AIM - VORTEX Test Results using the Lichello Test Series:
10/8/5/4/5/8/10
Standard AIM Investment: 70000
Reserve= 30000
SAVEs: + 5 % and – 5%
Min Trade= 3500
Stock price 10 to start. See table Below.
Reference AIM Trades for rising and dropping stock values
as calulated by
AIM Trade = /(PC-SV)/ - 0,1*SV
+ 20% Price: First Trade = Sell 5600
-20% Price: First Trade = Buy 8400
Note that this is not an aggressive trading action. If I would use
/(PC-SV)/ - 0,05*SV
then the trading action would be more agressive. Either way it is only important that in the comparison we use the same starting trades.
I have used these Reference trades to set the Advice Generator of the VORTEX program;
Buy Aggression Factor fb =
-0,6667
Sell Aggression Factor fs =
-1,4999
Vrtex Trade Advice = 1/(1-f)*(PC-SV)
No trading costs
No interest on cash.
Keeping the < 3500 No Trade Rule in mind the following trades were triggered by Vortex on the Lichello Series for a 3 year period on generally mothly prices
Date /Price /Trade
1-01-07 /10
31-01-07/8/8400
2-03-07 /5/14490
2-04-07 /4/6569
2-05-07 /5/-5036
2-06-07 /8/-13900
2-07-07 /10/-7877
2-08-07 /8/10869
1-09-07 /5/16485
1-10-07 /4/0
1-11-07 /5/0
1-12-07 /8/-16457
1-01-08 /10/-9325
31-01-08/8/12869
2-03-08 /5/12914
1-04-08 /4/0
2-05-08 /5/-5966
1-06-08 /8/-16467
1-07-08 /10/-9331
1-08-08 /8/12876
31-08-08/5/18888
1-10-08 /4/0
31-10-08/5/0
1-12-08 /8/-19342
31-12-08/10/-10960
30-01-09 /8/15124
2-03-09 /5/15178
1-04-09 /4/0
2-05-09 /5/0
1-06-09 /8/-21037
2-07-09 /10/-11921
1-08-09 /8/16450
1-09-09 /5/16507
1-10-09 /4/0
31-10-09/5/0
1-12-09 /8/-22880
1-01-10 /10/-12865
27 trades executed. The Vortex template has a Cash Limiter function so that Reserve can not become negative. On most of the point the prices dipped to 5 the cash went to zero so that on the price of 4 no trade was possible. In backtesting one can temper the aggression so that there is money available for buying at the price of 4 but in this run the aggression factors are fixed by the First Trades Calculation.
Of principle interest is how an Standard AIM trades would compare to these Vortex trades.
Running period: 3,00 year
Simple ROI= 28,3%/yr
Share Qty increase from 7000 to 14909
Buy & Hold = 0%. . .constant Share Qty @ 7000
ROTAI= 23,5%/yr
CER (Cash/SV Ratio) End of period =0,24
Cash Limiter active: No negative Reserve allowed
Remarks
1 The Vortex Run has been done with the 3500 Min Trade in place. All trade advices > 3500
Trading cost & Interest on cash not used
2) In this case there are several months in the 3-year period with zero Reserve and with investments ~~ than 100000. The simple ROI is based on the 100000 being invested all the time, so the ROTAI is less than the simple ROI.
I am looking forward to the trading response of the Standard AIM with these initial conditions as I have used here.
A chart of the trades and values could be provided after I find out how to post it here.
Regards,
