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Hello Everyone,
I've completed a study between the Buy and Hold strategy and Automatic Investor using MACRO AIM plus the Volume Filter and documented the results in a detailed report.
You can view the summary here --> http://www.automaticinvestor.com/study.html
At the bottom of the Web page is a link to the report.
For more information on MACRO AIM and the Volume filter, see this post --> http://www.investorshub.com/boards/read_msg.asp?message_id=526593
If you have any questions, please don't hesitate to ask.
Regards,
Mark
http://www.automaticinvestor.com
Hello Everyone,
I've completed a study between the Buy and Hold strategy and Automatic Investor using MACRO AIM plus the Volume Filter and documented the results in a detailed report.
You can view the summary here --> http://www.automaticinvestor.com/study.html
At the bottom of the Web page is a link to the report.
If you have any questions, please don't hesitate to ask.
Regards,
Mark
http://www.automaticinvestor.com
Hello Leap,
I received your PM, but can't respond because I only have a free account on this board.
Please send me your email address (mhing@automaticinvestor.com)
Regards,
Mark
http://www.automaticinvestor.com
Hello Conrad,
When testing I believe that we should test all the stocks in the index separately. Unless you're AIMing an index fund, testing on the index itself won't be as accurate.
Here are the answers to your questions.
1. I use the closing price. Your formula is better, however the closing price works for comparison purposes. In addition, AIM is not too picky if we're off by a smidgen.
2. Dividends and cash payouts are ignored.
3. I use daily updates as I've found these to give the best results. In addition, when using the filters approach, daily updates are a must. The filters will eliminate most of the inefficient trades. And Yes! I do use hundreds of thousands of prices in my backtesting. That's the only way to get a true picture of how the algorithm is performing.
4. Yes, I trade all the way to zero cash. Automatic Investor's Historical Analysis module will modify an order to use up the remaining cash if the order recommends purchasing more shares than cash allows.
5. I always use $10 per trade as that's what I usually pay when trading my actual accounts.
6. I ignore interest payments on the cash reserve.
7. I backtested on the full 10 year range (not on portions). In addition, I didn't optimize the parameters at all. I used the standard Automatic Investor settings of 10/10/5/5/0 (you'll notice that I usually start my new investments with 0% cash as backtesting has shown this to be the most profitable choice). The only modifications I made were to introduce the MACRO AIM filter and the Volume Filter.
8. No companies went broke during this period since I'm using the symbols that currently exist in today's index. However some companies might not have a 10 year history, in that case I use the earliest possible data.
"Doing 100 stocks is overdoing in my opinion."
I don't agree with this. Backtesting an algorithm is THE most important way to tell if it actually works in real life. You can think about the theory all you want and work out all the flaws in your mind, however if you don't see the results using real, blind data, then your theory is incorrect.
I'd be the first to agree with you that backtesting 100 or 1000 different stocks is a boring and tedious task. However it is necessary. I don't even believe we can stop at 100 stocks. I think we need to test more than that.
In fact I've just completed testing the S&P 100 and the S&P 500 over a number of different durations (results were excellent).
The trick is to automate as much as this testing as possible. I'd suggest forgetting about running the Nasdaq tests and using that time to implement an automated historical analyzer in Vortex. In the long run it will save you countless weeks of time and make Vortex a better software program.
However if you do decide to run the tests, I'll be looking forward to seeing your results.
Regards,
Mark
http://www.automaticinvestor.com
Hello Leap,
Thanks.
The EMA periods were calculated by Don Carlson. The fast EMA period is 1 (i.e. the current price) and the slow EMA period is 217.
What would you like to see in the header?
Regards,
Mark
http://www.automaticinvestor.com
Hello Karel,
Yes, you are correct about survivorship bias. However I don't believe this applies in this case as the results are meant to simply compare the AIM variant performance to the Buy and Hold strategy's, not to prove that particular stocks are/were good investments.
The reason for choosing the major indicies is to ensure there is no bias in selecting stocks that I know (or unconsciously know) will perform better with AIM than with Buy and Hold.
In effect, I'm allowing others to choose a standard set of stocks (e.g. the Dow) and then running AIM on whatever they choose.
The other thing to keep in mind is that even if we actually invested in only those companies that have ceased to exist, AIM would do no worse than Buy and Hold (i.e. both strategies would lose 100%), but it would probably do better (i.e. AIM would still have some cash on hand after the dust had cleared).
Regards,
Mark
http://www.automaticinvestor.com
Hello Conrad,
The data I used comes from Yahoo! Finance.
I've listed the 100 Nasdaq Symbols below.
The date range is from 7-Oct-1992 to 7-Oct-2002 (Yahoo! Finance allows you to download historical quotes).
The steps to follow are:
1. For each ticker symbol, run your Vortex algorithm on the 10 year data obtained from Yahoo! Finance.
2. Calculate the return, for that specific symbol, for both Vortex and Buy and Hold. Accumulate these results in two additional variables (BuyHoldTotal and VortexTotal).
3. Repeat steps 1 & 2 until you've processed all the symbols.
4. You should have invested $1,000,000 (i.e. $10,000 times 100 stocks). You can now calculate the total returns using BuyHoldTotal and VortexTotal.
Note that I assumed a $10 commission per trade, so you'll have to take that into account.
You can also do the same for the 30 Dow stocks.
Good luck, I'm looking forward to seeing your results.
Now here are those Nasdaq symbols...
AAPL
ABGX
ADBE
ADCT
ADLAC
ADRX
ALTR
AMAT
AMCC
AMGN
AMZN
APOL
ATML
BBBY
BEAS
BGEN
BMET
BRCD
BRCM
CDWC
CEFT
CEPH
CHIR
CHKP
CHTR
CIEN
CMCSK
CMVT
CNXT
COST
CPWR
CSCO
CTAS
CTXS
CYTC
DELL
DISH
EBAY
ERICY
ERTS
ESRX
FISV
FLEX
GENZ
GILD
GMST
HGSI
ICOS
IDPH
IDTI
IMCL
IMNX
INTC
INTU
ITWO
IVGN
JDSU
JNPR
KLAC
LLTC
MCHP
MEDI
MERQ
MLNM
MOLX
MSFT
MXIM
NTAP
NVDA
NVLS
NXTL
ORCL
PAYX
PCAR
PDLI
PMCS
PSFT
QCOM
QLGC
RATL
RFMD
SANM
SBUX
SEBL
SEPR
SNPS
SPLS
SPOT
SSCC
SUNW
SYMC
TLAB
TMPW
USAI
VRSN
VRTS
VTSS
WCOM
XLNX
YHOO
Regards,
Mark
http://www.automaticinvestor.com
Hello Don,
Yes, most of the tests I'm running are coming up with MACRO AIM + Volume Filter beating buy and hold. Then when I add the Volumizer to the mix it usually does even better.
I just finished adding MACRO AIM, the Volume Filter and the MattMOD to a test version of AI 2.0. I'll send you a copy later tonight.
Regards,
Mark
http://www.automaticinvestor.com
Results for MACRO AIM + Volume Filter + Volumizer on the Naz 100 for the past 10 years.
AUTOMATIC INVESTOR ANALYSIS RESULTS
Total Portfolio Value: $9,514,060.30
Total Investment: $1,000,000.00
Simple Return: 851.41%
Buy and Hold Total Value: $6,695,035.18
Regards,
Mark
http://www.automaticinvestor.com
Results for MACRO AIM on the Naz 100 for the past 10 years.
AUTOMATIC INVESTOR ANALYSIS RESULTS
Total Portfolio Value: $7,752,985.38
Total Investment: $1,000,000.00
Simple Return: 675.30%
Buy and Hold Total Value: $6,695,035.18
Regards,
Mark
http://www.automaticinvestor.com
Results for MattMOD on the Naz 100 for the past 10 years.
Note that only 99 stocks were analyzed in this test (it appears my network connection to the quote source sometimes drops and causes the stock it was analyzing to be skipped).
In the MACRO AIM + Volume Filter test JNPR was skipped, in this test CMCSK was skipped. Neither changed the results significantly, so I'm ignoring them.
AUTOMATIC INVESTOR ANALYSIS RESULTS
Total Portfolio Value: $4,593,533.79
Total Investment: $990,000.00
Simple Return: 363.99%
Buy and Hold Total Value: $6,655,964.46
Regards,
Mark
http://www.automaticinvestor.com
Results for Standard AIM on the Naz 100 for the past 10 years. This was run using 10/10/5/5/0 settings in Automatic Investor.
If you have AI 2.0, you can see these results by creating a file containing the Nasdaq 100 symbols and using the Multi-Analysis function of the AI 2.0 historical analyzer to perform the backtest.
AUTOMATIC INVESTOR ANALYSIS RESULTS
Total Portfolio Value: $4,295,309.58
Total Investment: $1,000,000.00
Simple Return: 329.53%
Buy and Hold Total Value: $6,695,035.18
Regards,
Mark
http://www.automaticinvestor.com
These are the 10 year results of the Naz 100 with the Volumizer enabled (MACRO AIM and the Volume Filter were turned off).
AUTOMATIC INVESTOR ANALYSIS RESULTS
Total Portfolio Value: $7,150,433.14
Total Investment: $1,000,000.00
Simple Return: 615.04%
Buy and Hold Total Value: $6,695,035.18
Regards,
Mark
http://www.automaticinvestor.com
Nasdaq 10 year results using MACRO AIM + the Volume Filter.
One stock in the index didn't come through on my historical test, so the results are for 99 of the 100 Nasdaq stocks.
If you had invested $10,000 in each of the 99 Nasdaq stocks 10 years ago (Oct. 1992), you would have $6,692,107.20 if you sold everything this past Friday. If you used MACRO AIM and the Volume Filter you'd have $2,317,513.80 more (i.e. your total would be $9,009,621.00).
AUTOMATIC INVESTOR ANALYSIS RESULTS
Total Portfolio Value: $9,009,621.00
Total Investment: $990,000.00
Simple Return: 810.06%
Buy and Hold Total Value: $6,692,107.20
Regards,
Mark
http://www.automaticinvestor.com
Hello Devron,
Theoretically (if you completely follow the AIM algorithm) the downside protection is 0, over the life of the portfolio, because all cash can be put into equities. When this actually happens depends on the security's behaviour and the update frequency.
So although AIM uses the cash portion of its portfolio to reduce risk, it does not provide you with complete downside protection. However it does protect you somewhat by lengthening the period that you are protected in most cases.
Regards,
Mark
http://www.automaticinvestor.com
One other test result...
A 10 year test on the DOW from 1969 to 1979 (only 25 stocks still in today's index were available, so it's a test of 25 DOW stocks).
AUTOMATIC INVESTOR ANALYSIS RESULTS
Total Portfolio Value: $466,649.94
Total Investment: $250,000.00
Simple Return: 86.66%
Buy and Hold Total Value: $453,220.85
I also noted that the capital at risk was significantly lower than Buy and Hold (which had 100% of its capital at risk).
Regards,
Mark
http://www.automaticinvestor.com
I've been testing an enhancement that seems to significantly increase returns while reducing the number of trades.
A SIMPLE VOLUME FILTER
It's a simple volume filter that takes a 10 period simple moving average (SMA) of the volume and checks the current volume against this SMA. If the current volume is less, then AIM is not updated. If the current volume is equal to or greater, then we update AIM.
It appears to work well with standard AIM, however the biggest benefit comes when you combine it with Don Carlson's MACRO AIM. Both of these techniques are filters that either allow AIM to be updated with the current price (and volume), or block the update (as if the update was never done).
Adding the Volume filter to MACRO AIM means that there are now two filters that must be satisfied before an update can proceed to AIM. If either filter "catches" the update, then AIM never sees the update request and an AIM calculation is not performed.
WHY ARE FILTERS GOOD?
Although AIM is said to be "Automatic," it really isn't. In fact there are a number of important, and subjective, decisions that must be made when setting up a new AIM portfolio. The two most important are:
1. Equity selection.
2. Model selection.
Once the portfolio setup is complete there is the question of how often to update the portfolio. Generally it's better to update more often, however doing this has two major disadvantages.
1. You can run out of cash in a long-trending down market.
2. AIM will most likely recommend some trades that don't add to your returns and reduce your risk (they might even be detrimental). In other words they're inefficient trades.
Filters get around both of these problems. When using a filter, you're free to update as often as you want -- I recommend daily updates. The filter takes care of when to invoke the actual AIM update. This can lead to a more efficient trading pattern (depending on the filter, of course).
WHY A VOLUME FILTER?
As I've mentioned in the past, I believe AIM is missing a significant amount of information by just looking at price when making its decisions.
Price is important, but doesn't tell the entire story. For example, a price increase of 50% on a volume of, say, 50 shares has a high degree of standard error associated with it. Whereas a price increase of 50% on a volume of 50,000,000 shares has a relatively low degree of standard error.
The reason for this is because, with the 50 share example, only a very small number of buyers (let's say two buyers) have said they think the price increase of 50% is justified. Perhaps everyone else disagrees and won't buy the stock at its new price level. So if you owned these shares, there is a low probability that you would find a buyer for your shares at the increased price.
With the 50,000,000 share example, a relatively large number of buyers have said the price increase is justified (e.g. 1 million buyers). This means that there are significantly more people out there willing to purchase shares at that price. Thus you're more likely to find a buyer if you decide to subsequently sell at the increased price.
And that is why volume is an important piece of information. If you're trading only on price, you're missing a SIGNIFICANT piece of information, information that's available to you free of charge.
WHY USE MULTIPLE FILTERS?
Let's put everything together and see where we end up.
First, we have AIM. AIM is an excellent algorithm for taking advantage of volatility and signaling when to trade. However it requires a number of subjective inputs (as we've seen above) and in its standard form has a difficult time beating the Buy and Hold strategy for all but the most volatile stocks (before anyone jumps all over this statement, run some historical tests on the DOW, NASDAQ and S&P500 stocks using standard Lichello AIM and view the results). Therefore standard AIM will work well only when we choose certain types of stocks -- and that means we're limited to a small portion of the available stocks.
Secondly, we have the MACRO filter. This filter decides the best time to update based on a pair of Exponential Moving Averages (EMAs). When a significant event occurs in the MACRO filter, AIM is updated, otherwise it's not. This has the advantage of only updating AIM when the current price determines it's most efficient to do the update. Inefficient trades are thus filtered out.
And finally we have the Volume Filter. This filter decides the best time to update based on volume. The advantage is that price moves that have a high probability of being inefficient are filtered out.
Therefore we are filtering based, not only on price but, on price and volume. Each filter is only letting efficient trades through to AIM. AIM, then, acts as a final filter to determine whether a trade recommendation is given.
CONCLUSION
So, if the theory is correct, adding these two filters to standard AIM should provide significantly more efficient recommendations (i.e. we're filtering the inefficient trades) and thus increase our returns and lower our risk. Does the experimental evidence support this? Let's find out by looking at a number of tests.
1. A 5+ year test of the DOW.
AUTOMATIC INVESTOR ANALYSIS RESULTS
Total Portfolio Value: $431,078.11
Total Investment: $300,000.00
Simple Return: 43.69%
Buy and Hold Total Value: $370,015.55
2. A 7+ year test of the DOW.
AUTOMATIC INVESTOR ANALYSIS RESULTS
Total Portfolio Value: $839,515.67
Total Investment: $300,000.00
Simple Return: 179.84%
Buy and Hold Total Value: $708,086.89
3. A 10+ year test of the DOW.
AUTOMATIC INVESTOR ANALYSIS RESULTS
Total Portfolio Value: $1,104,573.05
Total Investment: $300,000.00
Simple Return: 268.19%
Buy and Hold Total Value: $970,957.39
4. A 5+ year test of the Nasdaq 100.
AUTOMATIC INVESTOR ANALYSIS RESULTS
Total Portfolio Value: $4,371,797.05
Total Investment: $970,000.00
Simple Return: 350.70%
Buy and Hold Total Value: $1,658,227.63
So far the filters are looking good.
THE FUTURE...
The next step is to test these filters over different time periods (e.g. 1969 to 1979). I've run some tests over various periods but haven't come up with a definite conclusion. However I can say this, in all tests to date, adding the filters to AIM has produced SIGNIFICANTLY better results that just using standard AIM alone.
Regards,
Mark
http://www.automaticinvestor.com
Just for fun, I ran the holdings Tom Veale has listed at his site through two variant AIMs starting Jan. 2, 1997 and ending Oct 4, 2002. I've included the full MACRO AIM results and the summary for the other AIM variation. Settings used were 10/10/5/0.
MattMOD
AUTOMATIC INVESTOR ANALYSIS RESULTS
Total Portfolio Value: $269,481.47
Total Investment: $270,000.00
Simple Return: -0.19%
Buy and Hold Total Value: $198,388.01
MACRO AIM
AUTOMATIC INVESTOR ANALYSIS RESULTS
Total Portfolio Value: $355,418.72
Total Investment: $270,000.00
Simple Return: 31.64%
Buy and Hold Total Value: $198,388.01
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR ADCT
======= PERFORMANCE =======
Current Portfolio Value: $18,994.19 (450 shares owned)
Profit or (Loss): $8,994.19
Simple Return: 90%
Annualized Return: 12%
Buy/Hold Portfolio Value: $1,313.20 (1143 shares owned)
Buy/Hold Profit or (Loss): ($8,686.80)
Buy/Hold Simple Return: -87%
Buy/Hold Annualized Return: -30%
Return on Capital at Risk: 146.64%
Average % Capital at Risk: 61.34%
======= CONFIGURATION =======
Buy Resistance: 10%
Sell Resistance: 10%
Initial Cash Reserve: 0%
Margin is Disabled
Minimum Purchase: $0.00
Minimum % per Purchase: 5%
Minimum Sale: $0.00
Minimum % per Sale: 5%
Control Increment: 50%
Maximum Cash: 100%
Vealie: 50%
Volumizer is Disabled
Analysis for ADCT
Start of Period: 02-Jan-97
End of Period: 06-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR ANCFX
======= PERFORMANCE =======
Current Portfolio Value: $9,074.83 (367 shares owned)
Profit or (Loss): ($925.17)
Simple Return: -9%
Annualized Return: -2%
Buy/Hold Portfolio Value: $8,629.87 (419 shares owned)
Buy/Hold Profit or (Loss): ($1,370.13)
Buy/Hold Simple Return: -14%
Buy/Hold Annualized Return: -3%
Return on Capital at Risk: -9.89%
Average % Capital at Risk: 93.53%
Analysis for ANCFX
Start of Period: 02-Jan-97
End of Period: 06-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR APCC
======= PERFORMANCE =======
Current Portfolio Value: $9,372.44 (922 shares owned)
Profit or (Loss): ($627.56)
Simple Return: -6%
Annualized Return: -1%
Buy/Hold Portfolio Value: $7,266.90 (755 shares owned)
Buy/Hold Profit or (Loss): ($2,733.10)
Buy/Hold Simple Return: -27%
Buy/Hold Annualized Return: -5%
Return on Capital at Risk: -8.09%
Average % Capital at Risk: 77.57%
Analysis for APCC
Start of Period: 02-Jan-97
End of Period: 06-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR BMY
======= PERFORMANCE =======
Current Portfolio Value: $12,223.78 (182 shares owned)
Profit or (Loss): $2,223.78
Simple Return: 22%
Annualized Return: 4%
Buy/Hold Portfolio Value: $7,602.50 (350 shares owned)
Buy/Hold Profit or (Loss): ($2,397.50)
Buy/Hold Simple Return: -24%
Buy/Hold Annualized Return: -5%
Return on Capital at Risk: 32.79%
Average % Capital at Risk: 67.82%
Analysis for BMY
Start of Period: 02-Jan-97
End of Period: 06-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR BPUR
======= PERFORMANCE =======
Current Portfolio Value: $12,701.43 (489 shares owned)
Profit or (Loss): $2,701.43
Simple Return: 27%
Annualized Return: 8%
Buy/Hold Portfolio Value: $4,836.96 (976 shares owned)
Buy/Hold Profit or (Loss): ($5,163.04)
Buy/Hold Simple Return: -52%
Buy/Hold Annualized Return: -20%
Return on Capital at Risk: 46.02%
Average % Capital at Risk: 58.70%
Analysis for BPUR
Start of Period: 02-Jan-97
End of Period: 06-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR CGNX
======= PERFORMANCE =======
Current Portfolio Value: $9,972.86 (533 shares owned)
Profit or (Loss): ($27.14)
Simple Return: 0%
Annualized Return: 0%
Buy/Hold Portfolio Value: $6,931.25 (491 shares owned)
Buy/Hold Profit or (Loss): ($3,068.75)
Buy/Hold Simple Return: -31%
Buy/Hold Annualized Return: -6%
Return on Capital at Risk: -0.35%
Average % Capital at Risk: 77.63%
Analysis for CGNX
Start of Period: 02-Jan-97
End of Period: 06-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR CHIR
======= PERFORMANCE =======
Current Portfolio Value: $19,244.92 (245 shares owned)
Profit or (Loss): $9,244.92
Simple Return: 92%
Annualized Return: 12%
Buy/Hold Portfolio Value: $18,939.16 (534 shares owned)
Buy/Hold Profit or (Loss): $8,939.16
Buy/Hold Simple Return: 89%
Buy/Hold Annualized Return: 12%
Return on Capital at Risk: 127.10%
Average % Capital at Risk: 72.74%
Analysis for CHIR
Start of Period: 02-Jan-97
End of Period: 06-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR CSON
======= PERFORMANCE =======
Current Portfolio Value: $8,712.00 (1899 shares owned)
Profit or (Loss): ($1,288.00)
Simple Return: -13%
Annualized Return: -3%
Buy/Hold Portfolio Value: $6,104.71 (1701 shares owned)
Buy/Hold Profit or (Loss): ($3,895.29)
Buy/Hold Simple Return: -39%
Buy/Hold Annualized Return: -11%
Return on Capital at Risk: -16.58%
Average % Capital at Risk: 77.69%
Analysis for CSON
Start of Period: 02-Jan-97
End of Period: 06-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR D
======= PERFORMANCE =======
Current Portfolio Value: $7,459.55 (155 shares owned)
Profit or (Loss): ($2,540.45)
Simple Return: -25%
Annualized Return: -46%
Buy/Hold Portfolio Value: $7,459.55 (155 shares owned)
Buy/Hold Profit or (Loss): ($2,540.45)
Buy/Hold Simple Return: -25%
Buy/Hold Annualized Return: -46%
Return on Capital at Risk: -25.37%
Average % Capital at Risk: 100.00%
Analysis for D
Start of Period: 02-Jan-97
End of Period: 06-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR FTCHX
======= PERFORMANCE =======
Current Portfolio Value: $15,788.35 (125 shares owned)
Profit or (Loss): $5,788.35
Simple Return: 58%
Annualized Return: 8%
Buy/Hold Portfolio Value: $4,562.26 (321 shares owned)
Buy/Hold Profit or (Loss): ($5,437.74)
Buy/Hold Simple Return: -54%
Buy/Hold Annualized Return: -13%
Return on Capital at Risk: 91.31%
Average % Capital at Risk: 63.39%
Analysis for FTCHX
Start of Period: 02-Jan-97
End of Period: 06-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR GENE
======= PERFORMANCE =======
Current Portfolio Value: $4,562.55 (1143 shares owned)
Profit or (Loss): ($5,437.45)
Simple Return: -54%
Annualized Return: -13%
Buy/Hold Portfolio Value: $1,248.64 (1032 shares owned)
Buy/Hold Profit or (Loss): ($8,751.36)
Buy/Hold Simple Return: -88%
Buy/Hold Annualized Return: -31%
Return on Capital at Risk: -74.46%
Average % Capital at Risk: 73.02%
Analysis for GENE
Start of Period: 02-Jan-97
End of Period: 06-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR GNSS
======= PERFORMANCE =======
Current Portfolio Value: $18,408.50 (300 shares owned)
Profit or (Loss): $8,408.50
Simple Return: 84%
Annualized Return: 15%
Buy/Hold Portfolio Value: $5,928.16 (816 shares owned)
Buy/Hold Profit or (Loss): ($4,071.84)
Buy/Hold Simple Return: -41%
Buy/Hold Annualized Return: -11%
Return on Capital at Risk: 123.27%
Average % Capital at Risk: 68.21%
Analysis for GNSS
Start of Period: 02-Jan-97
End of Period: 06-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR GSF
======= PERFORMANCE =======
Current Portfolio Value: $7,898.70 (330 shares owned)
Profit or (Loss): ($2,101.30)
Simple Return: -21%
Annualized Return: -4%
Buy/Hold Portfolio Value: $7,371.01 (321 shares owned)
Buy/Hold Profit or (Loss): ($2,628.99)
Buy/Hold Simple Return: -26%
Buy/Hold Annualized Return: -6%
Return on Capital at Risk: -24.97%
Average % Capital at Risk: 84.15%
Analysis for GSF
Start of Period: 02-Jan-97
End of Period: 06-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR ICA
======= PERFORMANCE =======
Current Portfolio Value: $424.00 (700 shares owned)
Profit or (Loss): ($9,576.00)
Simple Return: -96%
Annualized Return: -43%
Buy/Hold Portfolio Value: $424.00 (700 shares owned)
Buy/Hold Profit or (Loss): ($9,576.00)
Buy/Hold Simple Return: -96%
Buy/Hold Annualized Return: -43%
Return on Capital at Risk: -95.86%
Average % Capital at Risk: 99.90%
Analysis for ICA
Start of Period: 02-Jan-97
End of Period: 06-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR JBL
======= PERFORMANCE =======
Current Portfolio Value: $26,222.23 (536 shares owned)
Profit or (Loss): $16,222.23
Simple Return: 162%
Annualized Return: 19%
Buy/Hold Portfolio Value: $21,368.48 (1733 shares owned)
Buy/Hold Profit or (Loss): $11,368.48
Buy/Hold Simple Return: 114%
Buy/Hold Annualized Return: 14%
Return on Capital at Risk: 335.45%
Average % Capital at Risk: 48.36%
Analysis for JBL
Start of Period: 02-Jan-97
End of Period: 06-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR LU
======= PERFORMANCE =======
Current Portfolio Value: $21,537.47 (216 shares owned)
Profit or (Loss): $11,537.47
Simple Return: 115%
Annualized Return: 14%
Buy/Hold Portfolio Value: $726.80 (970 shares owned)
Buy/Hold Profit or (Loss): ($9,273.20)
Buy/Hold Simple Return: -93%
Buy/Hold Annualized Return: -37%
Return on Capital at Risk: 263.70%
Average % Capital at Risk: 43.75%
Analysis for LU
Start of Period: 02-Jan-97
End of Period: 06-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR MXF
======= PERFORMANCE =======
Current Portfolio Value: $12,413.94 (670 shares owned)
Profit or (Loss): $2,413.94
Simple Return: 24%
Annualized Return: 4%
Buy/Hold Portfolio Value: $12,150.50 (850 shares owned)
Buy/Hold Profit or (Loss): $2,150.50
Buy/Hold Simple Return: 22%
Buy/Hold Annualized Return: 3%
Return on Capital at Risk: 26.59%
Average % Capital at Risk: 90.78%
Analysis for MXF
Start of Period: 02-Jan-97
End of Period: 06-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR NERX
======= PERFORMANCE =======
Current Portfolio Value: $2,387.47 (2335 shares owned)
Profit or (Loss): ($7,612.53)
Simple Return: -76%
Annualized Return: -22%
Buy/Hold Portfolio Value: $755.45 (2165 shares owned)
Buy/Hold Profit or (Loss): ($9,244.55)
Buy/Hold Simple Return: -92%
Buy/Hold Annualized Return: -37%
Return on Capital at Risk: -98.48%
Average % Capital at Risk: 77.30%
Analysis for NERX
Start of Period: 02-Jan-97
End of Period: 06-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR QQQ
======= PERFORMANCE =======
Current Portfolio Value: $8,328.74 (126 shares owned)
Profit or (Loss): ($1,671.26)
Simple Return: -17%
Annualized Return: -5%
Buy/Hold Portfolio Value: $3,980.84 (196 shares owned)
Buy/Hold Profit or (Loss): ($6,019.16)
Buy/Hold Simple Return: -60%
Buy/Hold Annualized Return: -23%
Return on Capital at Risk: -24.21%
Average % Capital at Risk: 69.03%
Analysis for QQQ
Start of Period: 02-Jan-97
End of Period: 06-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR SDS
======= PERFORMANCE =======
Current Portfolio Value: $18,125.93 (360 shares owned)
Profit or (Loss): $8,125.93
Simple Return: 81%
Annualized Return: 11%
Buy/Hold Portfolio Value: $15,160.00 (1000 shares owned)
Buy/Hold Profit or (Loss): $5,160.00
Buy/Hold Simple Return: 52%
Buy/Hold Annualized Return: 8%
Return on Capital at Risk: 116.10%
Average % Capital at Risk: 69.99%
Analysis for SDS
Start of Period: 02-Jan-97
End of Period: 06-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR SEE
======= PERFORMANCE =======
Current Portfolio Value: $3,918.41 (239 shares owned)
Profit or (Loss): ($6,081.59)
Simple Return: -61%
Annualized Return: -15%
Buy/Hold Portfolio Value: $3,568.96 (232 shares owned)
Buy/Hold Profit or (Loss): ($6,431.04)
Buy/Hold Simple Return: -64%
Buy/Hold Annualized Return: -17%
Return on Capital at Risk: -66.78%
Average % Capital at Risk: 91.07%
Analysis for SEE
Start of Period: 02-Jan-97
End of Period: 06-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR STKL
======= PERFORMANCE =======
Current Portfolio Value: $17,011.31 (4196 shares owned)
Profit or (Loss): $7,011.31
Simple Return: 70%
Annualized Return: 10%
Buy/Hold Portfolio Value: $17,680.76 (7246 shares owned)
Buy/Hold Profit or (Loss): $7,680.76
Buy/Hold Simple Return: 77%
Buy/Hold Annualized Return: 11%
Return on Capital at Risk: 74.97%
Average % Capital at Risk: 93.52%
Analysis for STKL
Start of Period: 02-Jan-97
End of Period: 06-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR TWCVX
======= PERFORMANCE =======
Current Portfolio Value: $11,118.98 (686 shares owned)
Profit or (Loss): $1,118.98
Simple Return: 11%
Annualized Return: 2%
Buy/Hold Portfolio Value: $9,138.16 (1026 shares owned)
Buy/Hold Profit or (Loss): ($861.84)
Buy/Hold Simple Return: -9%
Buy/Hold Annualized Return: -2%
Return on Capital at Risk: 13.53%
Average % Capital at Risk: 82.73%
Analysis for TWCVX
Start of Period: 02-Jan-97
End of Period: 06-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR VGENX
======= PERFORMANCE =======
Current Portfolio Value: $11,303.98 (412 shares owned)
Profit or (Loss): $1,303.98
Simple Return: 13%
Annualized Return: 2%
Buy/Hold Portfolio Value: $11,022.92 (478 shares owned)
Buy/Hold Profit or (Loss): $1,022.92
Buy/Hold Simple Return: 10%
Buy/Hold Annualized Return: 2%
Return on Capital at Risk: 13.53%
Average % Capital at Risk: 96.38%
Analysis for VGENX
Start of Period: 02-Jan-97
End of Period: 06-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR VTSS
======= PERFORMANCE =======
Current Portfolio Value: $40,596.43 (168 shares owned)
Profit or (Loss): $30,596.43
Simple Return: 306%
Annualized Return: 28%
Buy/Hold Portfolio Value: $788.71 (1133 shares owned)
Buy/Hold Profit or (Loss): ($9,211.29)
Buy/Hold Simple Return: -92%
Buy/Hold Annualized Return: -36%
Return on Capital at Risk: 720.29%
Average % Capital at Risk: 42.48%
Analysis for VTSS
Start of Period: 02-Jan-97
End of Period: 06-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR WCOM
======= PERFORMANCE =======
Current Portfolio Value: $14,337.89 (216 shares owned)
Profit or (Loss): $4,337.89
Simple Return: 43%
Annualized Return: 7%
Buy/Hold Portfolio Value: $495.76 (597 shares owned)
Buy/Hold Profit or (Loss): ($9,504.24)
Buy/Hold Simple Return: -95%
Buy/Hold Annualized Return: -43%
Return on Capital at Risk: 79.68%
Average % Capital at Risk: 54.44%
Analysis for WCOM
Start of Period: 02-Jan-97
End of Period: 06-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR XOM
======= PERFORMANCE =======
Current Portfolio Value: $13,277.84 (259 shares owned)
Profit or (Loss): $3,277.84
Simple Return: 33%
Annualized Return: 5%
Buy/Hold Portfolio Value: $12,932.50 (391 shares owned)
Buy/Hold Profit or (Loss): $2,932.50
Buy/Hold Simple Return: 29%
Buy/Hold Annualized Return: 5%
Return on Capital at Risk: 41.14%
Average % Capital at Risk: 79.68%
Analysis for XOM
Start of Period: 02-Jan-97
End of Period: 06-Oct-02
Regards,
Mark
http://www.automaticinvestor.com
Hi Karw,
F-EMA = Fast EMA, S-EMA = Slow EMA.
Regards,
Mark
http://www.automaticinvestor.com
And here's a summary of the Naz 100...
AUTOMATIC INVESTOR ANALYSIS RESULTS
Total Portfolio Value: $4,428,922.79
Total Investment: $1,000,000.00
Simple Return: 342.89%
Buy and Hold Total Value: $1,670,514.65
Regards,
Mark
http://www.automaticinvestor.com
Here are some more MACRO AIM results...
AUTOMATIC INVESTOR ANALYSIS RESULTS
Total Portfolio Value: $2,057,846.01
Total Investment: $190,000.00
Simple Return: 983.08%
Buy and Hold Total Value: $482,419.36
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR ABGX
======= PERFORMANCE =======
Current Portfolio Value: $154,791.43 (430 shares owned)
Profit or (Loss): $144,791.43
Simple Return: 1448%
Annualized Return: 90%
Buy/Hold Portfolio Value: $30,048.82 (4926 shares owned)
Buy/Hold Profit or (Loss): $20,048.82
Buy/Hold Simple Return: 200%
Buy/Hold Annualized Return: 29%
Return on Capital at Risk: 4690.71%
Average % Capital at Risk: 30.87%
======= CONFIGURATION =======
Buy Resistance: 10%
Sell Resistance: 10%
Initial Cash Reserve: 0%
Margin is Disabled
Minimum Purchase: $0.00
Minimum % per Purchase: 5%
Minimum Sale: $0.00
Minimum % per Sale: 5%
Control Increment: 50%
Maximum Cash: 100%
Vealie: 50%
Volumizer is Disabled
Analysis for ABGX
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR AMCC
======= PERFORMANCE =======
Current Portfolio Value: $159,517.65 (376 shares owned)
Profit or (Loss): $149,517.65
Simple Return: 1495%
Annualized Return: 78%
Buy/Hold Portfolio Value: $19,461.16 (7692 shares owned)
Buy/Hold Profit or (Loss): $9,461.16
Buy/Hold Simple Return: 95%
Buy/Hold Annualized Return: 15%
Return on Capital at Risk: 4964.42%
Average % Capital at Risk: 30.12%
Analysis for AMCC
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR AMZN
======= PERFORMANCE =======
Current Portfolio Value: $98,140.49 (308 shares owned)
Profit or (Loss): $88,140.49
Simple Return: 881%
Annualized Return: 59%
Buy/Hold Portfolio Value: $33,911.83 (2049 shares owned)
Buy/Hold Profit or (Loss): $23,911.83
Buy/Hold Simple Return: 239%
Buy/Hold Annualized Return: 28%
Return on Capital at Risk: 2991.15%
Average % Capital at Risk: 29.47%
Analysis for AMZN
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR BEAS
======= PERFORMANCE =======
Current Portfolio Value: $79,751.53 (307 shares owned)
Profit or (Loss): $69,751.53
Simple Return: 698%
Annualized Return: 53%
Buy/Hold Portfolio Value: $14,160.52 (2667 shares owned)
Buy/Hold Profit or (Loss): $4,160.52
Buy/Hold Simple Return: 42%
Buy/Hold Annualized Return: 7%
Return on Capital at Risk: 1918.19%
Average % Capital at Risk: 36.36%
Analysis for BEAS
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR DISH
======= PERFORMANCE =======
Current Portfolio Value: $148,952.89 (571 shares owned)
Profit or (Loss): $138,952.89
Simple Return: 1390%
Annualized Return: 73%
Buy/Hold Portfolio Value: $71,839.52 (4184 shares owned)
Buy/Hold Profit or (Loss): $61,839.52
Buy/Hold Simple Return: 618%
Buy/Hold Annualized Return: 49%
Return on Capital at Risk: 3603.35%
Average % Capital at Risk: 38.56%
Analysis for DISH
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR IMCL
======= PERFORMANCE =======
Current Portfolio Value: $45,925.44 (334 shares owned)
Profit or (Loss): $35,925.44
Simple Return: 359%
Annualized Return: 36%
Buy/Hold Portfolio Value: $23,908.04 (3077 shares owned)
Buy/Hold Profit or (Loss): $13,908.04
Buy/Hold Simple Return: 139%
Buy/Hold Annualized Return: 19%
Return on Capital at Risk: 799.04%
Average % Capital at Risk: 44.96%
Analysis for IMCL
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR IMNX
======= PERFORMANCE =======
Current Portfolio Value: $35,938.21 (325 shares owned)
Profit or (Loss): $25,938.21
Simple Return: 259%
Annualized Return: 31%
Buy/Hold Portfolio Value: $28,320.33 (1667 shares owned)
Buy/Hold Profit or (Loss): $18,320.33
Buy/Hold Simple Return: 183%
Buy/Hold Annualized Return: 25%
Return on Capital at Risk: 542.78%
Average % Capital at Risk: 47.79%
Analysis for IMNX
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR JDSU
======= PERFORMANCE =======
Current Portfolio Value: $126,235.49 (232 shares owned)
Profit or (Loss): $116,235.49
Simple Return: 1162%
Annualized Return: 68%
Buy/Hold Portfolio Value: $3,835.90 (2283 shares owned)
Buy/Hold Profit or (Loss): ($6,164.10)
Buy/Hold Simple Return: -62%
Buy/Hold Annualized Return: -18%
Return on Capital at Risk: 3399.77%
Average % Capital at Risk: 34.19%
Analysis for JDSU
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR MEDI
======= PERFORMANCE =======
Current Portfolio Value: $48,054.75 (253 shares owned)
Profit or (Loss): $38,054.75
Simple Return: 381%
Annualized Return: 38%
Buy/Hold Portfolio Value: $32,497.75 (1515 shares owned)
Buy/Hold Profit or (Loss): $22,497.75
Buy/Hold Simple Return: 225%
Buy/Hold Annualized Return: 27%
Return on Capital at Risk: 811.03%
Average % Capital at Risk: 46.92%
Analysis for MEDI
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR MERQ
======= PERFORMANCE =======
Current Portfolio Value: $80,578.20 (201 shares owned)
Profit or (Loss): $70,578.20
Simple Return: 706%
Annualized Return: 53%
Buy/Hold Portfolio Value: $29,907.01 (1779 shares owned)
Buy/Hold Profit or (Loss): $19,907.01
Buy/Hold Simple Return: 199%
Buy/Hold Annualized Return: 25%
Return on Capital at Risk: 1550.85%
Average % Capital at Risk: 45.51%
Analysis for MERQ
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR NTAP
======= PERFORMANCE =======
Current Portfolio Value: $98,687.99 (228 shares owned)
Profit or (Loss): $88,687.99
Simple Return: 887%
Annualized Return: 59%
Buy/Hold Portfolio Value: $18,496.00 (2950 shares owned)
Buy/Hold Profit or (Loss): $8,496.00
Buy/Hold Simple Return: 85%
Buy/Hold Annualized Return: 13%
Return on Capital at Risk: 2195.51%
Average % Capital at Risk: 40.40%
Analysis for NTAP
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR PMCS
======= PERFORMANCE =======
Current Portfolio Value: $174,593.16 (160 shares owned)
Profit or (Loss): $164,593.16
Simple Return: 1646%
Annualized Return: 79%
Buy/Hold Portfolio Value: $4,522.15 (1295 shares owned)
Buy/Hold Profit or (Loss): ($5,477.85)
Buy/Hold Simple Return: -55%
Buy/Hold Annualized Return: -15%
Return on Capital at Risk: 4128.25%
Average % Capital at Risk: 39.87%
Analysis for PMCS
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR QCOM
======= PERFORMANCE =======
Current Portfolio Value: $107,517.40 (216 shares owned)
Profit or (Loss): $97,517.40
Simple Return: 975%
Annualized Return: 62%
Buy/Hold Portfolio Value: $36,752.80 (1256 shares owned)
Buy/Hold Profit or (Loss): $26,752.80
Buy/Hold Simple Return: 268%
Buy/Hold Annualized Return: 30%
Return on Capital at Risk: 2645.96%
Average % Capital at Risk: 36.86%
Analysis for QCOM
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR QLGC
======= PERFORMANCE =======
Current Portfolio Value: $89,837.68 (194 shares owned)
Profit or (Loss): $79,837.68
Simple Return: 798%
Annualized Return: 56%
Buy/Hold Portfolio Value: $48,488.80 (2320 shares owned)
Buy/Hold Profit or (Loss): $38,488.80
Buy/Hold Simple Return: 385%
Buy/Hold Annualized Return: 38%
Return on Capital at Risk: 2257.96%
Average % Capital at Risk: 35.36%
Analysis for QLGC
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR RFMD
======= PERFORMANCE =======
Current Portfolio Value: $195,460.85 (687 shares owned)
Profit or (Loss): $185,460.85
Simple Return: 1855%
Annualized Return: 83%
Buy/Hold Portfolio Value: $35,138.75 (5525 shares owned)
Buy/Hold Profit or (Loss): $25,138.75
Buy/Hold Simple Return: 251%
Buy/Hold Annualized Return: 29%
Return on Capital at Risk: 5395.05%
Average % Capital at Risk: 34.38%
Analysis for RFMD
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR SEBL
======= PERFORMANCE =======
Current Portfolio Value: $89,883.46 (242 shares owned)
Profit or (Loss): $79,883.46
Simple Return: 799%
Annualized Return: 56%
Buy/Hold Portfolio Value: $10,597.37 (1927 shares owned)
Buy/Hold Profit or (Loss): $597.37
Buy/Hold Simple Return: 6%
Buy/Hold Annualized Return: 1%
Return on Capital at Risk: 1768.15%
Average % Capital at Risk: 45.18%
Analysis for SEBL
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR VRSN
======= PERFORMANCE =======
Current Portfolio Value: $137,243.21 (162 shares owned)
Profit or (Loss): $127,243.21
Simple Return: 1272%
Annualized Return: 75%
Buy/Hold Portfolio Value: $7,132.39 (1567 shares owned)
Buy/Hold Profit or (Loss): ($2,867.61)
Buy/Hold Simple Return: -29%
Buy/Hold Annualized Return: -7%
Return on Capital at Risk: 3837.62%
Average % Capital at Risk: 33.16%
Analysis for VRSN
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR VRTS
======= PERFORMANCE =======
Current Portfolio Value: $92,201.74 (170 shares owned)
Profit or (Loss): $82,201.74
Simple Return: 822%
Annualized Return: 57%
Buy/Hold Portfolio Value: $19,458.70 (1538 shares owned)
Buy/Hold Profit or (Loss): $9,458.70
Buy/Hold Simple Return: 95%
Buy/Hold Annualized Return: 15%
Return on Capital at Risk: 2303.12%
Average % Capital at Risk: 35.69%
Analysis for VRTS
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR YHOO
======= PERFORMANCE =======
Current Portfolio Value: $94,534.44 (161 shares owned)
Profit or (Loss): $84,534.44
Simple Return: 845%
Annualized Return: 58%
Buy/Hold Portfolio Value: $13,941.52 (1493 shares owned)
Buy/Hold Profit or (Loss): $3,941.52
Buy/Hold Simple Return: 39%
Buy/Hold Annualized Return: 7%
Return on Capital at Risk: 2778.85%
Average % Capital at Risk: 30.42%
Analysis for YHOO
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
Regards,
Mark
http://www.automaticinvestor.com
I've just finished adding Don Carlson's MACRO AIM algorithm to a test version of Automatic Investor.
Over the next few weeks I plan to run it through my standard set of test cases. In the meantime, to get a feel for how it would work, I ran a few ad-hoc tests and found the results to be VERY good.
I've shown the results of one test, the DOW for the past 5 years, below.
As you can see, MACRO AIM only lost to B&H in 3 cases (JNJ, MMM and WMT). Overall, MACRO AIM came out ahead by $45,570.59 and the average capital at risk was significantly less overall (and in most cases)
Here are the results (warning... they're long).
AUTOMATIC INVESTOR ANALYSIS RESULTS
Total Portfolio Value: $350,975.74
Total Investment: $300,000.00
Simple Return: 16.99%
Buy and Hold Total Value: $305,405.15
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR AA
======= PERFORMANCE =======
Current Portfolio Value: $14,171.10 (339 shares owned)
Profit or (Loss): $4,171.10
Simple Return: 42%
Annualized Return: 7%
Buy/Hold Portfolio Value: $11,148.51 (583 shares owned)
Buy/Hold Profit or (Loss): $1,148.51
Buy/Hold Simple Return: 11%
Buy/Hold Annualized Return: 2%
Return on Capital at Risk: 54.66%
Average % Capital at Risk: 76.31%
======= CONFIGURATION =======
Buy Resistance: 10%
Sell Resistance: 10%
Initial Cash Reserve: 0%
Margin is Disabled
Minimum Purchase: $0.00
Minimum % per Purchase: 5%
Minimum Sale: $0.00
Minimum % per Sale: 5%
Control Increment: 50%
Maximum Cash: 100%
Vealie: 50%
Volumizer is Disabled
Analysis for AA
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR AXP
======= PERFORMANCE =======
Current Portfolio Value: $13,662.56 (235 shares owned)
Profit or (Loss): $3,662.56
Simple Return: 37%
Annualized Return: 7%
Buy/Hold Portfolio Value: $11,108.65 (389 shares owned)
Buy/Hold Profit or (Loss): $1,108.65
Buy/Hold Simple Return: 11%
Buy/Hold Annualized Return: 2%
Return on Capital at Risk: 48.66%
Average % Capital at Risk: 75.27%
Analysis for AXP
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR BA
======= PERFORMANCE =======
Current Portfolio Value: $7,748.94 (204 shares owned)
Profit or (Loss): ($2,251.06)
Simple Return: -23%
Annualized Return: -5%
Buy/Hold Portfolio Value: $7,251.84 (226 shares owned)
Buy/Hold Profit or (Loss): ($2,748.16)
Buy/Hold Simple Return: -27%
Buy/Hold Annualized Return: -6%
Return on Capital at Risk: -23.43%
Average % Capital at Risk: 96.08%
Analysis for BA
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR C
======= PERFORMANCE =======
Current Portfolio Value: $14,072.66 (262 shares owned)
Profit or (Loss): $4,072.66
Simple Return: 41%
Annualized Return: 7%
Buy/Hold Portfolio Value: $12,653.24 (452 shares owned)
Buy/Hold Profit or (Loss): $2,653.24
Buy/Hold Simple Return: 27%
Buy/Hold Annualized Return: 5%
Return on Capital at Risk: 52.29%
Average % Capital at Risk: 77.89%
Analysis for C
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR CAT
======= PERFORMANCE =======
Current Portfolio Value: $6,770.16 (188 shares owned)
Profit or (Loss): ($3,229.84)
Simple Return: -32%
Annualized Return: -8%
Buy/Hold Portfolio Value: $6,770.16 (188 shares owned)
Buy/Hold Profit or (Loss): ($3,229.84)
Buy/Hold Simple Return: -32%
Buy/Hold Annualized Return: -8%
Return on Capital at Risk: -32.30%
Average % Capital at Risk: 100.00%
Analysis for CAT
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR DD
======= PERFORMANCE =======
Current Portfolio Value: $7,769.49 (185 shares owned)
Profit or (Loss): ($2,230.51)
Simple Return: -22%
Annualized Return: -5%
Buy/Hold Portfolio Value: $7,511.89 (197 shares owned)
Buy/Hold Profit or (Loss): ($2,488.11)
Buy/Hold Simple Return: -25%
Buy/Hold Annualized Return: -6%
Return on Capital at Risk: -23.40%
Average % Capital at Risk: 95.32%
Analysis for DD
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR DIS
======= PERFORMANCE =======
Current Portfolio Value: $5,790.10 (380 shares owned)
Profit or (Loss): ($4,209.90)
Simple Return: -42%
Annualized Return: -11%
Buy/Hold Portfolio Value: $5,484.95 (365 shares owned)
Buy/Hold Profit or (Loss): ($4,515.05)
Buy/Hold Simple Return: -45%
Buy/Hold Annualized Return: -12%
Return on Capital at Risk: -45.81%
Average % Capital at Risk: 91.91%
Analysis for DIS
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR EK
======= PERFORMANCE =======
Current Portfolio Value: $5,437.32 (176 shares owned)
Profit or (Loss): ($4,562.68)
Simple Return: -46%
Annualized Return: -12%
Buy/Hold Portfolio Value: $5,046.37 (187 shares owned)
Buy/Hold Profit or (Loss): ($4,953.63)
Buy/Hold Simple Return: -50%
Buy/Hold Annualized Return: -13%
Return on Capital at Risk: -48.60%
Average % Capital at Risk: 93.88%
Analysis for EK
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR GE
======= PERFORMANCE =======
Current Portfolio Value: $14,860.99 (236 shares owned)
Profit or (Loss): $4,860.99
Simple Return: 49%
Annualized Return: 8%
Buy/Hold Portfolio Value: $11,240.20 (468 shares owned)
Buy/Hold Profit or (Loss): $1,240.20
Buy/Hold Simple Return: 12%
Buy/Hold Annualized Return: 2%
Return on Capital at Risk: 67.71%
Average % Capital at Risk: 71.79%
Analysis for GE
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR GM
======= PERFORMANCE =======
Current Portfolio Value: $9,572.49 (177 shares owned)
Profit or (Loss): ($427.51)
Simple Return: -4%
Annualized Return: -1%
Buy/Hold Portfolio Value: $8,202.25 (225 shares owned)
Buy/Hold Profit or (Loss): ($1,797.75)
Buy/Hold Simple Return: -18%
Buy/Hold Annualized Return: -4%
Return on Capital at Risk: -5.07%
Average % Capital at Risk: 84.26%
Analysis for GM
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR HD
======= PERFORMANCE =======
Current Portfolio Value: $17,380.39 (232 shares owned)
Profit or (Loss): $7,380.39
Simple Return: 74%
Annualized Return: 12%
Buy/Hold Portfolio Value: $13,695.76 (531 shares owned)
Buy/Hold Profit or (Loss): $3,695.76
Buy/Hold Simple Return: 37%
Buy/Hold Annualized Return: 7%
Return on Capital at Risk: 113.40%
Average % Capital at Risk: 65.08%
Analysis for HD
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR HON
======= PERFORMANCE =======
Current Portfolio Value: $7,677.13 (270 shares owned)
Profit or (Loss): ($2,322.87)
Simple Return: -23%
Annualized Return: -5%
Buy/Hold Portfolio Value: $5,945.95 (297 shares owned)
Buy/Hold Profit or (Loss): ($4,054.05)
Buy/Hold Simple Return: -41%
Buy/Hold Annualized Return: -10%
Return on Capital at Risk: -28.86%
Average % Capital at Risk: 80.49%
Analysis for HON
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR HWP
======= PERFORMANCE =======
Current Portfolio Value: $9,336.03 (195 shares owned)
Profit or (Loss): ($663.97)
Simple Return: -7%
Annualized Return: -2%
Buy/Hold Portfolio Value: $5,492.35 (315 shares owned)
Buy/Hold Profit or (Loss): ($4,507.65)
Buy/Hold Simple Return: -45%
Buy/Hold Annualized Return: -12%
Return on Capital at Risk: -8.71%
Average % Capital at Risk: 76.22%
Analysis for HWP
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR IBM
======= PERFORMANCE =======
Current Portfolio Value: $15,209.82 (109 shares owned)
Profit or (Loss): $5,209.82
Simple Return: 52%
Annualized Return: 9%
Buy/Hold Portfolio Value: $11,041.30 (195 shares owned)
Buy/Hold Profit or (Loss): $1,041.30
Buy/Hold Simple Return: 10%
Buy/Hold Annualized Return: 2%
Return on Capital at Risk: 74.02%
Average % Capital at Risk: 70.38%
Analysis for IBM
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR INTC
======= PERFORMANCE =======
Current Portfolio Value: $14,182.89 (301 shares owned)
Profit or (Loss): $4,182.89
Simple Return: 42%
Annualized Return: 7%
Buy/Hold Portfolio Value: $7,346.80 (536 shares owned)
Buy/Hold Profit or (Loss): ($2,653.20)
Buy/Hold Simple Return: -27%
Buy/Hold Annualized Return: -6%
Return on Capital at Risk: 63.87%
Average % Capital at Risk: 65.49%
Analysis for INTC
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR IP
======= PERFORMANCE =======
Current Portfolio Value: $8,285.94 (244 shares owned)
Profit or (Loss): ($1,714.06)
Simple Return: -17%
Annualized Return: -4%
Buy/Hold Portfolio Value: $8,163.22 (242 shares owned)
Buy/Hold Profit or (Loss): ($1,836.78)
Buy/Hold Simple Return: -18%
Buy/Hold Annualized Return: -4%
Return on Capital at Risk: -17.59%
Average % Capital at Risk: 97.42%
Analysis for IP
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR JNJ
======= PERFORMANCE =======
Current Portfolio Value: $18,610.04 (205 shares owned)
Profit or (Loss): $8,610.04
Simple Return: 86%
Annualized Return: 13%
Buy/Hold Portfolio Value: $20,209.80 (355 shares owned)
Buy/Hold Profit or (Loss): $10,209.80
Buy/Hold Simple Return: 102%
Buy/Hold Annualized Return: 15%
Return on Capital at Risk: 106.79%
Average % Capital at Risk: 80.62%
Analysis for JNJ
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR JPM
======= PERFORMANCE =======
Current Portfolio Value: $5,880.98 (262 shares owned)
Profit or (Loss): ($4,119.02)
Simple Return: -41%
Annualized Return: -10%
Buy/Hold Portfolio Value: $4,820.20 (291 shares owned)
Buy/Hold Profit or (Loss): ($5,179.80)
Buy/Hold Simple Return: -52%
Buy/Hold Annualized Return: -14%
Return on Capital at Risk: -47.33%
Average % Capital at Risk: 87.02%
Analysis for JPM
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR KO
======= PERFORMANCE =======
Current Portfolio Value: $9,691.42 (183 shares owned)
Profit or (Loss): ($308.58)
Simple Return: -3%
Annualized Return: -1%
Buy/Hold Portfolio Value: $9,350.48 (184 shares owned)
Buy/Hold Profit or (Loss): ($649.52)
Buy/Hold Simple Return: -6%
Buy/Hold Annualized Return: -1%
Return on Capital at Risk: -3.37%
Average % Capital at Risk: 91.45%
Analysis for KO
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR MCD
======= PERFORMANCE =======
Current Portfolio Value: $9,530.23 (324 shares owned)
Profit or (Loss): ($469.77)
Simple Return: -5%
Annualized Return: -1%
Buy/Hold Portfolio Value: $7,620.55 (435 shares owned)
Buy/Hold Profit or (Loss): ($2,379.45)
Buy/Hold Simple Return: -24%
Buy/Hold Annualized Return: -5%
Return on Capital at Risk: -6.23%
Average % Capital at Risk: 75.42%
Analysis for MCD
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR MMM
======= PERFORMANCE =======
Current Portfolio Value: $13,570.20 (98 shares owned)
Profit or (Loss): $3,570.20
Simple Return: 36%
Annualized Return: 6%
Buy/Hold Portfolio Value: $13,758.40 (120 shares owned)
Buy/Hold Profit or (Loss): $3,758.40
Buy/Hold Simple Return: 38%
Buy/Hold Annualized Return: 7%
Return on Capital at Risk: 37.29%
Average % Capital at Risk: 95.75%
Analysis for MMM
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR MO
======= PERFORMANCE =======
Current Portfolio Value: $9,238.36 (222 shares owned)
Profit or (Loss): ($761.64)
Simple Return: -8%
Annualized Return: -2%
Buy/Hold Portfolio Value: $8,938.60 (244 shares owned)
Buy/Hold Profit or (Loss): ($1,061.40)
Buy/Hold Simple Return: -11%
Buy/Hold Annualized Return: -2%
Return on Capital at Risk: -7.65%
Average % Capital at Risk: 99.56%
Analysis for MO
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR MRK
======= PERFORMANCE =======
Current Portfolio Value: $12,679.85 (156 shares owned)
Profit or (Loss): $2,679.85
Simple Return: 27%
Annualized Return: 5%
Buy/Hold Portfolio Value: $11,038.33 (249 shares owned)
Buy/Hold Profit or (Loss): $1,038.33
Buy/Hold Simple Return: 10%
Buy/Hold Annualized Return: 2%
Return on Capital at Risk: 35.92%
Average % Capital at Risk: 74.61%
Analysis for MRK
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR MSFT
======= PERFORMANCE =======
Current Portfolio Value: $18,310.39 (136 shares owned)
Profit or (Loss): $8,310.39
Simple Return: 83%
Annualized Return: 13%
Buy/Hold Portfolio Value: $13,103.62 (299 shares owned)
Buy/Hold Profit or (Loss): $3,103.62
Buy/Hold Simple Return: 31%
Buy/Hold Annualized Return: 6%
Return on Capital at Risk: 130.52%
Average % Capital at Risk: 63.67%
Analysis for MSFT
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR PG
======= PERFORMANCE =======
Current Portfolio Value: $13,647.51 (154 shares owned)
Profit or (Loss): $3,647.51
Simple Return: 36%
Annualized Return: 7%
Buy/Hold Portfolio Value: $12,805.75 (145 shares owned)
Buy/Hold Profit or (Loss): $2,805.75
Buy/Hold Simple Return: 28%
Buy/Hold Annualized Return: 5%
Return on Capital at Risk: 38.61%
Average % Capital at Risk: 94.47%
Analysis for PG
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR SBC
======= PERFORMANCE =======
Current Portfolio Value: $9,718.83 (235 shares owned)
Profit or (Loss): ($281.17)
Simple Return: -3%
Annualized Return: -1%
Buy/Hold Portfolio Value: $7,464.25 (345 shares owned)
Buy/Hold Profit or (Loss): ($2,535.75)
Buy/Hold Simple Return: -25%
Buy/Hold Annualized Return: -6%
Return on Capital at Risk: -3.68%
Average % Capital at Risk: 76.34%
Analysis for SBC
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR T
======= PERFORMANCE =======
Current Portfolio Value: $6,934.48 (224 shares owned)
Profit or (Loss): ($3,065.52)
Simple Return: -31%
Annualized Return: -7%
Buy/Hold Portfolio Value: $3,616.38 (314 shares owned)
Buy/Hold Profit or (Loss): ($6,383.62)
Buy/Hold Simple Return: -64%
Buy/Hold Annualized Return: -19%
Return on Capital at Risk: -41.20%
Average % Capital at Risk: 74.40%
Analysis for T
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR UTX
======= PERFORMANCE =======
Current Portfolio Value: $15,912.76 (169 shares owned)
Profit or (Loss): $5,912.76
Simple Return: 59%
Annualized Return: 10%
Buy/Hold Portfolio Value: $15,175.99 (289 shares owned)
Buy/Hold Profit or (Loss): $5,175.99
Buy/Hold Simple Return: 52%
Buy/Hold Annualized Return: 9%
Return on Capital at Risk: 78.16%
Average % Capital at Risk: 75.65%
Analysis for UTX
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR WMT
======= PERFORMANCE =======
Current Portfolio Value: $24,247.78 (221 shares owned)
Profit or (Loss): $14,247.78
Simple Return: 142%
Annualized Return: 20%
Buy/Hold Portfolio Value: $28,714.60 (555 shares owned)
Buy/Hold Profit or (Loss): $18,714.60
Buy/Hold Simple Return: 187%
Buy/Hold Annualized Return: 24%
Return on Capital at Risk: 229.75%
Average % Capital at Risk: 62.01%
Analysis for WMT
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
AUTOMATIC INVESTOR HISTORICAL ANALYSIS FOR XOM
======= PERFORMANCE =======
Current Portfolio Value: $11,074.90 (263 shares owned)
Profit or (Loss): $1,074.90
Simple Return: 11%
Annualized Return: 2%
Buy/Hold Portfolio Value: $10,684.76 (323 shares owned)
Buy/Hold Profit or (Loss): $684.76
Buy/Hold Simple Return: 7%
Buy/Hold Annualized Return: 1%
Return on Capital at Risk: 12.01%
Average % Capital at Risk: 89.48%
Analysis for XOM
Start of Period: 05-Oct-97
End of Period: 05-Oct-02
Regards,
Mark
http://www.automaticinvestor.com
Hello Tom,
Very interesting article. Thanks for the link.
Regards,
Mark
http://www.automaticinvestor.com
Hello Don/Qarel,
Has either of you tested MACRO AIM in non-bubble/bust time periods?
Regards,
Mark
http://www.automaticinvestor.com
Hello Conrad,
"Why then not simply express the AIM Yield using the average invested capital, excluding the reserve? That is what I do, at least, I always point out that with this method the Real AIM Yield is usually 30% or more higher that the Conservative Yield."
What you've just described is Tom Veale's ROCAR (Return on Capital At Risk). This is a valid measure, however, there needs to be an asterix (*) beside the ROCAR return because the funds that were held in risk-free cash COULD HAVE BEEN REQUIRED. It turned out that they weren't, however they could have been needed.
This means that you couldn't simply use the funds to purchase, say, a boat (as you could in an investment system where the outcome simply depended on how much you had invested in stocks at that instant) because if those funds were needed you wouldn't have them to plug into the algorithm and see the big return.
Having said that, however, I believe that ROCAR is a good indicator of the actual risk that your portfolio had over the relevant period and shows, in hindsight, how hard the money you actually invested in stocks worked for you.
Regards,
Mark
http://www.automaticinvestor.com
Hello Karw,
Three things strike me about Richard's comments. First...
"which means that in the declining market you are transferring ever smaller amounts of cash to the purchase of shares -- the values of which are continuing to decline."
This comment shows that he doesn't quite understand the AIM concept because he's thinking in terms of number of shares rather than equity value.
Secondly...
"There will come a time when even the thought of actually doing what may be THEORETICALLY required will make you want
to vomit."
That's exactly the time when you need to put your emotions aside and follow AIM's advice. That's exactly the power of any mechanical system, not just AIM.
What Richard is suggesting seems to indicate that he thinks nobody has enough faith in any automated system to follow it during the bad times.
However by not following it, he's actually implying a system is being followed -- that is a gut-feeling, emotion driven system. And following that system is what will cause losses and, in Richard's own words, "drive you from the markets forever." On the other hand, following AIM (and going against your lurching stomach) would make you money when the markets recovered.
And finally...
"I have been in the investment business for more than 40 years and I have yet to find a single individual who completes what they started out to do."
Is he saying that he hasn't completed what he started out to do after 40 years (i.e. he hasn't helped anyone who gave him money to manage or asked his advice)? Or is his statement meant just for everyone else, excluding himself?
Seems to me that Richard is giving misleading advice because he doesn't understand the AIM concept as well as he thinks he does AND his logic is very, very bad.
I hope Peter didn't listen to his "advice."
Regards,
Mark
http://www.automaticinvestor.com
P.S.
I can't help but wonder what Richard's advice would be to someone trying to lose weight. It would probably be something along the lines of, "Well Pete, to accomplish your goal you need to eat sensibly and exercise regularly. However there will come a time when even the thought of actually doing what may be THEORETICALLY required will make you want to vomit... and I have yet to find a single individual who completes what they started out to do." So in Richard's world everyone is fat and eats terribly.
Hello Keith,
"In my thinking you are saying that Lichello perfected his system until you get to the update, How can this be?"
No, I don't think Lichello perfected his system except for the update frequency. As I've said before, I don't think Lichello came up with the ultimate system using a pencil and paper and getting his quotes from a newspaper. As Don stated, "This computerized study probably exceeds the analysis that Lichello accomplished over several years and 4 books." I agree with this statement.
My apologies if I wasn't too clear, but I was speaking in the context of AIM modifications (such as Don's MACRO AIM and the Volumizer).
I believe these modifications significantly improve standard Lichello AIM. However when testing a broad variety of stocks, the standard Lichello Settings of 10/10/5 appear to work the best with all of the modifications I've tried (I haven't yet tested MACRO AIM). So if you wanted to diversify over a number of different types of stocks, and you wanted to use the same settings for each portfolio, then 10/10/5 would appear to work best.
Back when I started looking at modifications, I thought some values other than 10/10/5 would be the best, but the best results always came back to these standard settings.
On the other hand, if we look at a specific type (or category) of stock, those that exhibit a certain pattern or behaviour, then changing the standard settings seems to improve results -- that's the basis of Automatic Investor's optimizer.
So my conclusions are as follows:
1. Standard AIM (out of the box, so to speak) vastly underperforms Buy and Hold.
2. There are modified versions of AIM that consistently outperform Buy and Hold (and thus standard AIM).
3. For the general cases, the standard lichello settings of 10/10/5 work the best in the modified AIM variations.
4. For specific cases, you can tune the settings to values other than 10/10/5. Your results usually improve significantly.
5. Updating more frequently is better over the long-term.
6. Starting with 100% invested in equity is better, unless the IW has all its components in or near the high-risk zone.
7. For maximum efficiency, we should diversify by creating a separate portfolio for each type of stock (e.g. one for Internet stocks, tech stocks, healthcare, pharmaceuticals, gold, etc.) and tune the parameters for each portfolio.
If, however, we're trying to determine which AIM variation is the best, then we need to use a set of standard settings over our test cases and time periods. The best one (that I've been able to come up with) is 10/10/5. That way we eliminate three variables from the test case.
Also, people tend to frown on cases where you have to tune parameters to beat buy and hold. If you can show that, for example, a modified version of AIM beat B&H over the last 7 years on the DOW or NASDAQ using the standard settings, that carries more weight than saying you beat B&H but had to tune the parameters.
After people become comfortable with the strategy, then you can say, "well, if you think those results were impressive, wait until you separate the DOW's stocks and tune the parameters for each type." At that point they've seen the advantages and are more open to listening to further tweaks.
My goal has been to produce an AIM variant that will, in its default configuration, consistently beat B&H over the long-term using blue-chip stocks and indicies. That will show people that the strategy works.
But would I use it in its default configuration for my own investments? Nope. Rather I'd tune it to wring out the best returns. And I'd add some less-than-blue-chip stocks that have better AIM characteristics. Why? Because I believe AIM will manage the risk AND I want to see better than average returns -- but not everyone is comfortable with doing this.
Regards,
Mark
http://www.automaticinvestor.com
Hello Don,
Thanks for the post. That is some of the most complete information on AIM I've seen posted anywhere outside of Tom's site.
Interestingly enough, most of your results agree with what I've seen in my testing.
1. Buy and Sell Safes: I've found that values close to the 10/10 Lichello default work best over the widest variety of stocks and timeframes.
2. Portfolio Control Increment: 50% seems to be the best value.
3. Minimum Percent per Transaction: This differs from your results. I find values of approximately 5% do best. 10% values appear to reduce performance.
4. Initial Investment %: I've found that 100% in equities usually wins the day in the general case. However Tom Veale's IW is interesting. It has an uncanny ability to predict market bottoms and tops. It doesn't do this very often, but when it does, it works very well. I still think that 100% should be invested in equities when starting a new portfolio, UNLESS all of the IW components are in agreement. If they're all showing low risk, then 100% is the way to go. If they're all aligned at high risk, then perhaps 50% (or lower) is the way to go.
5. Frequency of updating: As you mention, in a bear market you face the distinct possibility of running out of cash before the market bottom if you update too frequently. However over the long term (i.e. 7+ years) my results show, for most cases, that daily updating is better (even if you run out of cash for a year or so) than weekly, monthly or quarterly updates.
6. IW: This is a very useful tool in some situations -- see comments in point 4.
From your results, it appears that standard MACRO AIM is the best performer with MACRO MattMOD AIM close behind. Is this true? Did you find cases where MACRO MattMOD AIM significantly outperformed standard MACRO AIM?
Once again, I'm impressed with your work. Thanks for posting it.
Regards,
Mark
http://www.automaticinvestor.com
Hello LH,
I've not heard of that technique before. It seems to me that we would want the highest returns possible and therefore not want to diversify by return.
Perhaps what he's doing is trying to diversify by safety and using returns as a proxy for safety (or a gauge of safety). In other words he's implicitly stating that a lower return equates with less risk and vice versa.
If that's not his reason, then I would have difficulty seeing why he would want to acheive lower returns if the risks were the same.
If that's the reason, then I would say that return is certainly one component of safety, but there are others he should be looking at.
For those who haven't already seen it, here's an article that talks about diversifying with Modern Portfolio Theory --> http://www.automaticinvestor.com/articles/mpt.html
And here's another that talks about diversifying your investment strategies --> http://www.automaticinvestor.com/articles/superhero.html (this one was in a past issue of the Automatic Investor eGazette, if you're not already a subscriber you can sign up here for free --> http://www.automaticinvestor.com/eletter.html )
Regards,
Mark
http://www.automaticinvestor.com
Hello Leap,
Congratulations on your new daughter. Sounds like the real work is just about to begin.
Regards,
Mark
http://www.automaticinvestor.com
Hi Again Leap,
"If we were to go back in time let's say to 1964 when the Beatle's landed at JFK on a PAN AM jet, what probability do you think the long term investor would have assigned to the now bankrupt PAN-AM."
On the other hand, it's much more difficult to determine the probability of bands being around. Here are some probabilities I'd have assigned to acts from 1964 being around in 2002:
Beatles: high.
Rolling Stones: low.
Tina Turner: low.
Cher: low.
Supremes: high.
Martha and the Vandellas: medium.
Mary Wells: medium.
Lesley Gore: medium.
Helen Reddy: medium.
Betty Everett: medium.
Ronnettes: medium.
Roy Orbison: high.
Del Shannon: high.
Gene Pitney: high.
Everly Bros. high.
Drifters: high.
I'm just glad I don't have to invest in show biz acts ;0)
Regards,
Mark
http://www.automaticinvestor.com
Hello Leap,
"If we were to go back in time let's say to 1964 when the Beatles landed at JFK on a PAN AM jet, what probability do you think the long term investor would have assigned to the now bankrupt PAN-AM?"
I'd say the assigned probability of PAN-AM not going bankrupt would have been fairly high, but not 100% (it's a similar situation to Lucent). But diversification (e.g. also investing in other major airlines) would have protected the majority of assets.
However if we go back to a more recent time, let's say to 1998, I think we could say that the probability of IBM going out of business in 2002 was MUCH lower than the probability of PeaPod.com going out of business in 2002.
To put it another way, if I had to bet my life savings and all my future earnings on just ONE company (i.e. invest everything I have in their shares now and invest all my additional earnings in them for the next 10 years, and then sell everything in exactly 10 years and 1 day), which company would I choose?
Would it be a GE or IBM or would it be a DCLK or CMGI?
Personally I'd choose one of the former two because I think they have a greater probability of being profitable (not to mention solvent) in 10 years.
That's why I think you can assign general probabilities to stocks if you perform the appropriate due diligence. On the other hand, this has to be combined with diversification in order to reap as much protection as possible.
I do agree with you that AIMing index funds (providing they're volatile enough) is a good way to go, for some investors, because they provide diversification and usually (depending on the index) some form of due diligence built right in.
Thanks for your thoughts, the discussion on this board has really picked up in the past two weeks. If we ever get to 1000 posts I'll have to take a page from Tom Veale's book and offer an Automatic Investor version of his Secret Decoder Ring (SDR).
Regards,
Mark
http://www.automaticinvestor.com
Hello Leap,
"It is my sincere belief that due diligence is akin to the fountain of youth. Search as you might, it will never be found."
I'd agree that you can never be 100% certain of a stock, however if you do your due dilligence correctly you can effectively assign probabilities to your stocks. For example, the probability of IBM going bankrupt is much less than the probability of DCLK going bankrupt. Therefore I don't believe that due diligence is akin to the fountain of youth, rather it is quite achievable.
"If anyone on this board believes that Lucent would have been considered a risky investment just a few short years ago, they are only kidding themselves."
Yes, of course you will have surprises even after your best due diligence efforts. However that's where diversification comes into play. You can minimize the risk you face in a specific company by diversifying appropriately.
At the end of the day, I believe that due diligence is the NUMBER ONE factor to consider when investing for the long-term. Short-term investing is a different game altogether. You don't have to perform any due diligence when you're in and out of a stock in a matter of hours.
"The tax penalty that should be added to all copmparisions of AIM vs. buy and hold."
Yes, this must be taken into account along with commissions. However we must also remember that even Buy and Holders must pay tax when they sell their shares. In Canada, for example, Buy and Holders simply defer their taxes (which is an advantage, but B&H does not eliminate taxes).
In addition, it depends on the type of account you're AIMing. Retirement accounts also allow tax to be deferred regardless of trading activity.
Regards,
Mark
http://www.automaticinvestor.com
Hello Leap,
That's a good idea. However I don't want the iBox header to be too long, so I'll probably set up a Web page and include a link to it in the iBox.
Anyone who has an acronym they think should be included, please post it here. Once we have enough I'll set up the Web page and add the link to the header.
Regards,
Mark
http://www.automaticinvestor.com
Hello Leapyear,
I've also read that book (and a few others like it).
"One of idea that is reinforced throughout the book is the mantra of never adding to a losing position."
I believe the reason for this statement has to do with the time traders expect to be in the market. If a trader takes a position, he'll usually have an exit price in mind as well as a stop.
If the price goes below his stop, he'll get out rather than averaging down (i.e. adding to a losing position). This makes complete sense when you're dealing with a timeline of minutes, hours or days.
However when dealing with a timeline of years, the question becomes, "what defines a losing position?"
If the stock falls by 10% in 2 months and then rebounds and rises by 20% above what you paid for it a year later, is that a losing position? Most would say no? However if your timeline was 2 months, it would be a losing position.
Since AIM is a long-term strategy, your timeline should be years, not months, weeks or days. Therefore it makes sense to add to a position when the price falls (because at the end of your timeline, it isn't a losing position -- i.e. you expect the price will not stay down over the course of a few years).
Unfortunately too many AIMers think of AIM as a way to make short-term profits. Sometimes it does this, but that's not its basic intent.
The other thing some AIMers do is forget that they need to use the highest quality equities. AIM will work with lower-quality equities, but using them will significantly increase your risk over the long-term.
Putting these two things together illustrates how AIM can be used incorrectly. By taking a short-term view and thus thinking that an equity's long-term health doesn't matter, means that you can end up losing alot of money. However if you take a long-term view and perform your due-dilligence correctly, you can make money and reduce your risk.
I've run some tests where a model doesn't trade for 15 months (or sometimes longer). Yet at the end of the period, the returns are significantly better than B&H.
Now if your AIM account didn't issue a recommendation for 15 months would you start to feel uneasy? Most of us would because we like to see some "action." However that's not keeping with AIM's fundamentals. So when we try to optimize the algorithm, we need to optimize it based on the long-term, not the short-term.
"Maybe we should be looking at the reciprical of AIM? Buy on the way up, sell on the way down."
This might be a good strategy, but it isn't AIM. It might work well as a short-term trading strategy (although I haven't tested it). However I think the strategy would be similar to some trend following methods currently out there.
Nonetheless it is an interesting thought. If you do something with it I'd like to hear about your results.
Regards,
Mark
http://www.automaticinvestor.com
Hello Matt,
Your MattMod variation will be included in the next AI 2.0 update. I like it very much. It's so simple that I'm still amazed nobody thought of it before you came up with the idea.
I'll send you a PM when everything is ready to go.
Regards,
Mark
http://www.automaticinvestor.com
Hello Banjanxed,
I've looked at quite a few AIM variants over the past few years. Unfortunately most have not panned out because they either only worked for a select group of equities or they required so much tuning that AIM's simplicity was completely removed.
The MattMod method will be added to the next AI 2.0 update (it'll be free for all registered AI 2.0 users). I've already been testing it in an Alpha version of the update.
Don's MACRO does indeed look very promising, However I'll have to look at it more closely and run it through the standard tests to see how it fares -- however I see that Don has already done some significant testing, so that should make my life much easier.
I'm also working on a modification that uses the W%R, so there is the potential to have a number of options in upcoming Automatic Investor updates.
However one of AI's goals is ease-of-use. Therefore I'm considering a number of ways to incorporate the various modifications. I've already included Models as a way to handle different tuning parameters (e.g. as described in Lichello's original, 3rd and 4th editions). Now I'm thinking of expanding that concept to encompass the different options (this is already done with the Volumizer).
Ideally, an AI user would simply pick a Model based on the type of equities he's holding and go from there. This would eliminate the need for him to tune the parameters and/or choose the various modifications. However I'd still like some way to allow the real tinkerers to build their own Models. Perhaps an advanced configuration Window will be the answer.
So there are improvements just around the corner.
Regards,
Mark
http://www.automaticinvestor.com
Hello Jack,
Very nice to hear from you. When I started writing Automatic Investor, a few years ago, I spent a great deal of time at your thinkalong site.
I was especially interested in your learning AIM.
This board is meant as a forum to discuss general AIM improvements (some improvements might end up in Automatic Investor) rather than a forum for a particular implementation of AIM. However if you have ideas from your open source Java AIM engine, please feel free to bounce them around here.
I think there's an abundance of very competent AIM tweakers reading this board.
I'm looking forward to reading about your ideas.
Regards,
Mark
http://www.automaticinvestor.com
Hello leapyear,
"By this I mean that the market should dictate if the update is Daily, Weekly or Monthly."
This is a good idea. However implementing it so that it works consistently is very difficult.
Since the risk of more frequent updates is that you'll run out of cash (as well as buy too soon), one idea might be to incorporate Tom Veale's Idiot Wave into the update frequency. When the IW components are all showing low-risk, you increase your update frequency. When they're all showing high-risk, you decrease your update frequency. When they're in the middle, you do something else (that'll be the difficult part).
If you have any other implementation thoughts, I'd certainly like to hear about them.
Regards,
Mark
http://www.automaticinvestor.com
Hello Don,
Your work is quite thorough, as usual.
A few months ago I added the MattMod to an Alpha version of the next AI 2.0 update and have been testing it. It has been quite impressive with some stocks and not so impressive with others.
When teamed with the Volumizer it appears to work very well in some cases and not so well in others.
This leads me to the conclusion that it is not the cure-all for ANY stock. However it does tend to improve safety of capital AND it does beat standard AIM in the majority of cases.
Therefore I've decided to put it into the next update of AI 2.0. It will be implemented as a switch that you can either turn on or off (this will be a free update for registered AI 2.0 users).
Next on my list are your enhancements, specifically MACRO AIM. Can you send me the algorithm details via email. I'll add it to an internal version of AI 2.0 and start testing it. From what I've seen so far, your ideas have significant potential.
Regards,
Mark
http://www.automaticinvestor.com