A.I.M. Users Bulletin Board

[Qarel]

AIM results for Vortex backtest

One remark to start: the Yahoo results are dividend adjusted, so the backtest has to use dividend re-investment.

I did something as close as possible to AIM By-The-Book as my current spreadsheets allow. I used daily updates (weekly and monthly perform a bit worse). The overal return was 5.3%, or 1.68% annualized. (This corresponds to Conrad's Yield numbers.)
Vortex gives a much superior result.

And one nit: I think Conrad's numbers are overfitted. I discovered that I could get better returns by raising the Buy Safe to a level were AIM never bought back in the downturn. But a 30% Buy safe for such a 'flatliner' is overfitting for the slow climb to the top and slow descent to the end date. Conrad has used a 70% Minimum Buy value. It is not hard to guess that this accomplishes exactly the same as a ridiculously high Buy Safe.

I took my own medicine, and discovered that to get more diverse action than a string of sells followed buy a string of buys (if any), I had to lower Safe to 4% or thereabouts. Returns dropped, but the results were still positive.

Regards,

Karel