Register for free to join our community of investors and share your ideas. You will also get access to streaming quotes, interactive charts, trades, portfolio, live options flow and more tools.
Register for free to join our community of investors and share your ideas. You will also get access to streaming quotes, interactive charts, trades, portfolio, live options flow and more tools.
Hi Grabber,
I do the same with my multiple securities machine which i call CASH: Combined AIM Synchrovest Holding. I manage my individual securities with Synchrovest. For selling i use GTC orders and buying during the weekend. Time spent is minimal.
The overall machine is managed by AIM. This is BTB according to Lichello in his Q&A section.
I wrote about it on Lost Cowboy's board.
Cheers, K
Hi LC, I see your point with 0.95.
But you could do this:
IF(D6 GE $F$3 AND D6 GE 1,IF((D6-F3)GT $G$3,$G$3,(D6-F3))*M5,0)
Then the comparison is GE 1, but second gear is variable below and above 1, tuned to the amplitudo of the data series.
Cheers, K.
Hi LC, more on the trigger point calculation.
In my previous post I looked at the calculation (d6-1.05).
You can also use (d6-0.95) and add in second gear (d6-0.95)*M5.
You buy more with a trigger point below 1 and less with a trigger point above 1 when compared to the standard trigger point of 1.00.
This suggests to tune the trigger point calculation to the volatility of the stock.
Conrad's series was not very volatile. If you use for example (d6-0.95)*M5 or (d6-0.9)*M5 you possibly can improve your results in the AIM test. Just tune the trigger point to the data series,
Greetings, K
Hi LC,
In post 1687 on the other board you describe how you improved the performance by moving the trigger point from 1.00 to 1.05.
In your spreadsheet you do the calculation:
If multiplier GT 1.05 then (multiplier-1)* cash reserve is added. I took the following line from your spreadsheet:
IF(D6 GE $F$3,IF((D6-1)GT $G$3,$G$3,(D6-1))*M5,0)
(I am using GT and GE because strange things happen with my greater than signs)
My questions are:
1- why don't you calculate (d6-1.05)*M5 ?
2- what did you use in the AIM test? (d6-1) or (d6-1.05)
Thanks in advance, K.
Conrad,
LC made a spreadsheet that you can use to make Synchrovest's performance visible. It uses the classical Lichello series 10,8,5,4,5,8,10.
With a Sell Percentage of 50%(for the definition of Sell Percentage see the spreadsheet) Synchrovest outperforms AIM tremendously on this particular series.
The least one could say is that there is potential here.
One can also use Synchrovest in tandem with AIM. Actually you get closer to BTB as described by Lichello in his Q&A section.
Lichello was thinking Synchrovest while using AIM!
Cheers,K
Hi LC,
Always willing to share.
At the moment I have 4 Synchrovest machines in mutual funds.
Txn cost is 0.3% for sells and buys.
The fund I show below is a Europe fund, basically the total market, I assume similar to the SP500.
There is not a lot of history, in the example below 3 weeks.
The other funds I just started are : Biotechnology, Information Technology and Internet.
They have more volatility.
This Europe fund did not start at zero, it had a few weeks history.
The weekly amount is 40 Euro, 30 into shares, 10 into cash.
The 40 Euro is corrected each week with 4% inflation.
The sell percentage is 30% currently.
There are a few more parameters in my spreadsheet that i do not show below.
Let me know if this sort of info is useful or interesting.
What else is needed etc.
Euro shares Cost Cost Buy No Total Avg Total Total Total Total
AF traded trade over Cum Shares Invest over Stock Cash of Action buy sell Buy Price Cash Share Amount +/-
date Price price weekly Owned Multipl Plan Value Periods order perc Shares 1 2 In In In %
23-Feb-02 23.35 1.4481 23.50 0.10 -0.50 5.4534 1.0493 1.1378 127.34 53.91 0 purchase 34.13 -4.7% 133.60 24.50 24.50 53.91 134.00 187.91 -3.5%
2-Mar-02 24.50 1.1872 25.00 0.09 -0.59 6.9015 0.9914 0.9914 169.09 59.78 1 purchase 29.77 0.9% 167.63 24.29 24.29 59.78 168.13 227.91 0.4%
9-Mar-02 25.55 1.1367 25.16 0.09 -0.68 8.0887 0.9548 0.9548 206.67 70.04 2 purchase 28.69 4.7% 197.31 24.39 24.39 70.04 197.90 267.94 3.3%
16-Mar-02 25.55 0.0000 24.10 0.09 -0.76 9.2254 0.9585 0.9585 235.71 81.42 3 purchase 28.82 4.3% 225.91 24.49 24.49 81.42 226.59 308.00 3.0%
Hi Tom, I don't think you definitely need "new" money to play with Synchrovest. When you use two cash reserves, one AIMcash, the other Synchrovest cash(which AIM considers to be equity) then you can feed on a regular basis from SYncash. I assume you use a multiple securities machine(i call mine CASH) for this. It brought life back to my multiple securities AIM machine! I know what to sell and buy. After a sell the money goes into Syncash and drip feeding starts.
Your idea of a bond fund as a feeder is excellent. Cheers,K.
Hi Tom,
You found Synchrovest! Did you play with LC's spreadsheet? Sensational spreadsheet!
I have now 4 Synchrovest machines running.(just this weekend started 3 new ones). I love the action based on averages, it just seems so natural. You also buy on the way up(Vealie functionality).
In my CASH machine i have sell GTC orders.(Sell percentage approx 20%) When they fill I rotate the money into other "deserving" securities. Just wondering now if I will run my 4 Synchrovest machines in CASH or if they will get exported and run for themselves.
I play Synchrovest weekly and buy every monday!
My CASH machine uses the monthly frequency.
This is a different game but still Buy Low Sell High!
Cheers, K
Nice move, Tom
Money in the bank plus 10% more equity value!!!!
Cheers,K
High-Flyer
The other day sold 5% KLM with LIFO gain of 72.8%.
The deep discounts felt risky at the time.
Parameter settings: 10,10,N/A,5.
Min Buy not appl. because the cash reserve is negative.
New 5% sell order posted immediately.
Hope to sell more into the new starting BULL phase.
Greetings, K
Steel Run
Another 5% Sell in Corus today. 48,3% LIFO.
Parameters: 10,10,N/A,5. (BS,SS,MB,MS).
Next GTC Sell order entered.
Vealie territory far away.
Constructed LIFO tables in my spreadsheets, hell of a job!
Can now see all the buy packages and what each sell takes away!
Cheers,K
Tom, the tax man here does not look at good years or bad years. They want to budget for themselves and they want to know what is coming in. So they know what everybody possesses and they take 1.2% of it each year, bad or good, performance doesn't count. The Finance minister says, buy government bonds, so you always make money. Of course with an inflation of 4% and bond rates around 5.5% currently, earnings will be "flattish". In good years this tax system is superb, in bad years not so. The Philosophy is also that people don't export their money to Swiss, Luxembourg and all the other tax havens with this "benign" tax regime. There is no tax on interests or dividends and the like, the 1.2% is the ONLY tax element on capital and its fruits. If the cash part of a machine is well filled you can pay the tax via CASH interest. Dividends also help. In lean times you get a small minus in your CASH at the end of the year.
I am not sure what intangeable tax is. Does it impact AIM trading?
So everybody can use a safe range of 10%(total buy +sell) here.
Cheers K.
Hi Tom,
Usually I don't look at LIFO gains etc, because we don't pay tax on capital gains over here. We pay 1.2% tax on the whole amount invested each year, so no need to calculate LIFO or FIFO gains.
On this trade(get the calculator): 54%.
Looking at the momentum of steel now, I hope to sell the next batch coming week. When stocks like Corus accelerate, they usually go fast at this stage of the cycle. Still I keep the GTC sell orders in.
Don't know who is buying all the steel!
Somebody is buying the shares, that at least is really important!.
Cheers, K
Hi All,
I had today a 5% sell in CORUS the Anglo Dutch steel maker.(also available in godzone)
The steel sector is clearly building up momentum. American Hedge fund Capital Group took an approx. 10% stake in Corus.
My parameters: 10,10,N/A,5. No minimum Buy level with this stock, because I don't use GTC buy orders.
Only once a month, bimonthly or quarterly trading on the Buy side. And wait till till the downwards move has been dramatic. Last High over Low was approx 5:1.
Today I love steel!
Cheers K
Hi Conrad,
Agreed. Buy Low, Sell High. Aim is there to guide you. There is no possible way to trade with 100% efficiency all the time. Be flexible and use AIM to make profitable trades.
Thanx for the advice,K
Hi Tab that's a little bit like taking one pattern(maybe an average pattern) and derive some parameters from it. Subsequently you put the parameters into stone. Time is not an explicit parameter in the L. model and so the dependencies on time are not clear. Maybe one should adapt to changing patterns and adapt the parameters to this changing pattern. The one parameter that determines a changing pattern is price.(sometimes you see the history of a whole year trading being replayed in one hour, think about last September; of course you can ignore these events)
Cheers, K
Hi Tom, your website is superb. I like your STKL, it shows the txns and I see nicely growing txn sizes on several Buy sequences. Thx,K
Lou,
Small move for me is just the minimum buy or sell. Using 10% for Buy and Sell Safe and 5% for MinBuy amount and Min Sell amount. I personally don't like changing the safe parameters, always unsure to what values you have to change them,I know Tom has his trading range bracket but you could influence that as well with Min Buy and Min Sell. For some reason I am happy with 10% and staying on Lichello's curve, i am unsure about the impact on Portfolio Control growth. In my machine i normally use 10,10; only for Bond machine and other liquidity machines i use 5,5. For very slow moving equities i use 5,5.
That's all: 10,10 and 5,5.
Using GTC orders you trade all the time. You don't want to trade only at the first of each month because of the opportunity cost(loss). This gives you flexibility but you can lose all cash in a crash. So people wait, but then you lose the GTC advantage. If the markets treatens to crash upwards or downwards or at least you perceive that the chance of this happening is increasing, then why not increasing your bet together with the increasing chance. Nothing is lost! The nice thing is that you stay in Lichello's paradigm by doing that as shown in his trading tables.
Cheers, K
Hi Steve,
Catching the bigger moves you could use for example ten 5% limit orders simultaneously, with ascending or descending prices in one direction, and see how many will fire. I have done that, before I knew.
I now prefer a few 15% orders simultaneously, or two 20% orders or one 30% order or whatever and so you can increase txn size with GTC orders(increasing profitability), staying close to Lichello's commandment, as demonstrated in his trading tables.
Cheers, K
Lou,
One other little bit: when you look at Lichello's trading tables(not the 10-8-5-4-5-8-10, but the real ones) you also will notice that in "flat" markets the trading sizes are small and that in "volatile"(sharp V's) markets the trading sizes are getting bigger.(and very profitable!!!!)
That trading profile is the template that i want to emulate with limit orders.
Why looking at Lichello's book in such a detailed way? Because the whole book is packed with AIM related experience. In Version 4 Lichello talks about his AIM religion. He was living AIM. He saw it all.(maybe not Conrad's system)
Cheers, K
Lou,
About minimum txn levels: when looking at the tables in Mr Lichello's book you see a variation of roughly 3% to 30% in the transaction sizes, using once a month trading.
Limit order trading should probably have a minimum of 3%(for larger portfolio's) or 5%(for smaller). When you buy only 5% minimum sizes with limit orders, you could well run out of cash. So especially at the start of the downtrend you want to have bigger minimum buy sizes. At the bottom you want smaller min. buy sizes, in theory. So maybe you want to vary your Buy sizes.
The same applies to selling.
If you only have 5% trades, there is another question: do you earn enough to maintain the growth of Portfolio Control. Lichello has his spread in buy and sell sizes and earns more than if you only use the minimum sizes. (This consideration also applies when decreasing SAFE percentages, do you earn enough for your portfolio control growth? If you use 10,10, at least you know your trades are in Lichello's plan and on his curve. When you increase the Safe percentages, you inhibit trading)
So I think, you should try to maximize the trading sizes while still making trades. So rather one 10% trade than two 5% trades. Also trading the downward and upward spikes or sharp V's, you don't want to do that with 5% trades.
This is just feeling, not science and i certainly cannot back it up with empirical data, the only backup i have, is what i saw up till now,
Cheers, K
more.......CASH
CASH: Combined Aim Synchrovest Holding.
This weekend I had a fresh look at my multiple security AIM machine(which i will call CASH from now on) and saw that I could have done things differently. Up till now CASH was managed only by AIM Buys and Sells. I could have had a few SynSells if I had lowered my Sell Percentage to 20%.
Well i made a few observations:
1. AIMBuys and AIMSells are very simple events:
-AIMBUY, move money from AIMcash to the Syncash
-AIMSELL, move money from Syncash to the AIMcash
2. There is no dead equity. This was an issue raised somewhere on the AIMusers Forum.
One could sell all in one go!
One could sell a certain security with a 10% profit.
All securities can be bought or sold concurrently. With a one security AIM you buy quanta or sell quanta, while the rest of your holding is only elastic. Not with CASH. There is still elasticity, more complex because of the multiple components. But the securities all behave independently and are available for Buy action and Sell action. The whole machine comes alive! This could happen at the AIM evaluation point(once a month), but also in between(weekly, or at limit).
3. With CASH one can easily use GTC or limit orders for Selling. (means we have more limit orders to enter every two months) The limit order is set at Synsell level for a certain security.
4. Synbuying could be Synchrovest based where for example one security has for example access to 10% of the Syncash(this could be an accessibility parameter). Synbuying could be weekly dripfeeding in deserving securities, could be in one go a new security or an Add to an existing security(RotBuy). Money could also stay in Syncash during Buy analysis. I think one would buy securities which have the lowest investment multiplier, or spread the Buy over multiple low multiplier securities.
-------------------------------------------------------------
Why bother with a multiple security machine anyway?
I already had one, it is a fact of life, it was my garbage bin: in it were terminated one security AIM machines, equity bought on impulse, leftovers and all sorts of bits and pieces. I have 21 securities in CASH, one stock, one ETF, sectorfunds, countryfunds and old fashioned mutual funds. To put it under AIM management sort of legitimized it:).
I see now more possibilities for active portfolio management. I am even thinking of dropping my RotSell percentage to a SynSell of 20%, to increase action. Don't know yet, it is a new game for me. Luckily my CASH spreadsheet does not need many changes because I already had an average Buy price divided by actual price table in my CASH spreadsheet.
When I see more new functionality in CASH, I will post it here.
Cheers, K
Hi Tom,
Just today a 10% Buy in ING(also available in the USA).
My parameter settings for ING are 10,10,10,5.
(Buy save 10%, Sell save 10%, MinBuy 10%, MinSell 5%).
Immediately entered the new Buy and Sell GTC orders with
parameter setting 10,10,15,5.
If nothing happens the parameter settings will be reset to
10,10,10,5 on April 1, which is the date the current GTC orders will expire.
Cheers, karw
Hi Tom,
My Telecom sector fund is also buying aggressively lately.
Also my Japan country fund is getting hit.
Cheers, karw
Synchrovest and AIM together!
Assume an AIM machine with multiple securities.
Such a machine will have well defined AIM managed Buy and Sell events.
Mr Lichello says in his Q&A section(3rd edition, discussion on page 190)that you also can rotate as long as you keep Stock Value constant. So we have RotBuy(rotation Buy)and RotSell(rotation Sell) events.
These events are not well defined and Mr Lichello says on page 187 that:
"you simply reach into the CASH reserve, get the money, and give it to the most deserving security. And God will bless you for it, too"
However, we have Synchrovest technology available.
First of all we need to know for each security in the AIM machine the average Buy Price.
- Knowing the actual Price we can determine for each security if it has a Synchrovest Sell.
- The securities with a SynSell event are the candidates for a Sell or a RotSell.
- Knowing the actual Price we can determine for each security if there is a SynBuy event. (with one gear like Twinvest or two gears like Synchrovest).
- The securities with a SynBuy event are the candidates for a Buy or a RotBuy.
- To close the sum of all events you could:
A: Buy a new security for your portfolio.
B: Allocate a security that is positive or negative cash. This cash is on the STOCKVALUE side and not on the CASH side of the machine.
C: Use STOCKVALUE cash for Synchrovest driven buying.
One could elaborate a little bit more.
However in this way one could make trading in an AIM machine, with multiple securities, fully automatic. It will be based on average Buy prices using a Synchrovest style of thinking.
In my own BTB multiple security AIM machine I use this method with a 30% Synchrovest Sell threshold for RotSell events. This money can be put in the money capacitor on the STOCKVALUE side or immediately employed in a RotBuy event.
In my experience rotating otherwise is unsatisfactory and could well be emotional(buy high and sell low). One always regrets the transaction costs:)!
Buy and Sell events are well described at the top of page 190 in Mr Lichello's book.(3rd edition)
Regards, Karw
(I use karw, because there is another Karel active on the AIM boards)
Hello Barry,
I cannot give you an answer to question 2 and 3.
However I have some ideas about the evolution from dollar cost averaging to AIM. This based on playing with spreadsheets where you can see the logic of each new invention.
I think you have 2 evolution lines:
1 - Dollar Cost Averaging, Double DCA, Synchrovest. Here Synchrovest is the fittest survivor.
2 - Dollar Cost Averaging, Value Cost Averaging, AIM.
Here AIM is the fittest survivor.
Evolution Line 1 is well decribed by Lichello.
Evolution Line 2: Value Cost Averaging(see the gummy stuff website at www.home.golden.net/~pjponzo/gummy_stuff.htm for a good explanation of VCA and much more)introduces the concept of Portfolio Control, although it is not recognized as such. If you make a spreadsheet with the classical Lichello series 10-8-5-4-5-8-10 you can see that VCA does not perform well(you can vary the periodic VCA amount and for example set it to zero to get to AIM). Then introduce SAFE(10%). Then run the spreadsheet again. You will see the Lichello wonder. If you reread Lichello's book again, with the above evolution path in mind, it all makes sense.
Now you can also understand why Lichello keeps the once a month rhythm. It still is a trait from DCA and VCA. However in AIM it has no real function anymore and can be replaced by Price based action as in TMS. So you can see that I believe that TMS is a life-form from evolution branch 2!
In my next post I want to describe how Synchrovest and AIM can join again and make a new monster!
Greetings, Karw
Hi Tom and thanks for your nice post!
3 points:
1 - the incremental method of intra month increasing of Buy Minimums after a Buy event is easily implementable. the implementation of the decay method seems to me rather cumbersome with GTC orders, or needs regular monitoring combined with Buy action whenever the decay value has been reached.
The ease of using GTC orders plus the reassuring feeling of being fully "bracketed" all the time, made me use the incremental method.
(on purpose I have one BTB machine, where GTC ordering is impossible and the emphasis is placed on portfolio management as described by Mr Lichello in his Q&A's. this just to increase my intuition in handling this type of AIM machine)
2 - the incremental method does not address the "Flaw".(Have saved Conrad's posts for future study). During the September aggressive downward movement a machine bought some ING at the start of the movement, then incrementally 20% more during the movement for a much lower price and one month later another 5% for a higher price than the incremental lot. So it doesn't provide a solution for the "Flaw" as I understand the "Flaw".
3 - the incremental method can be used over several months. when you are not satisfied with a certain Buy price(the expectation is for more downside). Then one can use an incremental price for GTC orders and be prepared to wait several months for a buy. A machine used this method with Philips Electronics during 2000/2001. The buys were nicely spaced in value and time, and actually the machine was too conservative. At the bottom the cash reserve was not empty. Somehow I didn't care:).
Best Regards, karw
P.S. Always busy telling people(investors) about the glory of AIM, and your website is the place to go for people when starting. Subsequently they need Mr Lichello's book!
Rien, yes indeed, another dutch AIMer, Karw
Hi Tom,
I made my first AIM related post on the Systematic Investment Board, triggered by the Synchrovest spreadsheet.
I started with AIM in October 1998, during the Asia crisis.
Looking for a solution to the investment problem during the crash, I found Lichello's book in a bookshop(for the dutch AIMers: in the American Bookshop in Amsterdam) and this book was completely different. No other investment book like it. After trying it out in a spreadsheet, I decided to use AIM for real, and it has been only AIM from 1998 till now for me!
In early 1999 I discovered SI and the AIM board. I never posted, but read all the posts. The AIM board and your site really provided a lot of answers on how to implement an AIM machine.
By now I have several machines running using 1 share per machine, 1 sector fund per machine or 1 country fund per machine. I am slowly shifting from shares to sector funds currently. The default set of parameters I use is 10% Buy and Sell Resistance, 10% minimum Buy amount and 5% minimum Sell amount. I change these parameters dependent on the characteristics of the equity. I use GTC orders and enter them immediately after a Buy or Sell event. The only thing I do is increasing the minimum Buy amount with another 5%, 10%, 20% or 25%(again dependent on the equity), this to catch a downward spike as in September last year. After a month and no Buy event I reset to 10% minimum Buy amount.
I also have one BTB machine, several shares and sectorfunds in it, parameter settings: 10,10,5,5, and once a month updating.
And now I just started a Synchrovest machine, planning to use a 30% Sell percentage!
This was my introduction to the AIM board,
Greetings, KARW
Hi LC,
This is the first time I post on any AIM board(started AIM in 1998 during the Asia crisis).
I am interested in investing on a regular time basis, basically because of the weekly buying kick :).
I was not too happy with TWINVEST(no selling) and implemented my own method, which is a combination of VCA and AIM, growing Portfolio Control with a weekly(inflation adjusted) amount and buying and selling around this Portfolio Control point in the usual AIM way.
That was until I read your posts on Synchrovest and downloaded your spreadsheet(which is really very nice). I see what you mean, by lowering the sell percentage to 50%, you hit the $10,000 total value in year 3, month 1. Sell percentage 30% hits the $10,000 in year 3, month 6. Amazing. That is 100 times your first $100. (Of course you continue with your regular investments, so it is not really 100 times your original investment).
I have started a Synchrovest Machine on a weekly basis in a Mutual Fund, planning to have a 30% Sell percentage. Because of Synchrovest's aggressive buying and selling I don't think you need an aggressive Fund. Basically a fund with a 10..5..10 series will do, I guess. Moderate amplitude (2x) is ok, frequency as high as possible please.
It could well be an excellent time to start Synchrovest because the market seems "lowish" and capable of spiking to the downside(which is why I use the weekly update).
Rereading Mr Lichello's(3rd edition)criticism: page 32:"But that first hurdle- the initial 100 percent rise- was an imposing one." etc. I think with the 30% Sell percentage you sell sooner and have a cash reserve sooner. Also you can borrow some money from an AIM machine :). On page 33 Mr Lichello states that he might well have underestimated Synchrovest for the average employed investor.
Thanks for your efforts in Systematic Investing, I also read your great posts on the MSN and TMF site.
Greetings, KARW