is retired now but still kicking like a horse!
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To the credit of many, if not all!
In response to my statements on the method of Don Carlson and Myst it came to be(via Don Carlson) that I was made aware of the method of 2mc(Matt). This 2mc-Method opend my eyes and I have given credit were credit was due:
http://www.investorshub.com/boards/read_msg.asp?message_id=387135
What else is there to say?
Conrad
Hello 2mc..or should I call you 1/2mc^2 ?
Matt,
I noticed your discussions about the problems with parameter tweeking. Notably that for each stock, and for each change in the behaviour of that stock, the parameters would not be optimised. This we recognized, but some of us who liked tweeking believe that tweeking can be automated, and was therefore justified as a mechanism(if not a practical one if done manually). You suggested that your idea does not need tweeking at all.
Interestingly, I just received a 2mcspread sheet from Don Carlson that was made up by Tom Veale. So I tried to figure out what was done different than in the Standard AIM. It appears that the 2mc feature simply replaces the two SAFES of the Lichello AIM with a single SAFE based on a percentage the Portfolio Value. After some research into your posts I discovered that you had invented this from the reasoning that cash was no less important than stock. I realised immediately that you were 100% right. I had too argued frequently(a long time ago for my Investment Club)that this was so! But with the development of my Vortex AIM I had not implemented this idea in my program. In effect my cash was always depleted into liquid stocks or into other liquid investments.
But in message # 1778(AIM Board)I wrote"
In the Test AIms I used various options. I wanted to make the minimum Trade amount(did not use SAFES) a percentage of the Portfolio Value but the program refused that(circular Reference) so instead I used a percentage of the equity value.
http://www.investorshub.com/boards/read_msg.asp?message_id=303540
Intuitively I sensed at this time that using the PV value would give a more logical buy/sell criterion but I did not relate it to my earlier conviction that cash should be more than simply a reserve. In fact I had argued(in other discussions) that cash should never lie dormant but should be invested at all times. This would provide me with the opportunity to shift between (minimally)two investments: 1) An easily liquefiable portfolio, and 2) An opportunistic portfolio with which I could take advantage of high volatility. The fact that these two portfolios could contain various equities is less important here. In my Investment Club I used this concept, for example by lending out the cash at a 15% interest rate(and I used some bank credit as well when we needed cash in a hurry for opportunities, to increase the capital leveraging).
When I read your explanation of the simple 2mc concept I was impressed at your basic reasoning, as it condenses the equal importance to cash and stocks, as I had practiced it for years without being able to quantify it in my AIM structure.
I believe your 2mc method illustrates the important aspects of AIM-Investing in a very simple and effective way:
A) Volatility Capturing creating Leverage
B) Effective Capital Management
As I understand it now this re-balancing (or shuffling as I call it)the capital between liquidity and stock is the essence of effective AIM investing.
I appreciate your AIM-contributions and all the AIM-contributions of others on the Aim Board(as well as on the X_DEX Board). It has finally allowed me to understand the full power of AIM-Investing, not to forget that Jibes, with his Re-Bal-AIM also has had very similar ideas.
Thanks to all of you for making me see a lot more light, and light with different colours! The reason I can see as far as I do now is because I have been allowed to stand on the head and shoulders of people that are a lot smarter than I am.
Conrad
Hi Dr. Bandage, You wrote:
Sent by: drbandage Date: 6/16/2002 5:46:19 PM
You made mention of Don Carlson's AIM program outperforming AIM in one of your X-DEV posts. I am hoping you might be so kind as to direct me to a description of his program. I have tried the search feature, but I do not find anything useful.
Thank you in advance for any help.
Best regards,
Scott
Well, I said that Don's Program might, for all I know, outperform X_DEV. One would need to run various tests in order to determine that issue!
Don Carlson's contact details can be found via a search on this website(bottom of the page) as follows:
Name: DonCarlson
Search in: Members
Regards,
Conrad
PS: The Private Message function on iHub does not work for me. My contact details can be found by searching for Conrad in the Members File.
Hi Don..On your DonC AIM...
I have not heard much lately on your AIM system. Hoe are you doing? Getting it ready for its commercialization or does it remain a hobby for you?
I am interested in your latest version if you have modified it since you send me the spread sheet.
Regards,
Conrad
Rien, You are far too late!
I was already out of cash 6 months ago!
My ex wife has it all!
Conrad
JingLarry, here is the link to Don Carlson's Profile:
http://www.investorshub.com/boards/profile.asp?User=10291
In case this does not work you can also search the iHub site for DonCarlson.
Conrad
Rien,
Are you trying to scare us? I thought that this depressed market should produce a lot of happy smiling AIMers buying stock left and right from the scared. You wrote:
Have you seen the head and shoulders formation on the long term S&P500 ?
Talking about scary!
Now, let's see this scary monster you are talking about. Please, ty to scare me.
Conrad
Irwin, I will agree on that!
When I say pattern recognition it needs to be interpreted quite liberally as I do not use any formal definition as to what is does or does not mean. When a stock establishes a horizontal trade channel to the extend that we dare to call it a channel then I call that a pattern. You can define this as a pattern after 3 days or after 3 weeks at your peril. The fact remains that if such a trend or pattern(cycling between the channel boundaries) it is logical to expect continuation of this unless you have other reasons to believe the price will break out. So, I interpret this very loosely as pattern recognition. You could obviously go a step further and define the cycle frequency, and cycle tops/dips etc. and then predict a break-out or whatever you think is going to happen.
My interpretation is that anything you do to go a step further than simple AIMIing for the purpose of making predictive(expective) statements about stock prices, on the basis of past stock prices, could be called pattern recognition.
Conrad
RoboAIMer on AIM:
You wrote:
Myst won me over with his XDEV performance versus AIM performance graphs.
I sense that there might be a certain (unintentional) misleading implication that the discussion on the performance of X-DEV versus AIM is a discussion on a contest between X-DEV and AIM. I do not think for a moment that it is.
My understanding of the Myst comparison with AIM refers to the standard Lichello AIM. As we have learned on the AIM Board there are several AIM Variants that score better than the standard Lichello AIM. Anyway, that is a lesser point.
The power of X-DEV is not so much(as I see it) the difference between using a Moving Average as a Portfolio Control Point but that the moving average and the upper and lower price extremes represents a stock history on which the buy/sell decisions are made. This clearly produces the effective money management that AIMers have been searching for.
So, in this light Myst has, aside from having introduced an alternative to the Lichello Portfolio Control, invented an apparently effective pattern recognition tool that allows making effective buy/sell calls. I recognize as well that the Myst Portfolio Control is essentially different and might well result in different buy/sell parcel sizes, but I still think that this is a much less important feature of X-DEV.
In this context I would venture to say that the X_DEV structure for calculating the stock price pattern can be grafted onto any AIM structure and this would result in comparable yields as X-DEV gets. A Vortex AIM outperforms a Lichello AIM. The Don Carlson AIM outperforms a Vortex AIM. The Don Carlson AIM, for all I know, will even outperform X-DEV.
All this does nothing to diminish the Myst achievement and the credit he deserves for it. What I am saying is that Myst has invented a pattern recognition method that can augment any simple AIM structure, or simple AIM Variants. I restate therefore my opinion that X-DEV is not competition for AIM but rather that X-DEV is a beautiful example of how an AIM can be improved! In my book X-DEV is an AIM Variant, and a good one at that!
As to the rest of your message, I am flattered, but I do not think I can contribute significantly to the X_DEV discussion other than now and then add some additional reflections on the topic. Other than that, any discussions that focus on the Vortex AIM instead of on X_DEV do not belong on the X_DEV Board. My Vortex AIM needs professional debugging and it needs a better interface. It also needs an Pattern Recognition Module to call the buys and the sells more or less as is done in X_DEV.
I will keep half an eye open!
Conrad
Hi Mechanical,
I believe this discussion goes off at a Tangent. You wrote:
Compression algorithms reduce data while maintaining the original. Not every technique that reduces time price data to a single point destroys the original. Averaging destroys the original but pattern matching and cycles are 2 that don't. Cycle measuring techniques use the same type of algorithms as compression techniques but the cycles it finds are useless for trading. Precise but useless.
The keyword in your statement is the clue that we are speaking of two different things. If you maintain the original data then you do something entirely different than an operation like an averaging calculation. I presume that you are talking about a data storing algorithm rather than a mathematical computation to get a number. Data storing is something I know little about.
In my response to reconstruction of a data set that produces a moving average I only referred to the impossibility of systematically recovering the factors from the single number. This leaves, of course, plenty of opportunity to construct a method for retaining the original data set via compression techniques.
My interlude on infinity was meant to illustrate something interesting about infinity: that is that if you search for one element in a set of infinite elements then you can find it only via luck, and it might turn out that you will never find it. Some people argue that if you will search long enough you will eventually find that one number you are looking for. Not necessarily so.
It is interesting to illustrate this: You are looking for a number N which is greater than zero. So, we construct a search engine and start searching at just a little bit larger than zero and work our way towards N until we find it. Now imagine the dilemma we have! How big is a little bit larger than zero?
No matter how small a number we start at for the search here are an infinite number of numbers between zero and the number at which we started the search, and we might have missed the number N we are searching for right at the start.
Now, was this a Tangent or not?
As this Tangent only clutters up the Myst Board I suggest that there is no purpose in continuing this Tangent ad infinitum here. Anyone that wants to add some more tangents to this discussion could do so per e-mail: infinity@vortex.demon.nl
Conrad
Robo's Quantum Leap...
Right on! My ramblings on infinity(I thought) were simply stretching pragmatico's assertion of maybe not being able to reconstruct a dataset backwards from a single number in finite time to definitely not being able to do so, even in infinite time.
Yes Robo, you are correct. I did develop the Vortex Method but the last few months I have not worked on it to get it any closer to a good commercial format...the competition is too stiff as well, with various Aimers being far more skilled in making a good Windows program than I am. Also, my idea for adding a pattern recognition module in the fashion that, among others, Myst has done, remains an idea. I have no effective means to implement it. Myst has been fortunate to get a programmer to pump out his program so quickly. VORTEX(including its bugs) remains as it was for the moment. If I spend endless effort to make it as good looking as Aptus' AI or as Myst's X_DEV then at best I have a program that fits the same family and scores no better than the competition. This motivates me to think: "Why should I beat out my brains to follow the leaders and try to outsmart them? The fact that others are way ahead of me tells me that they are already much smarter than I am, or at least far more capable in getting a good program on the market". That's the signal for me to look for another gap that might need filling or problem that screams for a solution!
I have been following the discussions on the sideline. The volume of posts is staggering and I don't understand 70% of it anymore as discssions focus on the fine points of optimisation, stock analysis, etc. In this sense I can contribute little of any real impact. I prefer to listen and once in a while jump into the fray and add a bite or two.
Regards to all,
Conrad
Hi everyone on infinity....
The discussion on constructing an infinite number of charts from collapsed data attracted my attention. Imagine what it could do to the economy if we only tried to construct half that many! Unemployment would disappear and the impending depression would take a hike! Stock prices would soar! We would no longer care about averages!
If you wanted to reconstruct your original chart, you might be able to do it in finite time or you might not, since now you can construct an infinite number of charts from your average and deviation data!
Let me introduce some lightness into the dead serious issues that are going on:
Well, infinity/2= infinity and this in food for thought in this discussion on reconstruction of original charts. The reconstruction is by definition not possible in finite or infinite time. The original data is not recoverable by any construction or method. At best one could by pure luck hit upon the original data set, but that is not reconstruction of the original data. This being so, it could well be that you will never hit upon the original data even in an unbounded time interval. The reason for this is that the pool of numbers to pick from, with any routine you can imagine, even within the limits of arbitrary upper and lower extremes, is unlimited. So, try as you might, in a thought experiment, the original numbers may forever be out of reach.
This is also true for the simple multiplication factors of any number N so that a*b=N because the process of choosing a's and b's to recover an arbitrary set of factors that produced N in the first place is not exhaustible.
Now, this should end the idea that reconstruction is possible if you throw away the data set.
I hope this interlude is a welcome addition to the serious stuff I have been reading lately….If I have been wasting your time then I apologise in advance!
Conrad
Hi Charlie S3,
Its good to hear a question once in a while that goes to the heart of the AIM-issue. Although the other replies are essentially true they do not directly elucidate the point that you were(are?) wondering about. The answer from Aptus comes the closest to hitting the nail on the head. I might add a thought or two:
The essence of the AIM construction is to introduce the asymmetry that you obviously need. Only discussing updating Portfolio Control on buys and not on sells will only elucidate the question if you physically try out the construction(drawing little graphs as you go) so that you can see the result and the asymmetry of the buys and sells.
I would advise you(if it is not yet 100 percent clear) to think in terms of splitting up your investment in little parcels(bite sizes) that are big enough to trade with so that trading costs do not wipe out the profit on an in/out trade. On the other hand the bites should be optimised so that you do not trade too frequenly.
So, each parcel(Minimum Trade Amount or larger) can be viewed as a stand alone investment. You then apply the logical requirement for buying low and selling high! When the parcel you have bought has accrued enough profit you sell it and that is your gain. This is the essence of what is happening when you repeatedly go through the in/out cycle of any one of the AIM Variants that are created. Adding up all the little in/out gains through various cycles is the portfolio profit. The idea is not any more complex than this.
In effect an AIM construction causes the delay between the buy and the sell for each parcel investment that you activate. The various AIM-systems that have been discussed on this board all have certain features to optimise this basic idea one way or another in subtle different ways.
I hope this parcel investment concept has elucidated the basics as to what an AIM-structure actually does.
Conrad
Hi Labestul...Re: Money Spinner(MS).
I run a little late on the discussions...information overload...!
It appears that your experience with the MS is generally very similar to mine. I agree with you. As far as Volatility Caputering(VC) goes it is beautiful to see so many people achieving amazing results! I feel now that if one has not yet developed his own VC he must feel like a kid in a candy store.
Thanks for sharing your thoughts.
Conrad
Bernie, ref 40% Deduction:
Like Rien & Karw I too say that the 40% deduction you mentioned is not a normal case. Dividend Tax is 25 percent.
The only thing I can think of is that if a salary payment is made to a foreigner working in Holland(without a resident address or without work permit) that banks may have a special guideline to withold the 40 perent, but it sure sounds strange to me as well.
Conrad
Rien, I agree!
That's why everything what people do beyond that which is required is appreciated, and that is a measure of good manners.
Regards,
Conrad
Hi all readers,
The recent discussions on the use of information on this board surprised me. I thought it would be clear to anyone that information in the public domain is free for utilization by anyone. There are probably a lot of misunderstandings about copyright and trademark protection. I may be wrong in case of some exceptions but I do not think so.
First, it is very interesting to read the following:
Use of Content
· The content available throughout the site is the property of InvestorsHub.com, Inc. and is protected by copyrights and trademarks. You agree not to reproduce, transmit, repost, distribute, sell, publish, broadcast, or in any other way use any of the content without our written consent.
· You agree that upon posting information on the site, you grant and assign InvestorsHub.com, Inc. and their successors a non-exclusive, worldwide, royalty-free, perpetual, non-revocable license to use, distribute, display, reproduce, and create derivative works from such material in any and all media, in any manner, whole or part, without any duty to account to you.
These statements are food for thought!
The first implies that any information available form the iHub may not be used unless iHub grants written permission. I would presume that, for as far as it legally enforceable, the ideas presented iHub could claim ownership of hem. The fact that ownership is usually not enforced is simply that it is impractical to do so, and likely in most cases useless as the information is already in the public domain.
The second one implies a more general claim that iHub may use the information as they please…this is a consequence of the fact information that is resented on the iHub is already free for anyone to use.
The fine points of the statements may escape me to some extend, but I sure it is a general fact that mathematical formulas, or solutions to them, (information)are for anyone to use as they please. An example would be that if I publish a solution to a mathematical problem in a newspaper(or in a book)then this information is not protected in any way. Driving this to the extreme(to show the idea), if I can provide information that there is intelligent life on earth and where it can be found, then anyone can go and look for it and use the information(within the constraints of other applicable laws).
For this, in the context of the information on improving X_DEV that is collected by Myst(or any other reader), it is no question that iHub, nor anyone else, could prevent its use by others. For information in the public domain ihub can not claim ownership.
So, I would conclude that anyone that provides information in the pubic domain has no cause for being perturbed if this information is used for financial gain by others. Providing information in this way implies that control over it is released. There is no need for Myst to publish any statement about writing a program for profit. Nor is it necessary for him to apologise in any way, shape or form. What an honest person would do is to give credit where credit is due. More is not required!
Information for which it is clear that it is not free for use the provider should make a specific deal for its private disclosure.
Conrad
Hi Tom: ZZZ zzz,
My message was a response to the information that QP provided in message #2504. I went trough all the math websites he provided. The sheer volume put me to sleep! Fantastics sites with a wealth on mathematical methods rather than just formulas.
As far as interest in AIM is concerned I think it will remain, but it is not surprising that quite a few people want to give it a kick in the but. But at what price are the improved systems created?
The added complexities that we encounter are no longer easily understandable. Using pencil and column paper is no longer considered necessary, and so the complex methods presented nowadays become out of reach of the people AIM was intended for.
I do not think that this is bad for AIM as such, but the inventive people that put their minds to work(for months on end) to make better AIMs simply rise above the traditional AIMers, and this complex increased-action-stuff grabs all the attention. It would appear that in this context discussing the traditional AIM is discouraged.
Maybe the Simple AIM will survive only as a relic in a museum!
Conrad
ZZZZ...zzzz
zzz...ZZZZ
ZZZZZZzzzzz
Conrad
Hi Rien, On the Billions and Billions of profit:
Right you Are! When I got to reading Lost Cowboy's message I was many posts behind on reading-up and I responded to him without noticing that you had already spotted my error. Well done. In the end I got a gain of over 900 billion in 10 years!
But when we are wallowing in the billions and billions of profit who cares about a few 100 million error?
I did read you response on the difference between AIM and X_DEV as well. You appear to have a deep understanding of the systems and some of the conclusions are too deep for me. I appreciate the feedback.
I think what you implied in one of your messages to Myst is that Modified AIMs and X_DEVs are more or less similar systems that evolved from a single seed. That is what I think as well. On the surface I see little difference. The modified AIMs we have seen on the AIM Board are so drastically different from the Lichello AIM that any conclusion about AIM being this or that is no longer valid, and the Lichello AIM is no longer a good Reference Point. It would appear that X-DEV is simply an Aim-like system. Differences in calculating the disbursements or stock liquidations are then only differences of a lower order.
The fine details on the optimisation and self-adjusting are going over my head, so I think I should lay back and watch the developments from the sideline.
Regards,
Conrad
Hi Pragmatico,
No problem with the exaggeration. I forgive you! I have in the meantime discovered that I made a little error as well. With my new scheme I get over $ 1 billion in 81 months and over $ 900 billion in 10 years. With yields like that we can afford to exaggerate a few bucks.
So, keep on tuning and optimising...there is a lot of profits to squeeze out of the market yet!
Conrad
Myst, Nice pictures! They are worth 1000 words each!
As you mentioned that this X_DEV example was not optimised it would be easy(I presume) to force the buys and the sells to the lower and upper limits. I suppose Pragmatico has done that to get the 411 million!
The idea for optimising your scheme had been discussed at lenght and I do not follow all the fine points but I would assume that it would not be too difficult to build a pattern recognition subroutine that will notice that the tops and bottoms are all the time unchanged and would force the buys and the sells to the $ 4 and $10 limits, and would sell all the stock at the top and disburse all the cash at the bottom.
It goes without saying that it might not be wise to disburse all the cash in an actual investment, but that is a money management issue and not for an algorithm to decide. A case in point would be to decide that it would be justified to disburse all the cash at the dip, plus borrow a bunch of extra money if the stock dives deeper. No mechanical system will ever get to that point!
I have been thinking about making a pattern recognition subroutine….thinking Fortran thoughts….. but I am not smart enough to build one myself in Excel, or in any other lagguage, so the idea is still incubating. The details of the programming such a subroutine are simply beyond me.
Lots of luck!
Conrad
Thanks Myst,
The information you present is very interesting! I have in the meantime conceded that you and Pragmatico have a good case on the results you got. See Post # 426…By mistake I mentioned that your result was 350 million instead of 135+ million.
As I mentioned also, in my remarks to Pragmatico I had incorrectly used the Profit Ratio of 1,5 instead of the Capital Gain Ratio of 2,5.
Anyway we might all agree that by optimisation of the cash disbursement and stock liquidation a lot is to be gained, and that money management is very important...after making the first million we would be wise to keep some of it for a rainy day rather than risking it all in the market!
I would like to have your sample spread sheet for the 10.8.5.4.5.8.10 sequence. Please send it to
eng@vortex.demon.nl
Thanks for your efforts,
Conrad
Hi LC...Ref Pragmatico's 411 Million:
I am quite surprised that you think I was rude to Pragmatico. I simply asked him if he was kidding us and I suggested that he may have made a mistake. That is not rude or improper in any way. Myst has stated he got 350 million with the same data, I will ask for the spread sheet to look at the Magic he used!
Anyway, on the basis of your remarks, and those of Myst, I have checked my calculation and noticed that my formula was correct but I had used the wrong Gain Ratio. I had used the Profit Ratio of 1,5 instead of the Capital Gain Ration(CGR) of 10/4 = 2,5 and over the 10 years that makes a little difference, to say the least! If I use the 81 month period for the effective investment when starting at a price of $4, I get for the of 13 6,5-month cycles 10000*2,5^6,5 a Yield of $ $ 1.490.116.119 and this is little more than the yield of 411 million Pragmatico got and the 350 million Myst got. Their results would, in retrospect, be quite acceptable.
I concede that Pragmatico may not have been kidding after all!
This result has caused me to be more precise and I have calculated this time for the investment starting at investing $10000 at $ 4(after waiting 3 months for the DIP) the CGR after 1 year would be 6,25 and repeating this for 10 years the End Result is: 10000*6,25^10=$ 909.494.701.773
Of course, I realise just like anyone that this is a yield on an artificial extreme price fluctuation and that this has no value in relation to actual investing. It simply shows the magic of compunding investment gains.
In relation to the use of Synchrovest for this, Synchrovest is not intended for starting off with a $10000 lump sum. It is intended for monthly investments. If Synchrovest is used with a lump sum right at the start then I suggest it deserves different name....but that is of course a moot point.
The lesson that can be learned from the attempts to achieve a better cash disbursement and cashing-in at the optimum price, such as you have done with Synchrovest and Myst with X-DEV and Don Carlson with AIM, simply demonstrates the tremendous gains that can be achieved with an optimised scheme for concentrating the sell/buy actions at the tops and bottoms. The efforts for developing such an optimised system are well worth it!
So, in the end you are correct by saying that I jumped in too fast, but doing so did no harm. It was food for thought.
Conrad
Error Error Error
Message will come later!
Question to everyone: X_DEV vs AIM:
I have been following many discussions on the X-Dev System and played around with one of the Sample Spread Sheets. The details of various improvements of late escape me as I have not attempted to understand the fine points. No doubt those of you that have done so have come up with effective strategies to squeeze the last drop of profits from the market that is practically possible. Similar schemes are also valid for the various AIM Systems. At the very least the X_Dev has received a lot of praise and appears also to be an effective system for practical use.
The query I have is this one: If we consider some of the AIM Structures with automatic pattern recognition subroutines...in this I consider it a possible that the parameters are adjusted with every stock price input...then the performance of an AIM Structure may well be as good or better as the performance of the X-Dev. The relative performance of AIM vs X_Dev would completely depend on how well the sell/buy advice would be given at the peaks and valleys of the price fluctuations as well the maximization of the buy/sell order size.
My question is if there is any consensus among you that X_Dev is fundamentally better than the modified AIM structures? The Myst comparison to AIM has been on the basis of a standard AIM(I presume). But we know that the standard AIM is not a good reference of what an AIM structure can do...The Don Carlson AIMwMOD gets to a yield of about 13 Million out of a 10000 investment in 120 months at a 50/50 cash reserve at the start, using the 10,8,5,4,5,8,10 price cycle as the Synchrovest Model.
I know this Carlson AIM is also optimised for the extreme price fluctuations, but it nevertheless gives an impressive yield. Is it possible with the vast amount of study that all of you have carried out to evaluate X_Dev merits in relation to AIM structures with automatic pattern recognition subroutines for parameter optimisation? Is there actually any practical difference between X-Dev and AIM?
Consider in this that I do not regard the Lichello AIM BTB as reference but an Aim structure that is modified in some arbitrary manner. The only restriction I would impose here is that for an AIM the Portfolio Control is used as a starting-point for calculation of Buy/Sell Orders.
What is the Intermediate Judgement?
Conrad
Pragmatico: 411 Million????
Are you sure you are not kidding us wit this $411 Million yield on the Synchrovest 10, 8, 5, 4, 5, 8, 10 stock-price cycle with a $10 000 investment? This would appear to me impossible.
If you start investing 10000 for 81 months it would appear optimum to invest the 10000 after 3 months on the price of 4 and sell everything again at month 6 on the price of 10, making a profit of 15000 in 6 months...a profit ratio of 1,5...after 1 year you have 37500 etc. In 81 months there are 13,5 periods of 6 months, so after 81 months the Yield should be at most =10000*1,5^13,5-10000= 2373992. In effect, the last 1/2 period will leave you at a price of 4 and the yield as calculated would not be even be realised.
If you extend this to 120 months, for 20 6-month cycles, the Yield would be 33,23 Million. So, it would be impossible to generate more yield than that with a Synschrovest scheme(starting with monthly investments of about $ 125) if your cash reserve does not go below zero! So, what magic wand did you use to get to 411 Milion?
Besides this, your comments on the yield-sensitivity with optimised parameters for a single case is right on the money. I found the same to be true when optimising the Vortex AIM or a Carlson AIM. Such results merely indicate(to me) that for practical investing one should be well advised to be weary of strictly following automatic buy/sell advise generators derived from extreme price limits. As such limits are based on the past the buy/ sell signals will never be able to take care of even small market upsets, one way or the other, let alone larger deviations.
With AIM structures or X-Dev structures we would do well to introduce other market/company signals in order to be able to negate the AIM or X-Dev signals when it is sensible to do so:
Ignore buy signals when a deep dive is predicted by fundamentals (sell the hole bunch) and ignore the sell signals when a profit run is predicted (let the profits run).
I think that most of you might agree that we should be prepared override the signals of our precious trading systems rather than being a slaves to them.
Conrad
Oops,
This was a duplicate of message # 2602
Conrad
Hi All,
In the past I have noted that some of you are interested in Fuel Cell Technologies or Fuel Cell Fuels.
Here a link that might interest you:
http://biz.yahoo.com/prnews/020418/nyth124_1.html
See also
http://www.glidarc.com
if you are interested in this from a European perspective.
Conrad
Freebies in Holland?
Hi Rien,
I suppose the paid services only download AEX prices regularly, and you want a one-time service.
Maybe you could get the AEX-data from the RTL*Z business Channel(Service from RTL.5)
http://www.rtlz.nl
Maybe they will download it to you. Certainly they have the data on file.
Also Beurs Advies could get this done for you. As a one-time service they might do it to get you interested in their services later on(they have a free newsletter):
http://www.beursadvies.nl or info@beursadvies.nl
Also maybe you can get the info from the Binck Winkel
http://www.binck.nl/overbinck/winkel.asp
You can also ask Chris Kruidenier at
c.kruidnier@hcccnet.nl
He provides stock download services but I do not know if he has the AEX in this. Look at:
http://home.hccnet.nl/c.kruidenier/
Lost of luck!
Conrad
Myst Program.
Myst, experience shows that trading costs are almost always split up in a fixed portion(minimum trade cost) and a percentage of the trade amount. I would also suggest interest accumulation for cash at a particular compounding rate that would apply. If the program is intended to be sold then it should incorporate such practical features. The allotted cash is part of the investment and should not be treated separately.
I suppose you can solve this by adding the interest every week/month manually or so, but that would appear unprofessional, and would not work for simulations. Apart for the simulation you should simply add some extra windows for non-standard expenses and receipts(like dividends). Often people look only at the share profits and ignore all the applicable costs that they run into for administrating their investment.
As far as the trading costs are concerned it would also need differentiation for large buys and small buys as the commission rates often are based on value ranges.
In this I assume that your Program is also an Investment Administration Tool and not simply a Buy-Sell Advice Generator. Looking at the interface you intend it as the former instead of the latter.
Conrad
Hello Tom, On US Taxes on Profits. You wrote:
I have some inventory items that are highly profitable even today. I've owned them for a very long time and would have to pay an excessive amount of capital gain tax if they were sold. Yet, these assets are "underperforming" in that they've become somewhat non-volatile and in the last two years dormant. So, they are no longer providing capital growth AND they are no longer providing AIM volatility capture. They deserve to be sold and new inventory put in their place. However, the cloud of CAPITAL GAIN TAX hovers over these items. So, you can see how the tax law tends to confuse the issue here. It's going to cost me money (tax) just to replace the inventory.
The overall financial implications of tax laws are a mystery to me, so I will ask a silly question: "If you have a portfolio that has accumulated a significant gain then I do not understand that you are reluctant to liquidate the stock to put the cash to work in a more efficient manner (realizing more gain). If all your gains are locked up in dead stock, then selling it after 5 years or more when you need it, it is still exposed to the taxation(unless the tax is eliminated in the future). I have no info on what your tax rate is, but I would argue that selling, paying the tax, and going into a new volatile stock would be a better option(unless you select a permanent diver!). So, to sell dead stock or to keep it is nothing else than a betting game on the possibilities(and their risks) of what is going to happen: Will the tax laws change for the better? Will the dead stock retain its value if you keep it? Will the new stock you buy with the gain residue from a liquidation go up or down in value? How much does the new stock have to gain to get a greater gain after taxes compared to keeping the dead stock?
This boggles my mind, so I could not possibly judge if keeping a dead stock is wise or not. You have certainly pointed out something that, I think, for most people is a totally opaque issue. How could anyone make a sensible decision in these matters?
In Holland this issue is certainly less complicated but we get taxed on investment gains also, but we get taxed every year on all the money or the stock we have. So, selling a dead stock or not is not a tax issue but simply an investment issue(as you clearly identified in your reply). As long as we have money, or stock, we pay tax. This makes our investment decisions less complex, but it does not necessarily mean we pay less tax than American investors. So, we also are faced with the fact that if we invest and make extra money that we pay extra tax. In a way this is also a punishment for making extra money.
I think, in end, the impact off tax on investing in America is not be much different than it is in Holland. The only difference would be the actual tax that is paid each year.
This brings me to an interesting point that might be a difference between taxation in the USA and Holland. If I borrow money to buy shares then the loan value is deducted from the investment value. In such a case I only pay tax on the gains. This is a good reason why I can justify investing with borrowed money more so than I could otherwise do.
I do not consider taxation as a very important issue. If I pay a lot of tax then I earn a lot of money. Simple, is it not?
Conrad
Right On Jonathan,
The justification of the delay on the sell after recovery is of course the fact that the stock was still worth buying after the dive. This gives a high expectation for a good recovery. This delay I mentioned is not necessarily formalised in my aim structure yet, other than by setting the Sell Resistance high. Interestingly enough, the Lichello "Flaw" I discussed at length before provides this sell delay automatically as the Residual Buy Signal first has to zero in order to generate a Sell Order. Some time ago I actually conceded that this part of the Flaw was a Feature! So, as far as you can program the delay for selling after a dip this could still be regarded as normal AIM rules...as far as normal falls within the normal flexibility of raising the Sell Resistance.
In regards to LIFO and FIFO(sounds like a dog's name!) I consider selling at a loss only if I judge the stock not worth buying anymore(or if I need the cash to pay for other things). Other than that I consider every buy actually a separate package that stays IN until it goes OUT with a profit. This is a consequence of the proposition that each time a package of stock is bought on the way down the price on that parcel will eventually rise above it's purchase price(otherwise we would not have bought it). In this sense I would not expect that FIFO will apply. Instead I see every buy/sell as a FILO from the Top down to the Mean, and as a LIFO from the Mean to the Bottom.
Regards,
Conrad
Hi AIM or Bust,
I do not agree that the two options you have are AIM or Bust. Rather you might think instead of AIM and GAIN.
A lot of discussions on this Board have focussed on deep divers for an AIM investment. It is clear that if a stock dives deep it is a non-typical behaviour and this can not efficiently be dealt with with an algorithm that is adjusted for typical volatility.
If a stock dives under it’s normal volatility range the first thing you need to do is to ask yourself if you want to stick with it. If you do not get out on a predetermined stop loss then you must believe that it is safe to stay in. If you stay in with a deep diver you face a dilemma:
1 Preserving cash so that you can invest it effectively after a deep dive requires not investing the cash at the normal Volatility Bottom;
2 By not investing the cash at the normal Volatility Bottom means that the AIM in normal mode is very inefficient.
These two points show that it is very unwise to plan your cash distribution strategy so that in the future you might take advantage of a deep diver. That is not a smart thing to do. It is much better to optimise your strategy for the typical volatility of the stock. Various AIM-people have developed such methods. For example Don Carlson has developed such a system, and the X-DEV has a similar construction, which is based on investing all the cash at the bottom of the Volatility Limit. To keep the cash for a deep dive is therefore unwise.
But what to do when a deep dive occurs and you have no more dough?
Sep 1: Get out on a stop loss you have determined beforehand. This gives you the cash you want later on at or near the bottom of the dive;
Step 2: If you fail to get out(could happen if you use limit orders) then you simply have to face the fact that you own stock at a significant loss;
Step 3: After the deep dive decide if the stock is worth buying, and if so, then you should keep it…To sell stock that is worth buying is silly!
Step 4: Stock that is worth buying is worth buying more of…At this low price it’s a bargain. So, borrow some money via equity credit and buy more stock. Anybody with a portfolio of stock can do this safely. If the stock dips again a bit, borrow some more and buy some more stock, keeping in mind that you should only do this as long as the stock is worth buying! The rationality for this is that if you analyse a stock based on its fundamentals then a stock that has dived deeply may well be worth buying.
Step 5: The stock price start rising. Keep your cool and hold on to it until it has recovered enough…do not start selling too soon on the normal sell signals with the parameters that you had before the deep dive.
Step 6: Continue with the sell/buy activity you had before the deep dive after the stock has recovered;
Step 7: Pay off the loan with the profit you made.
If there is no sharp recovery after the dive then the stock might exhibit a very different volatility. The system parameters need to be re-tuned…if it does not do so automatically.
This is my method for dealing with deep divers. The issue is very simple: Either get out on a stop loss before the deep dive and get back in after it has dived a lot(and the stock is worth buying) or take a beating by staying and plan to recover with borrowed money at or near the bottom of the dive.
This method of borrowing on deep divers in connection with AIM or X-DEV is a very effective method to take care of off-normal behaviour.
Conrad
Hi Grabber: More APY Stuff(Ref QP) Message # 2443,
I followed up on the QP stuff and found specifically the APY answer for a variable investment. The method appears essentially identical to the method I developed although it is formalised into a program PerSense.
Its worth downloading that program!
http://www.mathforum.org/~josh/persense.zip
It's possible that this APY function is available from the Excel Library but I can not identify it.
Happy Calculating!
Conrad
Conrad
Grabber: On APY examples,
From what you state in your question we might have a different view on the Idea of Annul Percentage Yield for a Portfolio. In my portfolio the buys and sells have no effect on the mathematics as I view cash + stock as a single value. I only consider the actual investments into, and withdrawals from, the Portfolio. Trades are not considered. However, I can do the same thing for stock with buys and sells and disregarding the cash component. In this example you need to account for interest on the cash reserve separately. This way the cash is not part of the Investment:
Example
I have taken this example for 1 year but it can without any difficulty be extended to any period. The only thing you need to do for 1,5 year is to take 18 months instead of 12, and to take 78 weeks instead of 52.
Jan 1: Original Investment=10000. (Stock Purchase)
Feb 1: Dividend Received 500(reinvested in stock)
March15: Sell 3000 worth of stock. Cash to other account.
March 31: Trading cost paid 500(Charged against the Portfolio)
Sept 30: Buy 5000 stock on price dip.
Nov 30: Sell 3000 worth of stock.
Dec 31: Portfolio value = 12000
Total Investment = 9000
Stock Value= 12000
Net Yield = 3000
Based on simple data:
Simple Annual Yield = 3000/9000*100=33,33 %
Variable Capital Yield Calculation
Average invested Capital = Ia
Using 1 month as a time unit(counting February as 1 month), multiplying the investments and withdrawals with the time they are in the portfolio:
Ia={10000*(12-0)+500*(12-1)-3000*(12-2,5)-500*(12-3) +5000*(12-9)-3000*(12-11)}/12
Ia= 104500/12=8708,33
Reference Gain = 12000-8708,33=3291,67
Simple Percentage Yield: 3291,67/8708,33= 0,37799
Simple Annual Percentage Yield = 37,78 Percent
Assume compounding every week and adding interest every week
Iend=Ie=Ia(1+r)^52 with r the interest per week as a fraction.
Solving
Ln{Ie/Ia}=52*Ln(1+r)……using logarithms
Ln{12000/8708,33}/52=Ln(1+r)=0,0061659
Taking Exp(0,0061659)=1,006184945 = 1+r
Hence:
r=0,006184945 or, base interest rate per year = 52*0,006184945 = 0,321617 or
32,16 Annual Percentage Yield(Compounded)
Interestingly, if the compounding would be done every day the
APY(Compounded) would be 32,08 percent, only marginally lower.
Remarks
1) If one does this for every trade, the formula for the Average Investment would become very long and this would take a lot of memory space in the computer. This method is suitable if one only considers the investment additions and withdrawals from the portfolio. He Buy/Sell activities are then not relevant.
2) If one wants to consider only the investments in stock as is done in this example over say 10 years one would need to calculate the Average Investment over that period in a different manner. I do not know of such a simplified method.
3) I simple solution is to use this method only per year and start the average investment each year with the End Investment of the previous year as the Initial Investment. This would effectively be the case if you cash out the investment each years and start again with the Portfolio Value as Original Investment.
Conrad
Vesseling, On Perpetual Mobiles(PM).
Just a closing remark on superconductivity and my example of the Electron Pair PM. The fact that superconductivity requires an energy input does not relate to the frictionless motion of the electron pairs but simply relates to imperfect insulation of the system. In that sense the PM definition only refers to the electron pair in a crystal structure in a certain condition. How this condition is maintained is not relevant to the motion of the electron pair. Any classical PM constructed of conventional materials will also cease to operate if the temperature get so high that the components will melt! Practical limitations of this kind are not valid objections to the PM criterion.
The second point is that as a PM is in motion no energy is created nor lost, and so it violates none of the laws of thermodynamics.
The traditional fallacy of the PM is that it’s would be inventors believe that they can extract work from such a system. That is a violation of the laws of thermodynamics.
So, the scientific view on the PM notion is not that it is impossible but that it will be completely useless for doing any work.
PS: As this topic is not in line with the purpose of this Board I do not expect to go on indefinitely. I expect that way down most of us will agree in the end and that most of our differences are rooted in semantics.
Conrad
Vesselin, Closing THG Issue,
Can we put the issue to rest now and concentrate on the issue at hand?
Amen!
Conrad
Hello Grabber: On the APY Question,
I read much of the advice you received on the Annual Percentage Yield question. There was so much information provided to you that I do not need to add to it. However, I ran into a similar problem and discovered that there is no definitive answer for this question. True, there are various mathematical expressions that will produce some answer, but is that the answer you want?
My problem was to calculate the APY for my Investment Club. It was a three-fold problem for the Portfolio.
1…Money was entered or taken out arbitrarily;
2…The Investment grew/shrunk on account of share value, dividends, interest and all sorts of expenses. I focused on the Net Value of the Portfolio;
3…How was I to represent the yield on a variable capital?
Searching information sources gave no satisfaction. None of the examples I found provided an answer for me. So I created my own answer.
Step 1…Calculate the average investment for the period that you want to calculate the yield for:
Ia=(I1*T1+I2*T2 +……In*Tn)/Tt
Ia ) is the Time Average Investment.
I1---In ) are the +/- Investments Entries(In/Out).
T1---Tn ) are the time units of when the entries were made.
Tt ) is the total time for the investment period.
Step 2…Use this Ia as if it were an investment in a bank account that earns a simple interest at rate r and is compounded x times per year and is added to the average investment.
This is where the main problem lies in getting a standard formula for compounding as there are many different ways of compounding! For example, interest can be calculated weekly or daily, while the accumulated interest is added to the calculation base only monthly or quarterly. To take a formula blindly from some reference will get you an answer but it might give you an answer that you do not want.
This means that the question as to what the APY of a Portfolio is cannot be answered unless you specify exactly how the investment is averaged and how the reference interest is compounded.
Once you have determined the averaging and the compounding methods that you want to use then it is only a mathematical procedure to find the interest rate r. The APY is simply deducted from r (Step 3).
Should examples of this be wanted, just ask me.
Conrad
Barry and The Money Spinner,
Barry, it appears that you are one of the few people on these AIM Boards that actually have experience with The Money Spinner(TMS). I was curious were you hailed from...Sure enough you are from Canada were TMS was published. I ran into it in Vancouver about 1981 or so.
I agree with you that TMS is almost certainly a derivative of the Lichello AIM. Like you I started out on TMS. Although I liked the basic idea I disliked the fact that TMS was more complex than its introduction led me to believe. I particularly disliked the extra complexity of the Minimum Trade Interval(MTI) for low priced stocks, which Chakrapani claimed was a unique improvement. I never did understand why the MTI was an improvement. TMS also contained the Lichello Flaw(Residual Buy Advice) and that put me off even more. This is why I simplified the systems and created my own Vortex AIM.
I contacted Chakrapani a few months ago. He stated to me that he did not rework the Money Spinner after its first publication but that he was still developing investment systems(He did not specify any recent developments)
Its clear that recent efforts of various AIMers for more efficient cash disbursement schemes have outstripped the original systems.
Will it all end at THG?
(The Holy Grail)
Conrad