in the Primary Elections and her plans for the future in the Democratic endeavor to rule the USA for the next 4 years.
If you had to predict the course of the stock market from November 2008 onwards, in response of who the next President-elect of the USA is, what you you say?
A It is better that McCain becomes President
B It is better that Obama becomes President
Conrad Winkelman
What is Vortex AIMing? Look for my Vortex Discussion Forum:
http://investorshub.advfn.com/boards/board.asp?board_id=1341
Hi Clive:
Get all too easily confused . . .
I would have thought that with you analytical skills you would have it all figured out and made a zig-zag chart predicting the results of the November elections, with some curve fitting
Maybe it was Barak Osama Bin Hussein?
I am a confused armchair pundit without any facts to rely on. . .I sometimes watch this Jon Stuart when he happens to be on CNN (I play a bit TV-roulette. . . never know what is going to hit me!)
Tom, the weather here @ 52N, 15E is terrific. We already have had temperatures close to 30 C. No tornados, no hurricanes, no eartquakes (only little tremblings once in 5 years). . .actually this a boring place to live.
I have been watching Obama beating the pants off Hillary and watch a patronizing speech of McCain as if he was talking to a class of 3-years olds. I hope Obama keeps his head cool and does not let himself fall from the height he floats around now: "Look, No hands!"
Its time again for a US President that thinks for himself. When the Black Contender goes to live in the White House the Dollar will rise again like a Phoenix, the economy will get a kick in the butt. . .you guys will be able to spent the trillions that now go to Irak on better things and all will be well.
Obama should say firmly NO^2 to Hillary. . .She would be a millstone on his neck. . . and invite Al Gore to be the VP. McCain will be wiped under the carpet and be send home to take care of the geraniums.
The Oracle has spoken.
Conrad Winkelman
What is Vortex AIMing? Look for my Vortex Discussion Forum:
http://investorshub.advfn.com/boards/board.asp?board_id=1341
Tanks Tom, on the YTD & YOY Mystery. . .
It's all quiet on my side of the pond. . .not a wave to be seen! Once in an odd while a mini-ripple appears but always it's gone before I notice it.
Tom, I have missed out on something!
On you Retirement Fund you mention
YTD Gain and YOY Gain
What have you cooked up? Wat happened to ROCAR?
Been sleeping ZZZZZzzzz!
Sam,
Interesting question on the 30-day wait before buying for Standard AIM.
I have no idea about it being good generally! In my analysis we looked only at the events of the price moves without regarding the time between the price changes.
I have never been a "waiter". . .if anything a rather was a frequent trader on volatility!
If a stock is dropping then it makes sense to wait and that is the essential aspect of managing an investment over the top of AIM (or Vortex) as a machine". The MACRO of Don Carlson was an AID to delay buying. In relation to my analysis of the difference between AIM and Vortex this extra management in a shell surrounding the AIM-machine would be equally valid for Vortex.
Other that that if you wait 30 days without looking at you investment it could have gone up in smoke or missed good buying opportunities.
In case a stock does not move a 60-day wait might just be perfect but it might also mean that the stock has no volatility.
Can't think of more right now.
Regards,
Clive, that was a pretty good analysis of the situation in the Testing, with Vortex tuned back to very conservative settings due to matching the first AIM fictitious trade at price 29,24 and the actual trade at price 21,5.
I agree with you observations. Normally I would use far more aggressive settings and if I had no idea as to which way a fund would move I would start at the default parameters
Fb=Fs=0
Trade Threshold=10%
Cash maybe 50/50 instead of 30/70
With PC = 100 SV would be + or - 10% ofstarting value
First Buy would be (100-90)=10-----> AIM Buy =10-9=1
First Sell would be(100-110)= -10 ----> AIM Sell = 10-11=-1 (No Sell)
A very different response for the start!
I know it would be possible to achieve very similar overall responses but that would not be possible in an actual investment as the price development is not known.
For back testing a similar response could be achieved but I see no reason why that would be interesting. . .the idea is to use judgment to figure out the best parameter setting for a certain stock and under prevailing condition performance would be as much a result of personal skill for me of understanding Vortex and for an AIMer understanding AIM (and modifying its parameters). . .not to forget the Outer Shell Management we would apply.
Thanks for the extra input.
Now I am going to take a nap. I have been at it for more than 6 hours straight now.
Zzzzz
Yes Toofuzzy, No Tofuzzy
Yes, in my post # to Clive's explanation of his charts I have figured out that on the one hand AIM's Hold Zone changes after the first trade up or down while on the other hand I used also the term Hold Zone in Vortex identically as a Dead Zone or Trade Threshold as a fixed setting that is a free variable.
The term "Dead Zone" was used many years ago by Tome Veale in his discussions but at that time I did not realize that this dead zone changed after the first trade.
So in fact there is a Vortex Hold Zone and AIM Hold Zone but I now am warned that on this forum I should be clear as to what I am referring to!
Adam, I do not agree. The Comparative Testing we did was not intended to cover all types of funds under normal conditions but to compare specifically the AIM & Vortex difference in responses with Vortex tuned to create identical sell and buy on a certain price rise and price drop as AIM.
The specific purpose was to discover how the responses would diverge or remain, maybe, similar.
All of what you say about AIM (and Vortex) doing well or badly with very different type of price structures is true, but if you want to compare on that basis it would require extensive testing on many types of price structures, and that was not my primary intention. The testing you propose would certainly be interesting but in my view this is not required
Normally with Vortex one would start with entirely different parameters than used in this testing and if we would be testing to see which system would be better over the full range of price possibilities it would be a tall order to do that. Generally I think that AIM and Vortex have the same basic feature for the issue you address and my point of view is that you have to go beyond AIM and beyond Vortex with an Outer Shell Management to avoid these pitfalls you describe. The question then is: "Is what you are doing then still to be called AIMing?"
On the issue of the stock prices I have used in this testing I think that they are very realistic. . .many stocks move that way, many more do not. In our test we used only one Big Dip and that was specifically revealing for the questions I had.
If you want to do more testing as you see it useful then simply provide sample runs of AIM on excel templates and I will run them though my Vortex Excel templates and report the results.
OK Clive, I have the tendency to look into deep things, hoping to see something of value at the bottom.
Under AIM we can calculate the next buy and sell price levels given the Price, SAFE and minimum trade size values. There's a calculator for that purpose on one of Tom's web pages.
Well, Vortex (windows version ) does exactly that, using the threshold value (hold zone), and gives the trade advice for the number of units to buy at given buy/sell thresholds. What Vortex Windows does not bother about is to use a separate Min. Trade size. Any investor can decide for himself what the min. trade should be for a particular situation. Since Vortex Windows can not do back testing automatically this min. trade is not needed. In Vortex Excel a min. trade is used so that back testing can be done without using trades that are too small.
I would say that with any investment method one can make that type of calculation, based on whatever guidelines are used to generate a Trade Advice.. . .I did not recognize that issue of the skewed buy/sell for AIM by looking at these charts. I will try to understand it:
About the Charts:
As Vortex sets PC=SV then simply the arrows would be more central between the next buy and sell price levels in each and every case.
As a very crude example say that we start an AIM when the price is 100 and we calculate that the next buy and sell prices are 85 and 115 respectively. The arrow points to 100 and the vertical line spans the range from 85 to 115 (a range of 30 points). If then the stock price falls to 85 and we buy some stock then at that point the arrow points to 85. Calculating the next buy and sell price levels at that time will likely throw up a hold zone of something like 80, 109 (a range of 29). Such that the next buy price after that first buy is just 5 points away from the current 85 price level, whilst the next sell price is 24 points away.
Ahh, now I got it!
I conclude from this that the Hold Zone downward is now only about 6% and upwards 28%. . .I never interpreted the AIM Hold Zone that way.
With a constant Hold Zone of 15% is used I get this for Vortex:
85*(1+0,15) ~98 (13 point up)
85*(1-0,15) ~72 (13 point down)
For AIM this would mean and accelerated Buy on the Hold Zone alone, relative to Vortex waiting longer and buying more effectively than Vortex does (other things being equal).
AIM Buys at 80 and Vortex buys at 72
AIM Sells at 109 and Vortex Sells at 98
On the Sell side AIM would wait longer and Vortex would sell off earlier (other things being the same. . .(which of course they never are!).
This is indeed what I noticed on the AIM Buying in the Comparative Test we did.
Due to Vortex typically using different percentages for the buying and the selling holding zones this difference could in practice be more severe but also much less severe, depending on how the investor sets the Vortex parameters.
Apart from selling and buying at a different price for AIM and Vortex there is the difference in Trade Advice due to setting the PC in quite a different way than Vortex does. For the buying AIM increases the PC so that the (PC2-SV2)on the way down this increases the Advice amount to a much greater value than Vortex would, at the same price of 80, but this is offset by the fact that Vortex would wait for the price to drop to 72 and Aim uses a SAFE for damping the buying action.
All in all these different ways of calculating the trades makes AIM a rather aggressive Buyer on the way down relative to the conservative selling on the rise. . . For a 10% price rise AIM would not advice a ell with a SAFE of 10% while Vortex would sell at the 10% rise if a hold zone of 10% was used.
I can see clearly now that a Standard AIM is rather effective for strong dip buying and only slowly selling shares on the rise, in this way maximizing holding on to shares while the price is rising.. . .this would make Aim a Buy & Hold method. . .Hahahaha!
On the other hand if the selling-off is slow AIM does not build up the Reserve enough to buy many shares in the next dip, making it run out of cash easily when cash is needed.
This must be what Don Carlson used to call the high Cash Burn Rate for AIM.
It looks to me, from this analysis, that AIM starts out symmetrically for the first trades up or down and then for a cyclic behavior will be predisposed to hog the shares, rather than sell enough shares periodically to buy strongly in the next dip, meaning that if the dips are of the same depth as before there will not likely be enough cash to buy as aggressively as in the first dip.
I think I now know a little about how AIM works.
Thanks Clive, for lifting the veils off my eyes.
Regards,
Hi Too Fuzzy, On Going down to zero”
Other than the residual BUY that you find annoying (and I don't see as a problem) the only problem with AIM has to do with using an individual stock in an AIM account and having that stock go to zero. But then that is a "problem" for a "BUY and HOLDER" also.
If that "going to zero" is the only "problem" with AIM then there is nothing to worry about! The only investors that structurally bail out at a 10% drop in stock prices will normally avoid going down to zero but they too can be caught if a stock collapses suddenly. . .if sell orders stack up and there are no buyers due to bad news.
The cure for this is over the top AIM is to study the funds and keep a finger on the pulse of the market and to bail out in time. The problem here is that AIM was originally marketed as system for the investor that knows nothing about investing and wanted to look only once per month at prices of SAFE stocks. With that approach you certainly need an external mechanism to bail out when things might go down to zero.
I do not see investing that way and therefore I am. . I mean I was. . .an aggressive investor using more or less the AIM technique(without ever making an AIM-calculation for my trading). From this I used the basic AIM-ideas to develop Vortex for aggressive investors but with the possibility to tune it down for non-aggressive investors. . .only making small trades up and down, even making it possible to tune Vortex down to make it virtually a Buy and Hold System.
You are quite correct that preventing "going down to zero" can effectively be done by investing only in funds. . .as I have done also very effectively, for instance investing in the Latin American Equity Fund. This way I had great volatility and the assurance that this fund would not collapse overnight. On the other hand I used the basic AIM/Vortex method also on quite a few volatile stocks and had to bail out a few times. One time I invested in a penny stock and did not get a chances to AIM it. . .it went down (how far can a penny go down?) to zero as I gambled on it. . . the sell order was not executed.
But the questions of how to deal with "going down to zero" is an old topic that was discussed from the start of the AIM technique. It is not really an AIM or a Vortex issue but an investment management issue that you have to implement as a shell around the AIM/Vortex-core.
Hi Adam, you appear to still have some spare time on you holidays, so you schedule is not fully loaded up! Take all the time you need to dig into this issue!
I try to give you my take on this testing and you remarks:
Any of the spreadsheet methods is going to give very different results depending on the security selected to test on. Your security goes from 25 down to 13 and then rebounds to 50. That is a very fortuitous choice for our methods, which buy on the way down and is even great as for buy and hold depending on the time scale. Unfortunately it's not representative of most of the stocks/funds we deal with. And it does not address the problems that AIM has with some stocks.
I am not sure what you mean. Do you mean any two AIM spread sheets for different securities will react very different? Or two spread sheets with different methods will react differently on the same security? Either way I would expect that to be the case.
This testing started out with a couple of charts that Clive presented on a characteristic behavior for an AIM Account. The chart, as I understood it, presented an AIM-feature without respect to a specific fund (it shows how the “gears” of the “machine” work and how it determines the output”). See for example the chart I refer to:
http://investorshub.advfn.com/boards/read_msg.asp?message_id=28451186
I admit that I did not fully understand that AIM feature on Professor Clive’s Charts but I suspect that many AIMers did not understand it either . Clive's analysis goes to the heart of the AIM technique and addresses a theoretical aspect that escapes me as yet but the subject rekindled my interest on HOW AIM is fundamentally different from Vortex. . .I wondered how Clive’s Chart would look if Vortex was analyzed in the same way.
I know quite well how Vortex works but I could not really put my finger on it in relation to AIM from a fundamental consideration, and that triggered my curiosity still more: How would Vortex react different from AIM to an arbitrary price data set if I tune Vortex so that at the First Trades would be the same . . .(as a response to a +/- price change). . . with identical initial conditions being identical. That would at least be an interesting thing to discover. I suppose I compared it to a car race in which from the start signal both cars were tuned so that there would run neck-on-neck. . .same acceleration and then the question is how the would perform thereafter on the same track with all sorts of curves with different curvatures. Both cars would have the same power and respond with the identical acceleration on the straight starting stretch. How do the two cars take the curves????
The selected QQQ Price Data Set was provided by you, but the volatility was so low that I simply magnified the ups and downs to create great volatility. . .AIMers always like to talk about high volatility in that it is good for AIMing, so I thought I give the test some volatility to get AIMers talk about it
It worked!
As for the Comparative Testing a stock does not need to be any specific stock. . .certainly an arbitrary price behavior is as good as any, and the more volatility there is the better it is for a test such as I proposed. If you consider the other extreme. . .taking a stock that does nothing then AIM and Vortex would sit there waiting for Tom Veale to be 10 years old again. . .I did not want to wait that long. My conclusion was that a volatile Data Set would be perfect. If you like we can run this test with 10 different price sets of your choice.
So my take is the results don't really tell us much on how well these methods do with most real-life stocks/funds.
I disagree. First of all AIM has been operation since 1977 in its Lichello form and with a number of derivative. . .Judging by the functioning of this Forum AIM has done well generally over the years (much to the credit of smart users that know not to give AIM the freedom to make ALL the decisions. . .(for example when to bail out when the going gets rough or when to start buying when the herd starts to stampede). So if you asked me AIM and Vortex work fine in the right hands for typical stocks. I myself have done also quite well with highly volatile funds between 1986 and 1999.
That the testing we have done does not address" the problems that AIM has with some stocks" might be true but the Comparative Testing was not done to address "problems". . . I do not even know which problems you mean. What are they?
I used to see only one problem with AIM and I called it The Lichello Flaw: producing a Residual Buy Advice without having had a price change. I found THAT an extremely irritating feature and I kid you not, that "problem" was my primary reason to create an AIM Version that would give and Advice=0 after a trade was executed.
Anyway, I have said that to my satisfaction I have discovered. . .from a theoretical perspective. . .how AIM and Vortex are very different and that looking forward there is no easy way to predict the best parameter setting for Vortex unless I understands the "mechanics" of my system much better. This test has made me understand AIM as well as Vortex better, but I still do not get the meaning of Clive’s Charts
It would give me great satisfaction if AIMers have come to understand AIM better as a result of this Comparative Testing.
TooFuzzy, Clive, anybody,
After having used Clive's result for the AIM trades
I have made up a number of tables and charts on Excel to show the differences for the AIM and Vortex results as well as a Vortex run with adjusted buy-parameters to approximately match the AIM buying and cash-burning. The charts with additional comments on our Comparative Testing can be made available by requesting them via my e-mail address. See also my I-HUB Profile for the address. I can make the charts available for presentation on this Forum but if that is desirable I need help to do that.
Initial Conditions:
SV1=70000
PC1=70000
Share Qty1=2800
Cash1=30000
AIM SAFE=10%
AIM Min.Trade=4,5% of SV
AIM Trade Advice = /PC-SV/ - 0,1*SV
PC Update as for Standard AIM
Vortex Min.Trade=4,5% of SV
Vortex Buy Agression Fb= -1,59255
Vortex Sell Agression Fs= -2,22188
Vortex Buy Advice=1/(1-Fb)*(PC-SV)
Vortex Sell Advice=1/(1-Fs)*(PC-SV)
PC=SV after each trade
Here is the Table with prices and trades:
Price, ...AIM Trade...Vortex Trade
25, Starting Price
21.5,...176...176
20,.....321...0
19,.....326...151
21,.....0.....0
19,.....0.....0
18,.....359...0
17,.....410...142
15,.....0.....168
14,.....0.....0
13,.....0.....204: AIM Cash=$ 151...Vortex Cash=$ 15761---
20,.....0.....(396)
26,.....(688)...(232)
27,.....(190)...0
29,.....(236)...0
31,.....(212)...(151)
33,.....(187)...0
34,.....0.....0
36,.....(233)...(123)
38,.....(148)...0
31,.....0.....170
32,.....0.....0
27,.....397...166
28,.....0.....0
27,.....159...0
27,.....0.....0
31,.....0.....(123)
29,.....0.....0
26,.....195...219
34,.....0.....(232)
34,.....0.....0
40,.....(551)...(137)
41,.....0.....0
43,.....(221)...0
43,.....0.....0
50,.....(-331)...(174)
Ended run at $50 with:
AIM...Vortex
SV = $124000....$131403
Shares = 2480...2628
Cash = $68279...$49254
Portfolio Value = $192129...$180657
Remark: These last Vortex Results are a little different from the overall results I got before: the Vortex Portfolio Value at 50 was approx. $ 163000 when I published the Vortex run on this Forum. After having changed the Vortex parameters to match exactly the AIM Reference Sell at a price of 29,24 the results changed a bit but the overall behavior remains quite similar. It does not change the overall conclusions that AIM and Vortex are quite different and that they can not be easily compared by setting the initial Trade Response to a price change the same.
They are as different as apples and oranges. Further comparative testing would not serve any purpose.
The charts of the trades and the total shares at the given prices and with additional comments can be obtained from me by contacting me at my e-mail address
aimtest@vortex.demon[seed].nl
With [seed] to fool robot scanners .....> remove--> [seed].
If anyone wants to publish the chart on this AIM Forum he may do so without asking my permission but one should consult Tom Veale on this first.
Regards,
Hallo Professor AIM Is 7550.
It is very helpful to have this expertise available on this forum. Tanks for the answers.
Some reactions to your added remarks:
It does look to me that your Vortex is simply B=(PC-SV)/Xb (where Xb=1-Fb {Xb>=0; Xb<=1})
Which is as I mentioned earlier, somewhat comparable to a dynamic LD-AIM.
Assuming SAFE=0 then at Fb=0 (Xb=1) then that's AIM, at Xb=0.5 that's 2X trade size LD-AIM (you'd need to tune the Xb value further to cater for the SAFE amount)
Yes indeed, the Trade Multiplier = 1/(1-F). . .Fb for buying and Fs for selling.
Also for other values of F there is a corresponding Fb and Fs for every stock price IF it were necessary to match the trades of Vortex to standard AIM or to match it to LD-AIM. There is no need to go into that anymore as it is not useful to do any more comparative testing. The good thing is that there IS a difference!
Re: PCnew=SVnew after each trade.
A potential problem here is that there's no feedback loop. If the stock value falls to perhaps 1% of the total fund value (99%) cash due to some strong stock price rises that had you selling out of the stock then PC=1% of the total fund value after those trades, and any further trade signals as the stock price falls back down again would raise very small trade amounts to the extent that you might never get back into holding any meaningful amounts of stock.
You are 100% correct theoretically but that's not a problem at all. As an Investment Manager I always keep an eye an investment "over the shoulder of Vortex" to make sure on what is happening and let my own decisions dictate the next move if the market or the fund makes it opportune to do so. . .I would simply buy a number of shares I like to have. . .I do not advocate the typical Lichello tactic to look at prices only once a month and ignore it in between. I actually advocate frequent checks on the prices and if Vortex does something that needs adjusting then I jump in and correct he situation . . .The Vortex Investor is the Principle Manager and Vortex is a AID for situations that can be run automatically. I also advise this to Vortex customers: "Do not take a nap while Vortex is running the show”. The feedback loop is in my head.
The case you illustrate with 1% investment and 99 % cash is a good example: It means that the investment has been practically liquidated because of high prices. . .The profit is made and is SAFE. There is no need to let Vortex do anything.
With the cash on a very low side as you suggest I consider the investment as terminated. . that a few dollars remain in shares is of no significance. . .let them ride. At a point like that I would evaluate the market from a new initial condition:
* Are the shares of the fund in question worth having? If YES I probably would have stopped selling and not have only 1% but probably still have 15-25% in shares;
*Alternatively if I would have felt the market was going to dive I simply would wait for the next dip to have manifested itself and then asked(more or les a-la MACRO): “Is it safe to invest again and let Vortex take over for a while?” If YES I would convert a large portion of the cash into shares. . .maybe even 80% if I felt the market was close to recover. By doing so PC=SV would automatically be back at a normal level.
This way of keeping management controls is also what I advice Vortex customers to do . . . (In my Dutch book The Vortex Method).
With this remark you pointed out an important feature of Vortex that I have consciously constructed this way on the basis of the principle idea that Vortex does not look back to the past and functions as if at any point it is a new investment. . it does not know what happened in any previous trade and does not modify the trading action on previous trades. . .every time a trade is executed in the running of Vortex is again at an “initial condition” with PC=Investment and the decision to buy or sell is the Absolute Min. Trade (fixed amount) as well as a floating trade threshold as a percentage price change. The only thing that changes is the CER...at the trading proceeds, but that is not part of the decision making. One can add or take away cash as the situation demands.
In several Dutch publications I have outlined this specific feature of Vortex that it is a percentage trading system with variable aggression factors for the buying and the selling. . . .these aggression factors can also be altered any time if the Manager dictates it and Vortex would not blink an eye
Regards,
TooFuzzy, to take emotion out of investing or not is a matter of perspective on what you mean by emotion. . .there are enough books on the subject to argue that emotion is just THE thing that makes it possible to make correct decisions. . .the gut feeling part of doing things: “Follow your Passion” is a guiding principle for success. Some people call emotion an uncontrolled jittery reaction to everything that happens. . .a bit like Old Man Simpson runs his life.
A passionate investor is not by definition a stupid investor but I would bet Old Man Simpson could not earn a dime with investing with or without an AIM or Vortex system. I am a firm believer in the idea that one should at all times have his finger on the beat of the market, the economy and the emotion of the nation and be prepared to trade accordingly. . .that could be called an emotional approach but I think that is an effective way to invest. . be emotional about you money but avoid being stupid!
In that way if one is passionate about seeking out all the tricks of the game and gathering a lot of know-how about a fund and the market then he can be an effective investor. This way one can change his investment management any time the signals require it.
Without emotion one could start out on a course that is disastrous but not recognize it and putting too much faith in The System to let it call the shots and not worry about it can lead one to the graveyard.
I agree that running with the cattle in a stampede is not a good basis for investing. . .but I can be very emotional about cashing out when the prices have been running high for a long time at the moment the cattle is stampeding to get in too in order not to miss the next price rise.
Clive, I propose we appoint you Professor of the AIM University!
When I read your comments I have a faint feeling I understand some of it but then I realize that I was mistaken . Other than saying rapidly: "Yea, it sounds good" it goes past me at great speed.
I will make an attempt to respond to the parts I do get and relate it to the test we did:
The results you achieve even when comparing two exact same machines (methods) with the exact same settings/parameters will potentially significantly differ given even just a minimal change in starting price value. The same applies for even just small differences between parameters/settings.
When you mention "machines" here they are theoretical systems and should respond identically. . . in real life production machines are never identical as they operate with in tolerance ranges and in that way they their functioning can diverge even with identical input. With different inputs the difference would be expected to grow. With small differences in the parameter settings the development of large differences would be expected (the machines are no longer identical). Also when two people run an identical “machine” they would likely execute trades differently and if not doing so intentionally different brokers would execute trade orders differently and charge different fees. It would be a miracle if two "machines" get the same result in finite time. With different "machines" one could make money while the other losses the bundle!
If I understand correctly Vortex is similar to AIM but uses a slightly different method of Portfolio Control updates after each trade and has separate buy and sell aggression factors, which scales up or down trades sizes according to recent events (predictions). Which is somewhat similar to how LD-AIM scales trade sizes but not in such a dynamic manner. Similarly using a sell aggression value that produces a zero trade size is akin to pulling a Vealie.
Actually The PC update is very different. I have modified the AIM PC update for buying specifically to eliminate the Residual Buy Advice. . . used to call that "The Lichello Flaw" so that the Buy Advice = 0 after each Buy. This was achieved by replacing the 0,5* Buy in the AIM update function with Fb*Buy and setting the Buy function as
Buy = M*(PC-SV)
and solving for the value of Fb to make the Buy Advise = 0 after the trade was executed and PC was updated. The solution resulted in
M=1/(1-Fb)
and allowed in fact the Buy Aggression Factor Fb to be any number < 1. . .(using Fb > 1 makes a Sell from a Buy so is not useful)
and thereby the Aggression Factor Fb was born.
I used the same function for selling with Fs as Sell Aggression factor.
The default setting is Fb=Fs=0
Another principal difference is that after a Sell the Vortex PC is updated also to give Trade Advice =0 after the trade is executed.
In this way after any trade executed as advised the PC(new)=SV(new)
In regards to setting the Sell agression so low that the Sell Advice = 0, you suggest that this is like a Vealie. In Vortex I call this "Let the Profit Run". Is dat exactly as the way a Vealie works?
With the default settings Fb=Fs=0 Vortex trades more aggressively than AIM on the initial selling and buying as well as on the buying because the AIM SAFE*SV "trade damping factor" makes the AIM trades smaller at an identical start condition.
However the different PC-updates has demonstrated to make AIM and Vortex very, very different "machines" that react to price changes in a very different way, unless the overall response for the two systems are artificially tuned to give the same output at the end of the run, but these settings would not work for a different price structure.
For this reason any further testing is in my opinion not useful as there is no logical reason for making AIM and Vortex respond in the same way.
I shall complete the analysis of the test on the basis of the AIM-Vortex Trade Charts I made later today(on May 15). I got to hit the hay now, it being 03:15
Zzzzzz.
Hi TooFuzzy, you make some valid remarks. I shall respond to them one by one:
1) There is an issue of data mining and 20-20 hindsight involved.
2) Why you wanted the first trade to be the same was and is beyond me.
3) How do you decide on your settings on a new investment?
1/ Indeed. This was simply done to illustrate a method to increase the Vortex trade aggression to more or less match the trading response to the AIM trading as in this comparative testing the Vortex aggressively was reduced significantly due to the matching of the initial response. It really means that setting the initial responses identical the two systems the responses are diverging but by matching the overall response giving approximately the same results one can conclude that both systems can be effective investment “managers”.
If for some reason it would be necessary that AIM and Vortex have to be compared (rigorously) it would have to be done so that for a certain price behaviors AIM and Vortex would use the most effective parameter settings for their system. . .such knowledge can only be obtained from experience and comparing as I have done. It is possible to gain extra knowledge from this sort of work. .one's nose is pressed on the facts that are revealed by the testing.
2/First trades the same: The idea was to find out how AIM and Vortex are fundamentally different or similar. One way of finding out is to start out as I did with identical responses to price changes. I had expected that AIM and Vortex would react more similarly but it surprised me that the divergence was quite large and studying this divergence gives me a strong insight as to how different AIM and Vortex are and why. Before this I was not able to fully grasp the essence of the difference. The results from our testing gives me a better understanding of both Vortex and AIM and in this respect I have learned already lot from this single test.
3/ Typically I seek high volatility funds but also one’s that give me a lot of certainty that they will survive big dips. . . funds that will not easily disappear. I then start out with a generally aggressive buy-methodology and a less aggressive sell-methodology. This on the basis that it will make strong buys and a weak sells. This spends the cash quickly but holds on to shares longer to let them appreciate. . .this works well with "well" behaved funds. For "badly" behaving funds one must fly with the seat of his pants and be able to bail out before it is too late. . . This is especially important for any system that buys on the way down. I might add that 8 tears ago I have been financially beaten into the dirt and I am not actively investing anymore. . .I follow my own advice that I give to others: Do not invest money you can not afford to lose.
4) I think a farer test would be for you to pick settings base on whatever past info you usually use (for a company and industry you are not familiar with) and for AIM to use the typical settings and then use a price list for some period going forward from where you stopped looking.
4/This is indeed what the testing demonstrates and I have alluded to this above. From this test I understand Vortex better and it performs in line with the intentions I had when I created the Aggression Factors. It will for example be possible to create an investment that systematically liquidates the shares over time. . .for someone that needs a "steady" income from his investment. If then a dip occurs he can again make a strong buy and on recovery starts selling shares on the normal ups and downs until the investment is too small to keep trading.
OK TooFuzzy, I had already assumed as much and did add the "0"!
I shall add the numbers of Clive's second run on my table and make simple chart of it. This chart could be published by Clive or Tom as I still have two left hands in regards to chart publishing. My two right hands are always doing something technical that only I understand. . .from this you can conclude that I have 4 hands.
My general analysis is mostly already provided in response to the table with figures that Clive provided. It will simply be an synopsis of what I already presented.
Will respond later tonight to the other posts.
Additional comments on comparative testing with AIM with Vortex
In the previous post I mentioned that using an identical starting response for AIM and Vortex the overall response of Vortex quite conservative. I have changed the parameters for a more aggressive approach to Vortex buying and selling so that on the way down the cash cold be effectively invested as AIM did and and to keep the Sell Aggression low in order to hold on to high priced shares.
I restricted the trades to a larger Dead Zone of about 14%. This way all the triggers were > 3500
This considerably improves the Vortex response and jacks up the Portfolio Value from 163000 to 217000 while the trades are about the same number as before but this time the cash is reduced to 176 at a price of 13 and that is virtually the same as the 171 for the AIM run. By increasing the buy activity and increasing the dead zone to 14 % from 5% I shifted the buys towards the price dip. The Sell aggressively is kept about as low as before.
A large difference in the response is that the Vortex first buy at 21,5 increased from 3780 to 9000 and this is a vastly different response from the AIM first buy.
So, I conclude that comparing AIM and Vortex any further is rather pointless because in order to get approximately the same overall response the starting response is completely different. There is no way to use any rule as to how the parameter might be set in order to get the same overall response.
It is like comparing apples with oranges. . .!
The testing is over!
Clive, TooFuzzy, Anybody, I have gone back to the Vortex results for the run that you did with the 3500 Min Trade. This was originally suggested by Adam, but TooFuzzy considered that far to large and suggested 5% of the SV. This 5% gave some problems for TF's AIM to generate a SELL at a price rise to 29,25 that I used for setting the Sell Aggression for Vortex. In order to solve that TF and I agreed to make some small changes and use Min Trade of 4,5%SV so that we had identical start positions.
In principle the latest run with the 4,5%SV Min. Trade give generically similar results but allowed Vortex to make more trades as the 3500 is severely limiting trading.
The run with the 3500 Min Trade resulted in the following interesting Remarks & observations
1. For an identical "kick-off" for AIM and Vortex for buying and selling Vortex has to be turned down severely and be made conservative. . .watch and do noting . . . Normally I would trade much more aggressively than buying only 176 shares for the price drop from 25 to 21,5. This turning down of the Vortex aggressively severely limited the trading activity and I could not get rid of the cash as the price dropped to 13! I had +26000 in cash but the Buy Advice stayed below 3500. In this way there is already a big difference between Vortex and AIM. . .in any much more than I had expected.
With the first Buy & Sell as Kick-Off Reference AIM starts buying more aggressively than Vortex so that AIM invests the cash more effectively while Vortex waits till the price drops more, due to the very conservative settings.
This shows that the 3500 Min Trade is far to large for Vortex at this conservative parameter setting.
Also the way AIM updates the PC creates a larger difference for (PC-SV) so that AIM Trade Advice exceeds the 3500 limit easily. The Vortex PC=60200 at the price of 21,5 while for AIM the PC is updated to 71892. With SV=59520 at a price of 20 the Vortex Advice is:
Trade=0,3857*(60200-59520)= 262 < 3500 ----> No Trade. . .this 0,3857 multiplier is dictated by the first Buy of 176 shares and is obviously to low.
The AIM Advice with a 10% SAFE is:
Trade=(71892-59520) - 595= 11777 >3500 ----> Buy 11777/20= 589 Shares.
???? What went wrong here?
You show a Buy @ 20 of 321 Shares on you data table. . . I do not understand this!
2. Apart from the Min. Trade of 3500 being too low for Vortex it is clear that the low aggressively of Vortex creates less buys and cash is ineffectively reserved. In order for Vortex to increase the buying action it is necessary to increase the aggression factors for buying and by doing so it will violate the criteria for this test: to start out identically in response to a price change from the 25 price to the 21,5 price.
3. As the price recovers from 13 AIM starts selling more aggressively than Vortex. This would, at these setting, be a good thing for Vortex. . .holding on to shares longer as the rise in value. . . but this only compensates the low buying on the way down a bit. If I would use a higher aggression on the way down AIM and Vortex would respond more similarly but a low Sell Aggressively would hold on to high value shares. As it is Vortex is not functioning well at all with the non-aggressive buying.
3. At the end position AIM and Vortex have practically the same number of shares (AIM 2466/Vortex 2405) but AIM has a 28000 more portfolio value(191000) that Vortex(163000). This is quite reasonable as Vortex hardly used it’s cash.
In the light of these results I must conclude that because of the much more aggressive response of AIM to a price drop after the first trade AIM and Vortex can not effectively be compared by setting the first trade responses identical.
After some trial and error it would be possible that AIM and Vortex create more or less similar average trades on the way down and on the way up but in practice this would not normally occur. . .AIM-users and Vortex-users would start out with settings that will be dictated by experience and insight in the specific mechanisms of each system. Typically I use a high buy-aggression and a low sell-aggression. This would take advantage of dips and tends to hold on to shares as the appreciate in value.
Provisional Conclusion
Comparing AIM and Vortex on the basis of an identical Initial Response to a + or - price change serves no purpose other than discovering the essential feature as to why AIM and Vortex are essentially very different. . .mostly because of the very different ways the PC-update is executed.
From this it becomes very clear that because of making AIM and Vortex respond identically initially that this specifically makes them function quite different over a whole data set. In this light it may even be no longer necessary to run other tests and AIM users and Vortex users can not use each others know-how for getting their system to perform better.
After TooFussy completes his Trade List I shall complete my analysis on this testing.
Clive, the PC-values are the same as TF's for the first 4 prices, then they start to diverge because in the last run TF and I used 0,045*SV as Min. Trade while you used 3500.
I now know what is going on! You used one of my earlier results for which I used the 3500 Min. Trade. That's why there are these obvious differences.
OK, I shall analise these older figures and compare it with you AIM figures and see if I can make any intelligent conclusion on it. . .with the different settings the results would at least be characteristic for the two systems.
I will get back to you on this.
Clive, I guess I did not have any glasses on!
No that's portfolio VALUE = cash + stock value at that date
Regards,
Hi Too Fuzzy,
I noticed a Fuzzy number in you list. See price @ 17. The PC is gine down to 8143. . .a digit is missing. . .it must be
. . .
21, 78199, 76083, 3623, 2116, 7608, No Trade
19, 78199, 68837, 3623, 9362, 6883.7, 2478.3, 3097, No Trade
18, 78199, 65214, 3623, 12985, 6521.4, 6463.6, 2935, 359
17, 8143, 67694, 3982, 13736, 6769.4, 6966.6, 3046, 410
15, 84915, 65880, 4392, 19035, 6588, 12447, 2965, 11 (out of CASH)
Clive,
I noticed that in your Dataset you have an initial PC= 100000
but the initial Share Value is 70000. This is quite a difference but you also get a first Buy of 175,8 shares. How is that possible?
In AIM the PC=70000 at the start. . .right?
Hi Too Fuzzy,
I am transferring your data to an Excel sheet with only the relevant figures so that I can make a chart of the trades.
The data will be the
Price/AIM PC/AIM Trade/AIM Shares\V PC\V Trade\V Shares.
If I put more on the table it will almost impossible to make sense out of it. As it is it might already be too much.
Don't know if this is of any use, I quickly ran the figures through a downloaded copy of the AIM spreadsheet available off Tom's website and produced the following
Thanks Clive, this is useful for comparing an unadjusted AIM with Vortex. Did you also use Min, Trade pf 4,5% SV?
You made a nice set of figures. . . all neatly in columns! How do you do that?
Anyway, I am putting the Figures from TooFuzzy on an Excel sheet to compare. I have to use the figures TooFuzzu used as he and I rounded the trades off to whole numbers. The trades you showed for Vortex are far too few. . .the last run I did to compare with TooFuzzy's results got 14 trades (probably you used a previous set of results when I used a fixed Min. Trade of 3500. Afterwards TooFuzzy and I decided to use a floating Min Trade of 4,5%SV on account of getting to a identical starting point.
I am transferring all the figures, by hand, to an Excel sheet and make a chart of the trades. I make a print of your table to make it easy to compare with TooFuzzy's results.
Thanks again. I might ask you a few questions on this later on after I get all the data from TooFuzzy.
Hi Too Fuzzy,
The calculations you did with your Calculator on the comparative testing AIM & Vortex would be interesting for a discussion here. Could you show your results here as a table so that we can compare the trades and analyse them. I tried posting a chart here but it does not work. I could add my trades to your table but a chart of both trades might be more informative.
You never believe it: The picture I was trying to show on this forum, as an exercise, appeared, as if by magic, on my Desk Top. . .!!!
OK guys, you might as well give up trying to help me. This form is not for computer lessons For Dummies.
To-the-loo/CW
I tried to get it for 15 minutes but ran out of time. I have no idea what
];pgf m, ;kil;>
means. . .probably that I was ready to kill myself but I ran out of time on that too. . . when I was making the knot of the noose. . .how does one make such a nice knot as I saw on the neck of Saddam Houssain?
Next year I'll try it again. . . .
To publish a picture I mean.
Yes Matt, I was doing an excercise in chart publishing and got 0/10 for this
So what you are telling me is that I click on the chart or picture from a website I intent to publish here and then paste it between the [*chart] left and the [*/chart] right
like this from a website
];pgf m, ;kil;>
Shit, it won't work. I do not get it: Hoe "sdo I get to the part in between I can klik all I want on the webpage pictures but I do not get what I need.
Charts, I wanted to know that too.
You mean so?
Advice needed from anybody.
If I want to post a chart on this forum how do I have to do that?
In the past I knew how to do it but my memory had black holes in it
The chart would be an Excel file. I have no direct access to my website so I can not simply put it there.
I need to have the instructions for this but can not find them on this Forum's Handbook.
Anybody????
RE: Comparative testing AIM & Vortex.
TooFuzzy and I have had many private discussions on the difficulty to get identical starting positions. The problem in this was different interpretation for the Holding Zone/Min. Trade/SAFE and what I called SAVE. On the basis of the interpretations that TooFuzzy used we have come the following starting conditions for a Comparative Test:
**********************************************************
See Post # 27280 for reference.
AIM - VORTEX Test Results first Runs:
Standard AIM Investment: 70000..................on:. . .30-04-08
Reserve= 30000
SAVE: -0,1*SV
No negative Reserve
AIM Trade Formula’s: Trade Advice= /(PC-SV)/ - 0,1*SV
Min Trade= 4,5% of SV
Stock price 25 to start. See Post # 27280.
Reference AIM Trades for rising and dropping stock values:
+ 17% Price: First Trade Executed= Sell = 3710
-14% Price: First Trade = Buy = 3780
I have used these Reference trades to set the Advice Generator of the VORTEX program;
Buy Aggression Factor fb =
-1,59255
Sell Aggression Factor fs =
-2,20750
Trade Advice Function= 1/(1-f)*(PC-SV)
No trading costs
No interest on cash.
***********************************************
This time 14 trades are executed(previously 8 trades).
These different starting conditions and different ways for calculating the Min Trade has resulted in a greater trading activity. This is primarily due to the fact that the Floating Min. Trade 0,045*SV < 3500 when the SV is low and creates more buys and sells when the SV is less that the 70000 starting equity.
For this new run (with more trades in the price-dip-phase than previously) the performance in terms of yield is a little higher(more buying in the dips).
Simple ROI = 27,2 % per year (was 21,6 %) for the 2,92 years
ROTAI = 38,7 % per year (was 29,9 %)
TooFuzzy is going to report on the AIM trades.
If a Trade Table is needed for trade-by-trade comparison I will post this later after TooFuzzy presents the results.
Hi Evil,
There is a kind of ecstasy, a speechless wonder, a breathless excitement. What is it that you have found and are so extraordinarily elated by? Is it that you picked up truth. :)
I was not elated in any way. . .I could not grasp anything meaningful from the post. I think that's what I picked up!
Hi TooFuzzy, you are indeed making it to fuzzy
"Your formula makes it look like you are dividing but i am pretty sure you are not. I will write it out slightly differently but it is probably the same.
>>>>>AIM Trade = /(PC-SV)/ - a*SV <<<< "
This IS exactly the same as I put it with /()/ being the absolute value. The only thing to choose for a particular AIM-portfolio is a choice of a. The AIMer involved in a comparative test should choose it. . .the reason "why" is not relevant to me. The only trades (in the runs already carried out) that are executed are => than 3500 AND, if applicable the 5% Hold Zones comes into play if a trade under the 5% price change triggers a trade > 3500. . .in that case the trade would be executed only at price change => 5%.
For the First Reference Trade, in the test-case, +/-,
% Price Change = % SV Change
and that is relevant for defining the Reference Trades so that AIM and Vortex start off identically for a rise or fall in prices. How in an AIM portfolio the second and following trades +/- are calculated is of no concern to me.
The only interesting thing is to find out how, under identical Min. Trades and identical Holding Zones and identical "No Negative Reserve" rules the trades differ for a particular Data Set.
Therefore, how you or anybody else would define the value of a in general makes no different at all as long as it is defined for a particular case. Since the price development for a real stock is unknown the choice for the parameters is not relevant. . .one only can speculate what type of price development is expected and then pick the parameters.
In our case the comparative testing the choice of the parameters is completely arbitrary and I will accept any value of a one cares to select and how it is selected is not important to me.
The other things you wrote with an A (instead of an a?) are quite fuzzy and are i.m.o. probably not relevant for the testing we are doing.
With this in mind any AIMer that wants to do a Comparative Test (not a competition!) may provide any Data Set and any starting condition and run the AIM with that data. The only thing I ask is to limit the data to 36 points or so, as I have to enter the dates and the prices manually in my Excel template, unless the figures are provided on an Excel File and send to my e-address. Alternatively I could download an AIM Excel Template and copy the price data from that.
To make it simpler yet, the AIMer may give me the initial conditions and the First Reference Trades from a starting price. The first trades need not be at equal percentage price change. For example you may provide
SAFES(Holding Zones) %. . (arbitrary x% and y* of the starting price)
Starting price
First Sell (value) at X% price rise. These are not necessarily the Holding Zone percentages but could be,
First Buy (value) at Y% price drop
Min. Trade: you pick it
Condition: No negative cash allowed.
How AIM prices are calculated is of no concern to me as long as you do not change the parameters in between.
The analysis of the results is primarily focused on the Trading Response. . .step by step, to the test data. The yield is of course also important for judging the effect of the trading but this will become only useful for deciding how one is to change the parameter set for a particular fund. . .I think that will only become clear after doing more studies. I do not expect to find an definitive answer to that in a short time. If someone does know how to provide that definitive answer I would sure like to hear about it!
Regards,
Hi eViLSeeD!
I'm speechless!
This never happened before!
Is your post a Dutch Treat?
Hi TooFuzzy,
I only wrote in answer to "Is this correct and the way you asked seemed like you were confused as to why you got a negative #.
OK, I stand corrected. I did not check on which post# you were reacting to. On my latter posts I did the calculation with the absolute value symbols because I deducted that the first calculation was wrong.
In Vortex I do not use the absolute value formula as the
(PC-SV) gives a negative answer for SV>PC so that this represents a sale and the trade is automatically deducted from the SV.
0.1* SV would be the SAFE ( Some people vary it like I posted in my last post)
OK, I was correct then that the AIM-practice nowadays is
AIM Trade = /(PC-SV)/ - a*SV
with a generally being selected independently from the SAFE %/100 so that there is control over the aggression of the AIM trading. Beautiful! Aim is beginning to look more and more like Vortex.
Thanks for the clarification.
AIM - VORTEX Test Results using the Lichello Test Series:
10/8/5/4/5/8/10
Standard AIM Investment: 70000
Reserve= 30000
SAVEs: + 5 % and – 5%
Min Trade= 3500
Stock price 10 to start. See table Below.
Reference AIM Trades for rising and dropping stock values
as calulated by
AIM Trade = /(PC-SV)/ - 0,1*SV
+ 20% Price: First Trade = Sell 5600
-20% Price: First Trade = Buy 8400
Note that this is not an aggressive trading action. If I would use
/(PC-SV)/ - 0,05*SV
then the trading action would be more agressive. Either way it is only important that in the comparison we use the same starting trades.
I have used these Reference trades to set the Advice Generator of the VORTEX program;
Buy Aggression Factor fb =
-0,6667
Sell Aggression Factor fs =
-1,4999
Vrtex Trade Advice = 1/(1-f)*(PC-SV)
No trading costs
No interest on cash.
Keeping the < 3500 No Trade Rule in mind the following trades were triggered by Vortex on the Lichello Series for a 3 year period on generally mothly prices
Date /Price /Trade
1-01-07 /10
31-01-07/8/8400
2-03-07 /5/14490
2-04-07 /4/6569
2-05-07 /5/-5036
2-06-07 /8/-13900
2-07-07 /10/-7877
2-08-07 /8/10869
1-09-07 /5/16485
1-10-07 /4/0
1-11-07 /5/0
1-12-07 /8/-16457
1-01-08 /10/-9325
31-01-08/8/12869
2-03-08 /5/12914
1-04-08 /4/0
2-05-08 /5/-5966
1-06-08 /8/-16467
1-07-08 /10/-9331
1-08-08 /8/12876
31-08-08/5/18888
1-10-08 /4/0
31-10-08/5/0
1-12-08 /8/-19342
31-12-08/10/-10960
30-01-09 /8/15124
2-03-09 /5/15178
1-04-09 /4/0
2-05-09 /5/0
1-06-09 /8/-21037
2-07-09 /10/-11921
1-08-09 /8/16450
1-09-09 /5/16507
1-10-09 /4/0
31-10-09/5/0
1-12-09 /8/-22880
1-01-10 /10/-12865
27 trades executed. The Vortex template has a Cash Limiter function so that Reserve can not become negative. On most of the point the prices dipped to 5 the cash went to zero so that on the price of 4 no trade was possible. In backtesting one can temper the aggression so that there is money available for buying at the price of 4 but in this run the aggression factors are fixed by the First Trades Calculation.
Of principle interest is how an Standard AIM trades would compare to these Vortex trades.
Running period: 3,00 year
Simple ROI= 28,3%/yr
Share Qty increase from 7000 to 14909
Buy & Hold = 0%. . .constant Share Qty @ 7000
ROTAI= 23,5%/yr
CER (Cash/SV Ratio) End of period =0,24
Cash Limiter active: No negative Reserve allowed
Remarks
1 The Vortex Run has been done with the 3500 Min Trade in place. All trade advices > 3500
Trading cost & Interest on cash not used
2) In this case there are several months in the 3-year period with zero Reserve and with investments ~~ than 100000. The simple ROI is based on the 100000 being invested all the time, so the ROTAI is less than the simple ROI.
I am looking forward to the trading response of the Standard AIM with these initial conditions as I have used here.
A chart of the trades and values could be provided after I find out how to post it here.
Regards,