Hi Jibes,
A bell is ringing. I remember now what you did on your spreadsheet with the factors but these were two constants, and then you adjusted these constants with a percentage change of the price. I also remembered that the yield was quite good and very similar to Vortex for your optimized factors. For the specific Vortex optimizations I did your yield was even a bit higher but I did not exhaust the optimization possibilities.
If you have changed your structure recently I did not get it yet. You can send me a new spread to
eng@vortex.demon.nl
In regards to explaining Vortex I have recently done so. It is ridiculously simple. I quote from the recent post # 9015:
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So, the VORTEX Method is nothing more than a formalization of my gut-feeling AIM trading but with an accelerated trading action:
PC1=SV1
Market Order= (PC1-SV2)*M = Buy(or a Sell)
SV3=SV2+ Buy
PC2=SV3
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That is it. Nothing more!
With a simple functional relation between the aggression factor that calculates the Multiplier and price structure I would essentially also vary the Multiplier for each trade. Such a scheme may indeed prove to be an advantage as the modification would be better tuned to the need of the moment, especially if the trading range is not well defined.
But you raised a good point: What would be a fundamental optimal function for this relationship? In order to answer this one would need to formulate the question as to how the Portfolio yield over the optimization period is dependent on the specific trade sizes for deviating ups and downs. In my view the answer is provided by gut-feeling: For the lowest Dip you exhaust the cash while all the cash should be conserved for the few trades on the lower trading range band. On the topside a similar objective. This is essentially the Exponential Delay Factor as I explained earlier. The idea is that you capture volatility and frequency as a combination. The optimum parameters would again be a matter of trial and error selection.
My conclusion was that your system(You called it New Aim) is almost completely identical to Vortex except that with your added percentage factor influence the Multiplier is a variable, driven by the price changes rather than a constant as it is for Vortex. Your method could increase the effectiveness of the trading relative to the Vortex Method. Vortex does not change the factor between optimizations.
On the other hand the idea I have for optimization is to do it rather frequently(ideally every month or so) on the basis of the current trading range. Conceptually I would then move with the flow , so to speak, but I have not yet implemented such an automatic procedure. Manual optimization is a brain cracker. It also requires that the stock is in a trading range rather than on a long rally or a deep dive.
AI
