Hi Ls7550,
I read the Mabane paper once, and i see he is rebalancing to 20%, although there is no good explanation on the precise methodology.
He also has loss trades(often shorter term moves) and profit trades(often longer term moves).
The way to combine AIM with Mebane seems:
- in the upwave sell to re-establish the cash
- when the sell signal is given sell the lot
- then execute AIM buys, having more money(100% cash) a deeper dive can be accomodated.
- when there is a buy signal, use all dollars in cash so 100% equity.
In this way we avoid downdrafts to a certain extent, (if we were in Iceland we better AIMed non correlated assets), in effect we amplify the buying.
You could use classic-AIM, define a core, and then you could sell and buy the core on the signals.
The system descibed above has a dynamic core. Maybe we need a new parameter to measure core size especially when we move money from the core into equity during the downwave.
I think there is more here :)
Kind Regards,K
