Saturday, May 10, 2014 3:21:49 PM
Hi everyone, I am still alive!
Among Other things I have been struggling to get Windows 7 functioning properly. . .No success yet. Some errors prevent me to download some drivers(scanning and sound and Printing)
Also O have an Error that causes the MS Back-up not to work. . .I have been ”suffering” this for 1,5 months now.
****************************
All the time I have continued running some 3 Demo's on the SP500 SPY, and on a set of Dutch Penny. . . a Calamity portfolio. . .just for Fun, since 03-01-2011 foe SPY to today, with VORTEX, trying to get an optimized strategy using our Optimization Program. . .(only Dutch language so far). People interested could buy a Copy of it for € 100 and experience the development as we go, getting free Updates.
SPY has not show a great deal of volatility and has been steadily rising in value these 3.5 years. . .resulting in the performance for which Buy & Hold Method would have been better, if I had used the simple ROI Yield Calculation. . .as some of you use: The ROI Method without considering a variable amount of Investment that over the years applies.
My approach was as follows, as of 03-01-2011 with $ 20000 Inlay:
Parameters are
* Cash Fraction = 0,72
* Buy Threshold = 7%
* Sell Threshold = 7%
* Buy Aggression = 0,8
* Sell Aggression = 0,6 . . .This means that I buy more aggressively than I sell, which drives the Portfolio towards Share Accumulation (Increasing Equity Value).
If I reverse the Aggression Factors then that drives the Portfolio towards Liquidation (This interesting if it is to generate cash income).
1) January 2011 I started with Parameters more or less as I had found best the previous periods with a volatile SPY. As the time goes on. . .during say 6 months or so I monitor the volatility and if it proves to be too low I lower the Buy-Sell Thresholds a bit and at 6 months or so I run an optimization with VOP. . .Vortex Optimization Program . . . on the last 6 months history and then I resets the Vortex parameters for optimized Yield %.
The Cash Fraction can then be rebalanced to suit, if judged necessary. I use my "fingerspietzing-geful" for that
.
The Vortex Program also allows for adding Cash at any time and adjusts the total investment to an Period Average that as the Investment for the period. The Optimization Process uses a fixed CER that is started with for that Run.
2) After this a new Staring condition is defined for VOP. . . Essentially the Test Portfolio is Reset to a New Start Condition for the Next Optimization Run. The Vortex Portfolio itself runs from the Starting Date. Trading costs and Interest on Cash are accounted for in Vortex but also in the VOP. . . This prevents the yield to be suppressed by too frequent trading!
Starting Price = $ 127,05
3) Results after 6 months:
At the start volatility was much lower than expected and was adjusted manually to
Buy = 3 %
Sell = 4%. . .Aggressions unchanged.
The subsequent VOP Run showed it should have bee around 5%. . .I had a snappy Trigger Finger J
Share Price = $ 137,4
Share Price Gain = 9,91% but for 1 year that is 18,02 %
ROTAC Yield = 6,68% Annually
This is based on Total Averaged Cash Inlay. . .which remains in this case at $ 20000, but If I had added $ 10000 at the 3-month point the capital base would be $ 30000 but for the yield calculation @ 6 month it would be [20000*3 + 10000*3]/6 = $90000/6 = $ 15000 for the 6-month average. In this case ANY cash injection is treated as an Cash Inlay and any withdrawal is treated as a Negative Inlay. I prefer this way as it models The real World Investment Environment.
ROTAI Yield = 14,01 % Annually
This is based on only The Money for which shares are bought and expenses required to maintain the investment. If shares are sold the investment base gets smaller. If cash is added or taken out NOTHING changes except the Yield on the Cash gets higher or lower.
The Cash in itself is NOT at RISK an is not treated as an investment for Equity. Obviously this method. . . .very similar to the ROCAR that some AIMers use but it is more realistic and is automatically calculated for the Portfolio.
Interesting to note that the trading cost in the first 6 months has reduced a Buy & Hold Yield by about 8 % compared to the ROI Method [In this example I had a constant € 20000 Cash Inlay]. Any AIM-trader would have had pay the same trading fees as the Vortex AIMer, so regular AIMer with the ROI @ say 12 % would overstate the ROI Yield which actually was about 10%.
With the 14% ROTAI Yield the really shows that the Vortex AIM Method created an actual Yield Improvement due to intermediate trading on price changes. . .in spite of the trading costs. . .by using
Buy Low Sell High
Frequently.
Of course, experienced AIMers know al this t and accept the risk of underperformance relative to the Buy & Hold Method.
I made a point of it here for Newcomers to AIMing that might find the Vortex Method an interesting alternative Automatic Investment Program that has an extensive Portfolio Administration Section for managing the investment.
More Results till 2014 in the next posting.
Among Other things I have been struggling to get Windows 7 functioning properly. . .No success yet. Some errors prevent me to download some drivers(scanning and sound and Printing)
Also O have an Error that causes the MS Back-up not to work
. . .I have been ”suffering” this for 1,5 months now. ****************************
All the time I have continued running some 3 Demo's on the SP500 SPY, and on a set of Dutch Penny. . . a Calamity portfolio. . .just for Fun, since 03-01-2011 foe SPY to today, with VORTEX, trying to get an optimized strategy using our Optimization Program. . .(only Dutch language so far). People interested could buy a Copy of it for € 100 and experience the development as we go, getting free Updates.
SPY has not show a great deal of volatility and has been steadily rising in value these 3.5 years. . .resulting in the performance for which Buy & Hold Method would have been better, if I had used the simple ROI Yield Calculation. . .as some of you use: The ROI Method without considering a variable amount of Investment that over the years applies.
My approach was as follows, as of 03-01-2011 with $ 20000 Inlay:
Parameters are
* Cash Fraction = 0,72
* Buy Threshold = 7%
* Sell Threshold = 7%
* Buy Aggression = 0,8
* Sell Aggression = 0,6 . . .This means that I buy more aggressively than I sell, which drives the Portfolio towards Share Accumulation (Increasing Equity Value).
If I reverse the Aggression Factors then that drives the Portfolio towards Liquidation (This interesting if it is to generate cash income).
1) January 2011 I started with Parameters more or less as I had found best the previous periods with a volatile SPY. As the time goes on. . .during say 6 months or so I monitor the volatility and if it proves to be too low I lower the Buy-Sell Thresholds a bit and at 6 months or so I run an optimization with VOP. . .Vortex Optimization Program . . . on the last 6 months history and then I resets the Vortex parameters for optimized Yield %.
The Cash Fraction can then be rebalanced to suit, if judged necessary. I use my "fingerspietzing-geful" for that
. The Vortex Program also allows for adding Cash at any time and adjusts the total investment to an Period Average that as the Investment for the period. The Optimization Process uses a fixed CER that is started with for that Run.
2) After this a new Staring condition is defined for VOP. . . Essentially the Test Portfolio is Reset to a New Start Condition for the Next Optimization Run. The Vortex Portfolio itself runs from the Starting Date. Trading costs and Interest on Cash are accounted for in Vortex but also in the VOP. . . This prevents the yield to be suppressed by too frequent trading!
Starting Price = $ 127,05
3) Results after 6 months:
At the start volatility was much lower than expected and was adjusted manually to
Buy = 3 %
Sell = 4%. . .Aggressions unchanged.
The subsequent VOP Run showed it should have bee around 5%. . .I had a snappy Trigger Finger J
Share Price = $ 137,4
Share Price Gain = 9,91% but for 1 year that is 18,02 %
ROTAC Yield = 6,68% Annually
This is based on Total Averaged Cash Inlay. . .which remains in this case at $ 20000, but If I had added $ 10000 at the 3-month point the capital base would be $ 30000 but for the yield calculation @ 6 month it would be [20000*3 + 10000*3]/6 = $90000/6 = $ 15000 for the 6-month average. In this case ANY cash injection is treated as an Cash Inlay and any withdrawal is treated as a Negative Inlay. I prefer this way as it models The real World Investment Environment.
ROTAI Yield = 14,01 % Annually
This is based on only The Money for which shares are bought and expenses required to maintain the investment. If shares are sold the investment base gets smaller. If cash is added or taken out NOTHING changes except the Yield on the Cash gets higher or lower.
The Cash in itself is NOT at RISK an is not treated as an investment for Equity. Obviously this method. . . .very similar to the ROCAR that some AIMers use but it is more realistic and is automatically calculated for the Portfolio.
Interesting to note that the trading cost in the first 6 months has reduced a Buy & Hold Yield by about 8 % compared to the ROI Method [In this example I had a constant € 20000 Cash Inlay]. Any AIM-trader would have had pay the same trading fees as the Vortex AIMer, so regular AIMer with the ROI @ say 12 % would overstate the ROI Yield which actually was about 10%.
With the 14% ROTAI Yield the really shows that the Vortex AIM Method created an actual Yield Improvement due to intermediate trading on price changes. . .in spite of the trading costs. . .by using
Buy Low Sell High
Frequently.
Of course, experienced AIMers know al this t and accept the risk of underperformance relative to the Buy & Hold Method.
I made a point of it here for Newcomers to AIMing that might find the Vortex Method an interesting alternative Automatic Investment Program that has an extensive Portfolio Administration Section for managing the investment.
More Results till 2014 in the next posting.
Conrad Winkelman
What is Vortex AIMing? Look for my Vortex Discussion Forum:
http://investorshub.advfn.com/boards/board.asp?board_id=1341
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