Karel, anybody: Results Vortex Back Testing
The following daily data has been downloaded form Internet from via an link provided by Karel. I believe it refers to SPY,
but the directly downloaded stock data does not specify which stock it is. I have taken a 4,5 year run from 2-01-19998 to 10-07-2002:
http://table.finance.yahoo.com/table.csv?a=1&b=1&c=1998&d=7&e=10&f=2002&s=sp....
The daily data is provided for 4,52 years and entered on an Vortex Excel spreadsheet.
The stock is almost like a flatliner and shows little volatility. This requires an aggressive approach. See the following:
Remarks for optimum parameters Start Capital =30 000
1 Buy & Hold Yield Loss! -0,85%
2 Number of Trades 12 137,5
3 Annual Yield 9,0%/yr
4 Direct Yield 41% total
5 End capital $42.236
6 Cash/Stock Ratio 0
7 Lowest cash 0
8 Highest cash 40207
9 End PF Value 42236
10 Highest PF Value 45585
11 Lowest PF Value 28386
12 Buy Aggression 0,94
13 Sell Aggression 0,8
14 Minimum Buy % SV 14
15 Minimum Sell % SV 70
Non Aggressive Vortex
Min Buy/Sell 10%
Suppressed Buys
Buy Aggression -1,1
Sell Aggression 0,61
Yield 5,33%/yr
24% total
Neutral Vortex
Buy Aggression 0
Sell Aggression 0
Yield 2,2%/yr
10% total
The data, I hope, explains itself. No trading costs nor interest earnings are included in the above data. The use of trading costs at 1% per trade and 4%/yr for the cash reserve gives this:
Annual yield= 11.8 %(55% total) instead of 9%.
The interest earnings of 4% more than adequately compensate for the trading costs. The above data is conservative.
With non-optimised parameters the yield is obviously lower. Rather than making another long story I leave this for your comments. I do not know how the AIM BTB book does on this as I have not tried to work that out.
Regards,
Conrad
AI
