AI
Monday, June 08, 2020 6:14:37 PM
Experimenting with using AIM as a pure portfolio trade engine.
Combined the UK FT250 (UK mid cap, small cap in US scale) price only index, with US S&P500 index in Pound adjusted price only terms (dividends excluded), rebalanced once yearly at end/start of the tax year back to 50/50 weightings. That portfolio/index provides the source 'Price' input into standard AIM.
AIM run with 50/50 stock/cash initial settings (cash % is actually irrelevant here as we'd still generate/record a AIM buy signal even if cash were negative, we're just looking at pure AIM trade signals here), 10% SAFE, 10% minimum trade size. Each time AIM trades the trade is recorded as the percentage amount of current stock value to be traded (rather than the more usual $ amount to be traded). Again no dividends or cash interest considered.
With those trades ... date and % of stock value to buy/sell data recorded as per the image below, I mapped out a tactical play of .... Start with 100% stock. Whenever a AIM indicated sell trade, scale down existing stock value by the AIM indicated % stock value to be sold. Whenever AIM indicates a Buy trade, set % stock back to 100%.
The result was a total gain when dividends/cash interest was factored in comparable to 100% stock buy and hold total return (including dividends), but that averaged 67% stock exposure. What was apparent that AIM often scaled down stock exposure progressively until the next 'dip' occurred, such that it was relatively light on stock exposure and accordingly saw less downside loss due to the dive. But in having moved 100% all-in at the first AIM indicated buy trade whilst it missed part of the decline it partook in all of the subsequent post dive rebound, at least until the next AIM sell trade was being indicated.
The Corona dip wasn't deep enough to trigger a AIM buy, so it continues with around 30% stock exposure rather than AIM having indicated a buy resulting to moving to 100% stock. So it has ridden the Corona wave (dip/rebound) as-is rather than having traded it - at least so far.
(Clearly bored) Clive.
PS the last two charts in the above image are point to point based, i.e. whenever AIM traded, so they miss out the additional noise between those point in time. When charted that way it does look like AIM signals were perfectly timed/traded at the turning point - which isn't the case i.e. after a sell trade the price might have continued on up for a while before dipping down to a buy trade, and similarly continued on down before turning around to hit the next sell trade.
Combined the UK FT250 (UK mid cap, small cap in US scale) price only index, with US S&P500 index in Pound adjusted price only terms (dividends excluded), rebalanced once yearly at end/start of the tax year back to 50/50 weightings. That portfolio/index provides the source 'Price' input into standard AIM.
AIM run with 50/50 stock/cash initial settings (cash % is actually irrelevant here as we'd still generate/record a AIM buy signal even if cash were negative, we're just looking at pure AIM trade signals here), 10% SAFE, 10% minimum trade size. Each time AIM trades the trade is recorded as the percentage amount of current stock value to be traded (rather than the more usual $ amount to be traded). Again no dividends or cash interest considered.
With those trades ... date and % of stock value to buy/sell data recorded as per the image below, I mapped out a tactical play of .... Start with 100% stock. Whenever a AIM indicated sell trade, scale down existing stock value by the AIM indicated % stock value to be sold. Whenever AIM indicates a Buy trade, set % stock back to 100%.
The result was a total gain when dividends/cash interest was factored in comparable to 100% stock buy and hold total return (including dividends), but that averaged 67% stock exposure. What was apparent that AIM often scaled down stock exposure progressively until the next 'dip' occurred, such that it was relatively light on stock exposure and accordingly saw less downside loss due to the dive. But in having moved 100% all-in at the first AIM indicated buy trade whilst it missed part of the decline it partook in all of the subsequent post dive rebound, at least until the next AIM sell trade was being indicated.
The Corona dip wasn't deep enough to trigger a AIM buy, so it continues with around 30% stock exposure rather than AIM having indicated a buy resulting to moving to 100% stock. So it has ridden the Corona wave (dip/rebound) as-is rather than having traded it - at least so far.
(Clearly bored) Clive.
PS the last two charts in the above image are point to point based, i.e. whenever AIM traded, so they miss out the additional noise between those point in time. When charted that way it does look like AIM signals were perfectly timed/traded at the turning point - which isn't the case i.e. after a sell trade the price might have continued on up for a while before dipping down to a buy trade, and similarly continued on down before turning around to hit the next sell trade.
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