Vortex AIM Fokker Simulation 1995-1996
As promised I ran the stock prices of Fokker through the Vortex AIM to see what would happen, expecting the blood to run through the streets. The original non-optimised yield of –4,4% vs the Buy & Hold yield of –46%, was already a good showing. The actual buying and selling was done on a gut feeling level! I have always claimed if you know what you are doing then an AIM is not necessary, although it would not be easy to invest optimally.
In the simulation the trading cost and earned interest are taken to identical as the estimate for the actual investment. Fixed Fees are not used. Some interesting remarks are listed below the table for the run over 380 days:
Vortex AIM Fokker 4-01-95 till 19-01-1996
Minumum Buy/Sell is a % of Stock Value.
Optimised Parameters:
Cash/Stock
Ratio 83,18% Qty. of Trades 14
Capital 27345 Period(days) 380
Shares 4600 Ave. days/trade 22,7
End Capital 34008 Start price 11,5
Yield 23,4 % Highest price 13,2
B&H Yield -45,6 % Lowest Price 6,9
Reserve 22339 Bailout Price 6,1
Reserve High 33305 Minimum Buy 10%
Reserve Low 0 Minimum Sell 20%
Earned @ 4%/y 342,29 Buy Aggr BA 0,87
Fees @ 0,5%/Tr 509,28 Sell Aggr SA 0,76
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Not Optimised Cases
Same Cash/Stock Ratio
BA 0,75 Moderately aggressive
SA 0,5 Moderately aggressive
Vortex Yield 9 % Same cost factors
At 50/50 Cash/Stock Ratio
Not optimised but adjusted to prevent negative cash.
BA 0,76 Moderately aggressive
SA 0,74 Moderately aggressive
Vortex Yield 15 % Same cost factors
Remarks
1) The stock price data is the same as for the actual run. A few dates on which no trades were executed were included.
2) In the real investment I mist a Sell right off the bat when stock rose from 11,5 to 13,2. Vortex simulations capitalised on that of course!!! This is the reason I made an overall loss of 4,4 %;
3) In the real investment 14 trades were made. The same as Vortex did!;
4) The 83% Cash/Stock Ratio was chosen quite intentionally on the basis of the analysis I made on my Macintosh computer for the actual investment. This was the ratio that was precipitated by the actual step-wise investments which resulted in a depleted Cash Reserve on 11-10-95. In this analysis no borrowed money was used;
5) On the Bailout Day 19-01-96 I sold off all the stock on bad news from Daimler Benz’s Jurgen Schremp that he was going to throw his baby out with the murky bath water. I guessed that only Schremp new that the baby was already dead. Keeping the finger on the pulse every day helps! The suggestion to look at the market only once in a while is not effective. You have to ride the Bull and the Bear to feel them kicking;
6) I also ran a non-optimised simulation. By setting the aggression moderately aggressive. The yield came out at +9%. If the aggression is tuned down BA=SA=0 the Vortex AIM is 100% Neutral. This means that only as much is bought or sold to keep the value of the stock constant. Slow Growth Mode. The Yield was –3%;
7) I also ran a simulation with the Min. Buy/Sell at 10% and the Cash/Stock Ratio=50/50 and with also moderate aggression. In both non-optimised cases I tweaked the aggression a bit to prevent the cash going negative, but I did not tweak it to zero! The Yield was 15%;
8) With various non-aggressive parameter settings (see Remark #6) Vortex got similar yields from between –3% to anything up into positive territory. This shows that a severely tuned-down Vortex begins to behave like an AIM BTB.
9) If one would start a non-aggressive Vortex without having any experience for setting the parameters then it would at worst behave approximately like an AIM BTB;
10) With negative aggression the Vortex AIM is progressively put to sleep and it tunes down the buys and the sells so that at some point the Vortex acts like a Buy & Hold investment;
11) With increasing aggression the Vortex takes bigger and bigger steps so that at some point it behaves almost like a system that is triggered via TA in a Trading Range: the entire stock pile is sold and bought back at the Limits of the Trading Range. This is due also to the fact that no SAFE is used in the calculation, so, Vortex can Sell all the stock;
12) Due to the same reason as for Remark # 11 the Vortex can go into negative stock, if you let it;
13) ß-----This is the lucky Vortex Number to end this summation of the nice things I can think off. In closing I like to remark that with a strong aggression, and with a deep diver the cash runs out faster than with a AIM BTB. At point(#13) I like to kick in the TurboVest Engine and buy shares on stock credit. If this is done intelligently, as I have explained in my article on Vortex Credit Investing(TurboVest), then the Vortex comes out screaming with profit when the stock price rises temporarily, creating cash for the next dip.
Stocks seldom dive or rise without price fluctuation. An Aggressive Vortex makes money on cycling when stock prices dive and as stocks prices rise.
Conrad
AI
