is retired now but still kicking like a horse!
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Hi TooFuzzy,
On the subtracting I am not confused as I used the absolute value symbol
/PC-SV)/
On subtracting an amount xxx*SV I have been repeatedly asking questions and no one gave me any answers. I specifically also asked if the xxx was in some way related to the SAFE. . .The fact that various people have used al sorts of variations on this made me ask that. When I posted the starting calculations as
/(PS-SV)/ - 0.1*SV
I again asked if that was correct and I got no answers. See post # 27277
Furthermore I have never interpreted from my readings on AIM that the amount to be subtracted
xxx*SV
must necessarily be
SAFE/100*SV
I see no reason why it should be. As far as I can see it the SAFE is a Dead Zone and the amount xxx is a free variable:
AIM Trade =/(PC-SV)/ - a*SV
and by selecting a you can control the trade size. . .the factor a can be called the AIM Damping Factor. . .Tom Veale will like this terminology .
By making the Damping Factor negative you can even make a very Aggressive AIM. . . like I do with my Aggression Factors I use in Vortex. You will keep all the AIM features as they are and simply trade in an aggressive manner.
Hallo AImster,
There seems to be a persistent misconception here that for the Comparative Test I have suggested it is necessary that a real stock values must be used. Ok, there are thousands of funds and running them through an AIM Machine and a Vortex Machine will give as many unique responses and in order to extract a characteristic "response difference" it would be necessary to analyze all these responses and filter out some fundamental aspects to identify the basis difference of the response to an arbitrary data set. I say that it is just as interesting to see the difference for one arbitrary data set and the Data Set I have already given should suffice, even though the response to it would not disclose everything. Another way of looking at the fundamental difference is to run the Lichello Series 10/8/5/4/5/8/10 etc. as I have done just a few hors ago.
In my next post I shall give the results.
With respect to using data for a real stock history it makes no difference what you use and you can pick one yourself. . .I have not been downloading real stocks for years and the last time I tried it a week ago I got lost in the mechanics of trying to understand the websites and gave up and used an old QQQ data set and modified the data to create volatility.
No doubt you have enough stock data on your computer. Simply pick one with enough volatility for AIMing and use about 35 data points. . .monthly prices for 3 years.
For the starting conditions you can use the same information I already posted with the results on post# 27300
Adam, its easy for me to change the stock prices for an other run. If tou send me an Excel file with dates and prices I can plug it in my Vortex template
It must have to do with the particular choice of time period where you've selected a time period where QQQ had the bull run. I'd much rather see a time period where the buy and hold yield is between 0 and 10% /12 months. That's more realistic. 48% rise is an abberrant time period and is not a good test--the results either way will be open to criticism. It's not a good way to start the contest.
It is important to note this is NOT a contest. We did THAT on this forum in 2002/2003. It is a test on how AIM and Vortex are reacting differently to a data set. In my view it makes no different what the data is but possibly it might be better to use the Lichello Test Series. I will run that series on the same basis with the same starting conditions (investment = 70000)
The series at the price of 10 has its fist price at 8 so I calculate the moves from that point and assume an price of 12 to determine the Sell response if the price would rise by 20%:
price =12
AIM Trade= /70000-84000/ - 8400 = 5600 > 3500. A sell;
price = 8
AIM Trade= /70000-56000/ - 5600 = 8400 > 3500. A Buy;
The corresponding Aggression Factors for Vortex are
f(buy) = -0,6667
f(sell) = -1,5000
I will post the results.
Adam,
OK on that +/- 5% SAFE.
The security you used was QQQ. How did you modify it and exactly what time period did you use?
The original Data Set for the QQQ fund(see post # 27265) had very low volatility and did not result in any trading response with AIM and a Min. Trade @ 3500(with vortex I can get response on a "fat line"), so I arbitrarily magnified the stock prices up/down by eye-balling. This resulted in a more volatile stock but the up/down magnification was not precise. . .I figured the magnifications might as well be a bit arbitrary. . .it makes no difference in this test for if you would take a different fund it would also be arbitrarily different. I just kept the up/down frequency as it was. The original time period 2002-2003 was 1 year and the price rose from 23 to 34(47,8% rise from the start).
As bad luck would have it, when I ran this on the original QQQ Vortex Template I got some running problem which I could not identify and I did not have the patience to debug it. So I switched to a standard Vortex Template that I use for sending to people that want to buy it. It has the Lichello Test Series 10/8/5/4/5/8/10/8. . .etc. as default prices.
With the QQQ modified stock(36 prices) I used a total period of 2,92 years.
This completely arbitrary Test Data Set represents the general price move from 25 down to 13 as the dip and back up to 50 a the end of the run(100% rise from the start). The percentage magnification at the end is bigger than at the beginning.
The first results with ROI 21.6%/year refer to AIM and 27.6 refers to Vortex, right?
No! I did not do an AIM run. 3 Vortex runs were made. . .I have no AIM template and assumed you would do the AIM run on your AIM Machine.
Run 1: No trading costs and no interest on cash added.
ROI = 21,6%/yr refers to the restricted run with the Min. Trade @ 3500 . . .(your suggestion). There were 8 Trades.
Run 2: No trading cost/No interest. The restriction of the 3500 Min. Trade was removed and trade advices as low as 1100 or so were generated at the 5% SAFEs and these were executed. ROI=27,6%. There were 26 trades. This simply shows that in this case there was a theoretical benefit on lowering the Min. Trade to the +/- 5% SAFE levels.
Run 3: Same as Run 2 but with 3% interest on cash and 0,75% trading cost on the trades.
At no time was cash allowed to go negative.
The buy and hold refers to the total period or per year. Why is Bye and Hold 34.3% better than either system? Buy and Hold of 34.3 seems artificially high. It's unusual to get such good results.
What is ROTAI?
All yield figures are per year. Note that BH is 100% over the 3-year period. In AIM or in Vortex you are almost never fully invested. The yield is calculated on the invested base and for periods that you reap the profits (up trend case) the invested base is rather much smaller than for the BH. As you might notice in the last 6 month of the period the prices started rising. . .providing cause for profit taking. . .precisely the intended action was carried out that forms the basis of The AIM Principle: run with the profits and wait till the stock goes down. If in the last month the stock value would have dropped sharply the BH would have lost significantly but the AIMer (Standard or Vortex) would have secured the profit as he had invested only about 65% of total Portfolio Value. This is why at the stock price of 50 the BH average yield is a bit higher.
To me the 34 % BH yield is not high considering that the stock had doubled in value in 3 years.
ROTAI is a means (it is similar to Tom's ROCAR) to calculate the yield on the average amount of capital invested over the period. With a cyclic value there is no 1 way to calculate yield. . .yield depends on definition of the invested base (and on compounding earnings).
ROTAI is: “Return On Time Averaged Investment”. I calculated this with my special formula, more or less in the same way as the Internal Rate Of Return is calculated (IROR or IRR). It is a more representative return on invested capital because invested profits belong to the money you "put in the system to earn money". You can also, as Tom Veale does, call the invested base "The Money At Risk".
I hope you will run the Data Set through your AIM Machine so that we can compare the trade responses.
Hallo AIMster, maybe you can help out as well
I see your point - if starting from an exact same starting place - same fund, same investment amount, same cash/equity ratio, etcetra, where, after so many iterations would AIM and Vortex end up, following their normal rules and same data set?
That was exactly my intention! I got the starting points defined on the basis of the AIM algorithm so that AIM and Vortex would make identical trades on the first price moves. . .up or down. . .based on the information Adam gave me:
SAFE +5% and -5%
Starting price 25, and the given Data Set
Min Trade 3500
Investment 70000 (I decided this amount)
Cash 30000
After the discussions I thought Adam would run an AIM with this data and show the results on the forum but apparently some misunderstanding occurred.
It's easy to tune any system to cherry-pick optimize the end result, but does that actually mean anything? Likely not so much.
I agree. I did not optimize anything and it is not my intention to do so. . .we did that enough in the past. We use an arbitrary Data set and run with it “cold turkey”. . .no tweaking! Optimization has it place but only if you can identify that the stock you are going to use the optimized parameters for has a very similar behavioral pattern.
Keeping it as simple as possible should make for a more direct apples-to-apples comparison of both algorithms, results of each can then be plotted, as Clive has done with AIM.
Exactly! I kept it as simple as possible but it took some work to get to a starting point that was clear to all of us. That is precisely the purpose of these current exercises. I have run the Vortex on the provided Data Set and shown the Results and now I am hoping someone will run the figures through an AIM Machine and publish them. . .the AIM Experts. . . to do it.
The interesting thing is to see how the responses diverge. I can even do a similar run with the Lichello Test Series 10/8/5/4/5/8/10/8/5. . .etc. which we used in the past in the interesting Competitions we did on this forum. . .about 2002 or 2003 or so.
Doing an analysis, as Clive has done, would be very useful but I do not know how Clive did that, so the next best thing is to run a few different stocks and see what happens. . .comparing step-by-step. . .the end-result is maybe less important than the fundamental difference between AIM and Vortex.. . .its like a car race. . .the cars run the same route and have identical starting conditions and use the same but they have different engines.. . .and depending on the type of route they have to follow either one may win a particular race.
May be you would like to run a few AIM experiments, with say a standard Test Data Set? If you do then I will ask Clive to make the Response Charts as he did for AIM.
Adam,(and Clive), I do not understand your lates coments.
It seems to me that your hold zone is much too wide to AIM a fund. My hold zones are around 20%, whereas yours is around 17+24%
I had calculated using the Standard AIM trade formula that for a First Sell (from the start price of 25) the trade would be 7310 and for a First Buy it would be 7380.
You told me to use +/- 5% Holdzone (SAFE), so that is what I used! Then I used 100000 for total capital (instead of you initial 60000)and a CER of 30/70 as you suggested. . . .(as I see it the larger the investment the earlier there will be trade triggers because the 3500 Min. Trade will be a smaller proportion of the investment as the investment grows).
Then I used the Standard AIM Advice Generator formula for getting First Trade triggers. I have asked if these calculations were correct for Standard AIM. . .you are an AIMer, so I thought you would comment on that if my calculations were wrong.
You also told me to use Min. Trades of 3500. That is what I used and I get for the Standard AIM the first Sell 7310, for a price of +17% @ 29,50. For the price of -14% @ 21,50 (this is used for the actual dataset) the first trade was 7380. These triggers are Standard AIM responses to the price changes. If that is wrong, what is wrong in my calculation of the First Buy and the First Sell?
The fact that there are only 8 trades in the VORTEX RUN is simply due to the fact that you specified a Min. Trade of 3500! This was your suggestion for the 60000 Portfolio. If I drop the Min. Trade 2000 I would obviously get more trades. . .about 15 or so, I would suspect.
But possibly you miss the point for this comparative testing. It is NOT the prime purpose of getting the parameters set optimally. It is to SEE how the responses of the two systems differ, step by step, to a particular dataset! I suggested this testing to try to make it clear to anybody HOW Standard AIM and VORTEX would react fundamentally differently to the data. . .this on the basis of an interesting chart that Clive showed for Standard AIM. . .See: Post # 27120
http://investorshub.advfn.com/boards/read_msg.asp?message_id=28451186
It would be particcularly interesting how these charts would look different for a VORTEX system!
So, the principal question is not if the parameters are selected properly or not, but WHAT the corresponding trades for an Standard AIM would be for the same data set and starting conditions!
I do not have an AIM template anymore, so I thought that you or someone else were going to use the provided starting condition with an AIM template and give me the trade figures in the form of a table.
So, what about plugging the 2,92 year data set I used in you AIM System. . .never mind that the settings are not optimised for that data set! If I would optimise VORTEX for that data set I would probably get 150% yield or so, but that is not the purpose of this testing. I have specifically chosen the Vortex Aggression Factors so that the First Trades would exactly match the First Trades of Standard AIM, as formulated by your figures.
AIM - VORTEX Test Results first Runs:
Standard AIM Investment: 70000..................on:. . .25-04-08
Reserve= 30000
SAVEs: + 5 % and – 5%
Min Trade= 3500
Stock price 25 to start. See table Below.
Reference AIM Trades for rising and dropping stock values
+ 17% Price: First Trade = 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 = 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 originally modified QQQ share history but with modified prices and modified dates:
Date (Trade) /Modified price
1-01-07 /25
31-01-07(3780) /21,5
2-03-07 /20
2-04-07 /19
2-05-07 /21
2-06-07 /19
2-07-07 /18
2-08-07 /17
1-09-07 /15
1-10-07 /14
1-11-07 /13
1-12-07 (-6494) /20
1-01-08 (-4959) /26
31-01-08 /27
2-03-08 /29
1-04-08 /31
2-05-08 /33
1-06-08 /34
1-07-08 /36
1-08-08 /38
31-08-08(6643) /31
1-10-08 /32
31-10-08(4127) /27
1-12-08 /28
31-12-08 /27
30-01-09 /27
2-03-09 (-3526) /31
1-04-09 /29
2-05-09 /26
1-06-09 (-6769) /34
2-07-09 /34
1-08-09 /40
1-09-09 /41
1-10-09 /43
31-10-09 /43
1-12-09 (-5488) /50
8 trades executed
Of principle interest is how an Standard AIM trades would compare to these Votex trades.
Running period: 2,92 year
Simple ROI= 21,6%/yr
Share Qty decrease from 2800 to 2405
Buy & Hold = 34,3%. . .constant Share Qty @ 2800
ROTAI= 29,9%/yr
CER (Cash/SV Ratio) End of period =0,35
Remarks
1 The Vortex Run has been done with the 3500 Min Trade in place. If the Min. Trade restriction is removed there are
26 trades executed and the following results emerge:
Simple ROI= 27,6%/yr
Share Qty decrease from 2800 to 2640
Buy & Hold = 34,3%. . .constant Share Qty @ 2800
ROTAI= 39,3%/yr
CER (Cash/SV Ratio) End of period =0,37
Smallest trade executed = 1181(62 shares)
Obviously with 26 trade the trading cost will rise but these are compensated with the interest on cash.
Run for the 26 trades with:
-0,75 % trade cost per trade. . .for various funds this would be reasonably close. For single stocks it is probably too low.
-3% interest on cash, annual basis but compounded per trade. Results are:
Simple ROI= 27,7%/yr <----This is virtually the same!
Share Qty decrease from 2800 to 2640
Buy & Hold = 34,3%. . .constant Share Qty @ 2800
ROTAI= 38,5%/yr <---------Just a bit less!
CER (Cash/SV Ratio) End of period =0,37
In this case the there is very little difference between the trading being limited to > 3500 and trading because the interest on cash pays for the trading costs. Obviously a Min. Trade Limit must be considered case-by-case always and due care should be taken on this issue to prevent the trading cost to eat the profit.
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.
Adam,
Just need to tell you to correct the initial condition for the AIM & Vortex comaratve test I have used
the following information:
Investment 70000
Reserve 30000
CER = 30/70
Stock price to start = 25
First Sell @ 3710 at 17% price rise: Stock price = 29,25
First Buy @ 3780 at 24 % price drop: Stock price = 21,50
I had calculated the first reference Sell and Buy at the 70000 SV value. Rather than redoing the the calculations for the 60000 total cash +investment I used 100000 instead. I had already started the Vortex simulation and did not want to start over again.
OK Grabber,
We are on the same river with different boats. . .but the boats look a bit similar
I agree with everything you wrote.
It's good to have rules AND it is good to keep a sharp eye on the market and understand it. . .anticipate it . . .and on the basis of good information to ignore the rules at the right time!
Good hunting.
OK Adam, I will try that
Since we're working with a fund with low volatility can you use SAFE=5% rather than 10 and stock 70% to cash of 30%.
Just to make sure I get it right with the 5% SAFE would the Trade Advice be still
/(PC-SV)/ - 0,1*SV ??
Sell @ 5% Rise
/70000-73500/ - 0,1*73500
3500 -7350= -3850 This makes no sense as this formula is not an algebraic function such as I use in Vortex and this AIM result should be a positive number. If the stock price rises 10% then I get this
/70000-77000/ - 7000 = 0
The stock price should rise say to 15% and then I get this
/70000 - 80500/ - 8050 = 2450 . . .No sell as this < 3500
Price rise = 17 %
/70000 - 81900/ - 8190 = 3710
OK, now the sell can be executed, but what is the point setting the SAFE at 5% if the first sell can be executed only after a price rise between 16 and 17% ????
Is this what you mean or is my interpretation still wrong? The Min trade @ 3500 is seriously delaying taking the profit to run with it. If there is price cycling on the +/-15% level you can not capture the volatility profits. . .(obviously the parameters will have to change then. But this would be true for any system that is initially adjusted to trigger only above the trading range.
For the first Buy it works the same way but now the 0,1*SV is a smaller amount so I expect a trigger for a buy earlier:
10% price drop
70000 - 63000 - 6300 = 700 : No buy;
-13%
70000 - 60900 - 6090 = 3010 : No buy;
-14%
70000 - 60200 - 6020 = 3780 : First buy
My interpretation of this is that this type of parameter setting favors delaying the selling until approximately 17% price rise and delays the buying to a 14 % price drop. . .thereby biasing the action towards an earlier buying relative to the selling point.
After some thought I see the 5% SAFEs would come only into ation if the portfolio value becomes quite large. . .correct?
*********************************************
If the above is OK then I will take these figures for the test:
CER = 30/70
Stock price to start = 25
First Sell @ 3710 at 17% price rise: Stock price = 29,25
First Buy @ 3780 at 24 % price drop: Stock price = 21,50
and match the Vortex parameters to these first reference trades. Relative to my fictitious data set I will start the price variation as follows:
25
21,50. . .almost spot on my first estimate!
20
19
21
19
etc. as on the list given before.
Here we go!
Adam,
On you suggestion
Use a Portfolio value of 60K, min trade of 3.5K
and the fictitious data set I made up, starting out at a price of 25, capital @ 60000 and a CER @ 50/50 I get an AIM Trade advice
of -300 and +300 (for the + and - 10% SAFES.)
With the high value of the Min Trade @ 3500 I get no AIM sales trades at all at the 10% price change. If I take the 100% capital I still I get no trades for the AIM System:
PC= 60000 SV = 60000
10% price rise
Trade(Selling)=(SV-PC)-0,1*SV
Trade(selling) = 66000-60000 - 0,1*60000 = 0 ----> No Sale
I do not understand this AIM Trading anymore.
In order to do any comparative testing you should set up an AIM Model for me so that you are getting trades on the +/- 10 % price changes.
Obviously I am doing something wrong with the AIM functions. . .with a 30000 capital start you should be trading about 3000 instead of getting an advice of 300.
The Vortex Model with a trade of 3000 to start with does OK on the given data set.
Its getting to be 03:30 AM now so I am going to bed and get back to it when I get an AIM Model to work with.
For an AIM Model use these starting prices:
25
27,50 for the first Sell @ the 10% value increase
25
22,50 for the first Buy @ the 10% value drop
Then select a price data set that fluctuates as I have shown a few post back:
25
22,50 <--this is different from the data set I made up.
20
19
21
19
18 etc. etc. from my dataset.
Or you can make up a different data set of you liking.
Then we can talk turkey and see how the individual trades differ and how the portfolio values diverge.
ZZzzZz
OK, I ran out of time getting the text placed.
Here it is again.
***********************************************
Adam, using the modified QQQ shares in the previous post I get to this:
1. Investment amount 60000
2. CER=50/50
3. SAFE(buy) & SAFE(sell)= 10%
4. Minimum Trade amount = 3500
5. ?????
6. Trade costs =0
7. Interest on Reserve = 0
The using the Advice function deducted from the Gummy website
AIM Trade = (PC-SV) - 0,1*SV
PC=30000
First price(increase) = 25 second price to act on = 27,50 Lets take that as the second price exactly. . .I will modify the data set so that we get an identical advice for the first +/- 10% price change
AIM Trade = 30000-33000 - 3300 = - 6300 (selling) is this correct? It would appear not to be. Perhaps it must be this way:
AIM Trade = 33000-30000 - 3300 = -300. . . 300<3500. No sell.
First price(decrease)= 22,50
AIM Trade = 30000- 27000 - 2700 = 300 (buying) but 300< 3500. No buy.
I use the 300 trade as Reference Trade to set the Advice generator for Vortex to get the proper parameters so as to get the 300 Buy Advice. The trade is not executed.
Is this the way to go?
Adam, using the modified QQQ shares in the previous post I get to this:
1. Investment amount 60 000
2. CER=50/50
3. SAFE(buy) & SAFE(sell)= 10%
4. Minimum Trade amount = 3500
5. ?????
6. Trade costs =0
7. Interest on Reserve = 0
The using the Advice funtion from the Gummy website
Trade =
Clive, Adam,
I retrieved a QQQ file from 2003.
Suppose I simply increase/decrease the prices. The second price reflects the increased volatility(I have removed the decimal parts of the real prices):
9-9-2002\ 23/25
10-9-2002\ 22/21
11-9-2002\ 23/20
17-9-2002\ 22/19
18-9-2002\ 22/21
20-9-2002\ 21/19
23-9-2002\ 21/18
26-9-2002\ 21/17
28-9-2002\ 20/15
30-9-2002\ 20/14
4-10-2002\ 20/13
7-10-2002\ 22/20
14-10-2002\ 23/26
18-10-2002\ 23/27
25-10-2002\ 25/29
1-11-2002\ 25/31
5-11-2002\ 26/33
15-11-2002\ 26/34
21-11-2002\ 27/36
2-12-2002\ 28/38
9-12-2002\ 25/31
23-12-2002\ 26/32
31-12-2002\ 24/27
27-1-2003\ 25/28
4-2-2003\ 24/27
12-2-2003\ 24/27
21-2-2003\ 25/31
6-3-2003\ 24/29
11-3-2003\ 24/26
20-3-2003\ 27/34
17-4-2003\ 27/34
12-6-2003\ 31/40
2-7-2003\ 31/41
18-7-2003\ 31/43
1-8-2003\ 31/43
3-9-2003\ 34/50
Would this second set suffice?
Clive,
On
http://www.gummy-stuff.org/AIM.htm
I see a site that I have seen before but I do not see a data set of the ASML fund. The chart covers the price list and wont move away!
My problem is not to find a data set as such in my own computer. . .I have made many runs in the past. . including ASML, QQQ and many other funds in the AIM-Vortex competition rounds. What I wanted is to get an excel file that was chosen by others.
I have completely forgotten how to show an excel chart on this forum so I thought it would be easy if someone simply would give me a data set without me getting lost trying to download one from internet.
I will dig out a few datasets from my computer but I need to know the instructions for showing it on this forum.
Adam, that suits me fine. Can you link me to a site to download the prices? I would then suggest we use the daily (or maybe weekly is better?) high and low prices for maximum volatility.
When I try to download the stock I get cvs file with 10000 lines of information that makes no sense to me (Refers to all stocks). I need a data set for 1 fund.
On
http://www.proshares.com/funds/mvv.html
I find no way to select the data for a single fund. I need some help here. I need data in the form of an Excel sheet.
Glad to have been of some help on this Windows/Mac compatibility question, for as far as it concerns the Vortex operation.
Chris, The Vortex programmer, says that he is listed on too many discussion forums already so he prefers not to get on the I-Hub himself so as to avoid getting into discussions that might diverge a lot from the basis question you asked.
Keep well,
Clive,Adam,
For the test that I am suggesting it would in my opinion be simply enough to pick a rather strongly changing fund. Then the difficulty of increasing the volatility is avoided. For that matter we could take a completely arbitrary dataset that mimics a real fund or the market in general. . .it is in my view just as effective to create fictitious data from a market history.
The purpose is to find how the two systems react differently to a dataset for an identical starting response to a data set.
Right?
Adam, I have looked at the site Chipstock Trader but do not immediately see anything to which I can "connect". My suggestion is that you or someone in the AIM Family provides a data set to me for the comparison we talked about. Then we need to agree on the parameters that you as an AIMer would use. I do not even need to know how you exactly set the Advice generator. I have seen various adoptions so I no longer know exactly what the preferred AIM advisor does. . .something like
Trade = (PC-y*SV) - x*SV …….(A)
I do not remember how the “x” and the “y” are selected. I seem to remember they were linked to the SAFE in some way. For all I know they are chosen as free variables. I need to know the following
1. Investment amount 10 000 or 100 000 ?
2. CER. . .whatever you choose.
3. SAFE(buy) & SAFE(sell). . .10% both ways? Or some other values you think are good.
4. Minimum Trade amount. . .whatever you choose.
5. Are there any other AIM parameters? If yes, please specify.
6. Trade costs. . .0 for the first run and then ????
7. Interest on Reserve. . . .0 for the first run and then ?? To add to the Reserve each trade. . .this is what I always do. . . . compounding with a variable frequency.
If you give me the proper function (A) to use then I can figure out how to set the Vortex Parameters to match the AIM starting response for the first buy or first sell. After that the trades will no doubt not be the same but because of the safes the trades will be on the same day for the same stock price. We simply use the price that exceed the SAFE. It would not seem proper to correct the price to exactly the SAFE value, but I would not mind to do that if you think that is useful to do.
If you select a Fund of your choice and send me the data set to use then I can run the Vortex with it and you (or someone else) run the AIM. This way I have no influence on selecting an AIM trial that may be biased in some way. Also I no longer have AIM templates so I would have to set up such a file. Also if I download some stock prices I get a set of 4 prices and would not know what to use: Opening/high/low/close?. So I suggest that I use a data set of your choice. You can mail it to me as an Excel file and then I publish the Vortex Trades after I run the data and you publish the AIM Trades. As long as we agree on the magnitude of the first sell or first buy then the comparison should provide some interesting fundamental information. If there are enough cycles we should be ale to identify a characteristic difference in the developing response.
Is this a good way to do it? If yes then I wait for the parameter settings you provide and the dataset on
eng@vortex.demon.nl
The Grabber did not grab the profit fast enough this time!
To bad, it goes to show that letting common sense "taking the profit and run" is sometimes better than rigidly sticking to the rules. This is the proverbial "two birds" in the bush that did not come to sit in your hand. . .19% on a buy is good enough to be happy with.
Considering the stock behavior it was not in a steep rising mode. The 1% more would have amounted to approximately a 27 cents higher stock price.
So, on this score the down-side risk of a sudden price drop(losing 19% profit) to the chance of gaining 27 cents is a great difference. Its pays not to be greedy.
Take the profit and run, and then do it again, and again, and again. . . Its not just a matter of luck.
OK Aimster, that 2x-stuf makes sense now.
When one is testing the mechanics if a system it does not matter that that test-response might works against you in real life. . . One will learn to avoid these pitfalls.
Moreover, for the test I was writing about the purpose it to understand the theoretical ramifications of the systems in comparison to each other. Having a good grasp of this makes achieving a good ROI easier compared to understanding the system less thoroughly . . .with experience and knowledge one will be able to get a good feeling for the parameter settings that will create high profits.
Whow! This is a gem of wisdom!
I got to remember that one!
Hallo Adam,
In the past we have had many various "competitions" between VORTEX and a number of AIM-derivatives. These were run on price histories suggested by AIMers. At the moment I can not recall if this included a "diversified fund" as you call it.
These competitions were not controlled in the sense that each competitor had to start with a particular set of starting conditions. Also trades were not required to be executed on the same dates. Each person would optimize his system by tweaking the parameters to maximize the profit for the period.
In a comparison simulation, I would suspect, the trades would have to be controlled in some way so that the real difference in the advice generators and the consequences of the trades would become clear from a theoretical perspective.
Your remark
If the fund lacks volatility one can artificially increase the volatility or use one of the Ultra 2x funds.
requires some explanation: "What is an Ultra 2x fund?
I suppose one could create an artificial dataset that mimics the general market in an up-trend and a down-trend.
The question is: "Is there enough interest in doing such a comparison simulation among the AIM-users, and if Yes, would you set up the dataset and the rules for the simulation?
As I see it the dataset would not have to be very large. The main question is how the trade action is fundamentally different . . .all general aspects surrounding the trading being equal.. . .it remains a bit like comparing oranges with grapefruits. In my view all we need to do is to set the following parameters identical:
1 SAFEs
2 Cash Equity Ratio
3 Trading costs per trade. . .added each trade. Possibly to be set @ 0 ?
4 Interest on cash. . .added each trade. Possibly t be set @ 0 ?
Trade costs and interest on cash are significant for any investment and it seems to me that as trades for the two systems diverge these should be part of the simulation. On the one hand it would be clear in the beginning how the trades will differ fundamentally and on the other hand this difference will affect the yield. If need be the simulations can be done first with the trading costs and interest set at zero and then with realistic figures.
6 The first Sell or the first Buy at the applicable SAFEs should be identical. My suggestion is that these will be determined by the standard settings of the Lichello AIM or some variant that is now favored by most AIMers.
The trading data for the different systems can be plotted so that the difference becomes clear. The comparison could also be done purely mathematically for a number of trades to see the real difference.
Hi Winkerbean. Ref VORTEX on Linux and/or Mac.
As this specifically is a Vortex software question I have answered on Vortex AIMing:
http://investorshub.advfn.com/boards/read_msg.asp?message_id=28743597
You are welcome to address the issue in more depth. If needed I will refer you directly to Chris Kruidenier.
Winkerbean, Ref. your question: VORTEX on Linux and/or other machines? on the AIM Forum, Post # 27159 at 4/17/2008 8:58:48 AM
Two things. 1) Do You have a version of Vortex which works on either Linux or Mac? I tried running the Vortex app on FC8 via Wine. It installed well. But, upon actual application start-up received "Runtime error 216 at 00641BA8".
I forwarded your question verbatim to the Vortex programmer and this is the reply he provided:
***********************************************
At this moment only a Windows version of Vortex is available. Running Vortex on a Linux machine using Wine or some other emulation program will produce unpredictable results for I never tested Vortex on a Windows emulator myself[I can not foresee any or all things that could go wrong unless I spend extra time on it].
The Error 216 means: General Protection Fault
This means Vortex tries to fetch a memory address that is forbidden, or Vortex tries to read or write to a protected area of the hard disk.
Regards,
Chris Kruidenier
**********************************************
Chris did not specifically address how Vortex would or could run on a Macintosh. I Understand that Apple computers are Windows-compatible nowadays so that does not need a special answer.
My personal opinion is that spending a lot of programming time to create compatibility where there is none now is not justified unless it would be on the basis of a paid service. If it is a question of the Excel versions of Vortex on a Mac/Apple I suspect the matter would be much simpler but I can not be sure of that. It is a more standard question so an Excel expert should be able to have an answer for this.
I hope this is what you needed. We would be glad to discus a special development to suit your needs.
Clive,
With PC(new)=SV(new) the PC is not necessarily midway the holding zones as Vortex usually has different holding zones for selling and buying (many Aimers apparently do this too, I have noted).
The main functional difference is that with my way I avoid the Residual Buys that occur in standard AIM at an unchanged price because of the
PC(n+1) = PCn + ½*Buy (buying)
and
PC(n+1) = PCn (selling)
in standard AIM
After having considered this difference for many years I still find it difficult to explain the full theoretical significance of this difference in PC-updating.
Anyway, the subject has been discussed thoroughly in the past on this forum so I do not want to belabor the point here. Anyone that wants to know more about the difference between Vortex and Lichello's AIM can address the issue on my Vortex AIMing forum. I would run two simulations nest to each other with identical holding zones and adjust other parameters such the first buy and the first sell would be identical and then see how the trades diverge as stock prices change in a certain or in an arbitrary way. Anyone interested in such an experiment?
If yes, contact me on the link below.
Hallo Winkerbean,
1. Vortex has not been made available for other than Windows, so if it installs on other platforms that is good news. I shall refer the error message
"Runtime error 216 at 00641BA8".
to Chris Kruidenier by way of your original post. Possibly it will take only a minor change to make Vortex run on FC8 on Wine. . .whatever that is.
2 The aggression factor in Vortex is essentially disconnected for the buy & sell thresholds (called "safes" by most people on this forum).
In Vortex the Trade is calculated by
M*(PC-SV)
M= 1/(1-f) . . . . f<1
The Trade thresholds are set completely independent from the aggression although I recently experimented with the idea to define the threshold and the aggression to arbitrary percentages of the number of shares and the share value respectively.
In your model with
vW/(1-vW)*BuySafe
(1-vW)/vW*SellSafe
you are relating the effective SAFE automatically to market condition whereas in Vortex I leave the way the values are set completely up to the investor. This requires him to analyze the market and/or a particular fund form selecting the trade aggression.. . . precisely what you are doing!
Still, what you are doing is, I assume, applied to the standard AIM, right? In so far as the general idea of managing your trades is similar to mine the Vortex functions are somewhat different than AIM in hat Vortex is a symmetric Ratio Trading Machine. . . AIM is not, and in that way your SAFE-modification with the vWave might not have exactly the same effect as what I do in Vortex. However the idea of "playing with the controls" is the same.
In the past there have been many discussions on Vortex vs AIM and if this is of interest it might be worth going back to these original discussions, at around 2003 or so.
Thanks Is7550 for your in-depth reply. I intended to respond earlier but things got in the way.
You obviously have a good grasp of the AIM-system. I have tried to understand the diagrams you posted on consecutive buys and sells but as yet I am not sure if it applies to Vortex AIM. Vortex operates a bit different than Lichello's AIM in that after each trade my Advice Generator
Trade= M*(PC-SV)=0
by way of
PC(new)=SV(new)
This is quite different than the way the PC is set in standard AIM. Possibly this difference would possibly create a different diagram and I would like to hear from you on this point. I realize that the pro's and con's of Vortex AIM have been discussed a lot in the past. Maybe it would be more fitting if you reply to me on the Vortex AIMing forum. . .see the link below. . .so we won't take up space on this forum.
Your comments on the utility of analyzing price patterns from past stock prices are quite valuable (price patterns are usually not repeated). In so far I use and recommend parameter optimization by way of back testing I do so with the full knowledge that the practice is only useful for stocks that more or less do follow a similar pattern as the stock tested, and that if the behavior deviates from that pattern the parameter settings should be changed accordingly. The skill to set the parameters properly is only obtained by running a lot of back tests and to learn which type of stocks need particular parameter settings.
I agree that a program with a complex "control panel" generally has a much greater appeal than a program without any dials to fiddle with. From what I have learned on this forum I would suspect that each reader creates his own AIM control panel and keeps adding buttons and dials all the time
Thanks again for your remarks.
Thanks Cilve for this thoughtful reply.
I need to read your comments with a bit more thought than I have at this first perusal. I have to run to an appointment right now.
I will get back to it later today.
Regards,
Adam,
The post you refer to describes an alternative method to using the Aggression factor "f<1" that describes the multiplier
M=1/(1-f)
for
Buy =Mb*(PC-SV)
Sell=Ms*(PC-SV)
The percentage method determines the multiplier directly so that you determine Mb and Ms in advance. The use of a single factor such as the "f" works fine for optimization but it is not easy to have a feel for the value of M as you select a value for "f".
The changes that have been made to Vortex the Windows version the last few years are mostly the ability to make charts and to download stock prices. Various minor changes have been made to remove little bugs.
Anyone,
Although I have not been contributing to this forum lately it is due to my observation that the discussions are less focused on AIM-techniques and more on market conditions/behavior. In this light I like to present a modification to the Vortex-AIM that I have recently implemented on the basis of discussions on back testing.
Essentially I have added this alternative to the Vortex Aggression Factor method:
1) Qty. shares in an AIM Portfolio= N
2) Price change from any previous trading position: +X% or -Y%
3a) Qty. Sell: Z1% of N at the X% price rise
3b) Qty. Buy : Z2% of N at the -Y% price drop
Essentially the X and the Y are respectively the Sell Safe and the Buy Safe (Trade Thresholds in Vortex language).
In principle this modification gives the same flexibility for setting the aggression of the trading action as in de Vortex Method but now one can plan, ahead of the action, precisely what the buying and selling action will be. This way the investor has the prerogative to let the program do exactly as he plans it. . . excellent for back testing, think. . .and still there is great flexibility to adjust the trading action of the program for an actual investment.
This method has the advantage that the investor has more direct control over the trading action. . .in case the prescribed trading action is determined by other means.
These changes are now being implemented in a number of Vortex Excel Templates. . . with or without the Cash Limiter feature I have implemented into some of these templates (no trade if Reserve =0). For the Windows version of Vortex I will not yet incorporate that in the current version 1.23k. . .it is not yet sure if the new trading feature would have the advantages that I see in them.
The windows version can however execute the same feature with a optional calculation module that would take the new X;Y;Z1;Z2 input variables and convert them to the input variables for the current Aggression Factor routine.
My question here is:
Is this scheme for prescribing the exact trading response in terms of percentage price change and percentage trading of the number of shares, in advance, an advantage or is there no added value to be had from this?
Your opinions would be appreciated.
Hi Stephen,
I have received your e-mail and responded. Here I want to mention that what you want can be done but it is not in my power to do the simulations automatically. You have to link the Vortex template to the Price Data File(Price file should of course be an Excel document or you have to convert it to one).
Changing the parameters needs to be done by hand. . .I do not know if it possible to automate this in Excel.
Point 3 is contradictory to Point 2 except if there are funds in the portfolio that are mirror images of each other on the price . . . one goes op 10% as the other goes down 10%. A possibility is that if some fund requires selling that you buy an equal value in other funds. Certainly this will not be dome automatically. You need to decide which funds should be used for this. I know not enough to this automatically.
Point 4 is not quite clear to me. Can you specify this a bit more accurately?
Regards,
@ WangDoodle/StartUp Vortex wont Go.
I have consulted with the programmer(Chris Kruidenier). His remarks are as follows:
1) During installation you are asked to choose a language: This language pertains only to the Installation Program. .not to the Vortex Program;
2) As a Vortex User you simply select the language you prefer in the toolbar menu Options(Opties)--->Options(Instellingen)----> System Language(Systeem Taal). You can also select English/Dutch. I use both options apart from selecting the system language and have not encountered a problem on this function. Possibly if you know only English and have a Dutch Windows installed some messages may be in Dutch and visa versa;
3 The Error messages that you have encountered definitely pertains to a virus or spy ware that is not effectively removed from your computer. Chris himself had that type message for his own programs. After having cleaned op. . .something you should do regularly because the standard security programs (I have McAfee) do not catch all the dangerous files that come along. . .I am told.
So, it looks like you might have to try a few more Spyware Fighters, remove the shit and download Vortex again.
Hope you manage that. Sorry for not being more helpful.
Regards,
Thanks for the Error Messge.
Now we can search for the problem. I have send you message to Chris. Keep checking in for an answer and hopefully a fix.
From your earlier message we assume that all the "questionable" files/viruses/trojan horses etc/etc/etc have been removed. It also pays off sometime to do an Vortex Un-Install and download again after removing all the
"questionable" software. . . I had to do the same thing once and after that Vortex ran OK again.
Chris tells me there is no Dutch Default Mode, so when you select the English lanuage during the installation procedure that should set the language of the user-interface.
Regards,
Hallo WangDoodle,
Sorry t hear you have a "run" problem. I assume that you have downloaded the software version "j" quite recently. I have it myself installed with the Windows XP as well and I have no problem. We had some problems before with US-installation. I am beginning to suspect that it might have something to do with the language. Before I can be of help I need to know if the start-up is completed or not. . . What do you mean exactly with "The software won’t run"?
After installation what sort of messages do you get? If the program starts up initially and it shows the Main Window(this appears normally) then maybe you can change the language to the System Language:
If possible go to the toolbar and click on Options/Option and then activate the button for "System Language" instead of English and then click on the button "Apply"
I suspect that the US Windows XP might be somewhat different then the Dutch Windows XP. Also it might be so that when you download the Vortex Program it is the Dutch Default Mode, so if this is the case then it will start-up in the Dutch language then the sequence for changing the language is as follows: On the Toolbar click Opties/Instellingen and click on the button Gebruik Systeem Taal.
If this does not help, or if you can not get the Main Window to open, then the Vortex Programmer should be consulted. Please let me know exactly what happens and I will consult with Chris Kruidenier. . .you can also contact Chris directly on his e-mail address that you can find on the Vortex Download page. If you can not find it use my e-mail that is shown on the Vortex Aiming header.
Hope it gets you going.
Regards,
Hallo Aimers,
Many of you have in the past discussed with me the pro's and con's of my Vortex AIM program. . .See the link for the Vortex Outline & download on Tom's Aim Software page:
http://www.aim-users.com/aimware.htm
The program has gone through various stages of development and debugging. In the latest version I can not detect any more bugs. . .but knowing how tricky software can be and a cute little sleeping bug may lurk in a file somewhere . . .but I digress from the purpose of this message.
In order to make Vortex appeal to a wide US market I would need to launce an effective marketing effort and completely redesign the way it is exposed to the public. Anyone that has seen the effort of the A.I. program, among others, knows that my way of marketing is not effective. I have no financial resources to do this myself. Nor do I know if one more AIM-like program on the market is not too much of a good thing. . .maybe there are already too many people fishing in the pond. . .I know that if one can use the best bait he will catch the biggest fish but my fishing rod is a little bamboo stick. . .need I say more?
I offering Vortex for sale for a song to anyone that wants to commercialise it. . .but the song must be worth it. . .
The program is completely bilingual: English and Dutch at the flick of a button in the Menu Bar. The dynamic charts are neat. . .the creation of the programmer Chris Kruidenier. Anyone may inquire about the program to ask about Vortex’s technical programming issues. He can be contacted from the information on the Vortex Demo page and from the downloaded program.
For my personal take on Vortex it may be best to surf on my website Index Page:
http://www.vortexcw.nl
From there you will get to my Home Page/Stock Market/Vortex Program page without any problem.
Anybody wants to sing a song?
Regards,
Old & tired.
Still playing in the Sandbox
Hallo Tom & others,
For quite a while I have been laying low but have been following the AIM discussions here now and then just to keep in touch.
I just wanted to let you know that various improvements on the Vortex program have been implemented and that I have modified the information page on Vortex AIMing.
The bilingual Vortex version 1.23i can be downloaded for a 30-day free trial:
http://www.ckweb.nl/vortex_us/index.php
I am not investing anymore due to financial constraints but Vortex is still my hobby. We have no money for a large advertising activity, so we keep plugging away at it bit by bit to earn some pocket money.
Hope all of you do well in this down market. . . maybe you should try my Turbovest Method. . .especially effective in a down market
Regards,
Conrad
http://www.vortexcw.nl
To all AIMers,
An update of the Vortex AIM Program (version 1.23i)is recently made available.
Improved graphics and portfolio management are added.
For a 30 day free use of the program download it from:
http://www.ckweb.nl/vortex_us/index.php
Regards,
Conrad L.H. Winkelman
Hi Tom and others,
I have been working on completing my Vortex Forex Excel program and want to let all of you kow about it.
More can be found on
http://investorshub.advfn.com/boards/read_msg.asp?message_id=24663428
and of course the methodology I used may be discussed there as well.
Hi Tom and others,
I have been working on completing my Vortex Forex Excel program and want to let all of you kow about it.
More can be found on
http://investorshub.advfn.com/boards/read_msg.asp?message_id=24663428
and of course the methodology I used may be discussed there as well.
Vortex AIM Forex program.
The previously mentioned Vortex Excel program as a management tool for forex trading is now ready. It is a special issue that I will sell in the near future for Euro 75,00./ This price will be effective after the Order Form on my website is modified. For corrections/updates that are made after issue the purchaser will be mailed an update free of charge.
As an introduction to the readers of this and related I-Hub forums the introductory price is US$ 50.00 till the end of December 2007.
An Vortex Forex order $ 50,00 can be typed in on the Vortex Order Form in the Comment Space as the price is not yet listed. Note that payment via PayPal can be made at the net purchase price. For any other method of payment the funds transfer cost are to be born by the buyer. Cash payments, if they are made, will of course be accepted but I advice against is. If however you send Dollars you must ad $ 5,00 for conversion to Euro's. See this link:
http://www.vortexcw.nl/vortex/index.html