Doug,
I do not understand where you get you SPY prices from. I downloaded monthly SPY prices from 3 January 2000 to the end of December 2010 and the values I get are quite different than you have placed on your Chart : $ 148,25 Starting Price and I get a closing price for that day of about 135, there must be something wrong. . .How many funds with the name SPY are there?
Then another problem arises to compare your Back Test with a Vortex. Back Test. You state you do the calculations on the closing price at the end of the month and do the trading on the prices of first trading day in the next month.
This I can not do automatically in Excel. . . .the only prices I get are the prices at the beginning of each month. In order to find the prices of the previous trading day I have to print out a list of day prices for 10 years and adjust for every trade the prices manually in the Excel spread. So for every trade I have to enter first the price of the previous day, calculate for the number of shares to trade and then replace the opening price for the next day and manually correct for the number of shares that were calculated. This is not going to work.
All I can do is enter the month prices and any trade that is triggered for that day simply accept it as the execution price for that date at the opening price. . .the number of shares would then be different from the number calculated with the price of the previous day.
Thus a comparison would not be very meaningful except for a very rough indication and then the result would simply be a consequence of the arbitrary parameter settings at the beginning that I would have picked. . . .so the comparison would not be based on the system it self but mostly on my judgement for the initial parameter settings for better or worth. It would mean nothing
So the only real test is that I do an optimization run for the 10 years using for example average prices (Hih+Low)/2
Statistically this would mimic trading that would be executed at some time during the day and one has no control over that. which you have no control. . using the average price one would, I think, get a reasonable result. The optimization would not mimic real result either but it form a basis for starting out with a real investment . The one can adjust the parameters as one sees fit..
I am sure that doing a single back test is of no use to compare it with the result you got. . .you where testing a standard Lichello algorithm. In Vortex there is no standard default set of parameters. The only possibility I have been thinking of in the past is to use as a default is to set the trade aggression factors fb=fs=0. . .very conservative trading action . . .but still a bit more aggressive than Standard AIM is. This would result in:
Trade=1*(PC-V)
limited by the Holding zones and Minimum Trade Values. These very conservative settings are not regarded as defaults but I use these as recommendations for newcomers to get a feel of what an AIM-like system does and that to play with different trade aggression factors to see their effects. In a sense this would create a basis for comparing results but it would still be meaningless because setting fb=fs= 0,5 would also be a valid Default Set. Even a Default Se of fc=fs= -1 is a valid Default Set. When I set
fb=fs= -100 then this would simply result in a ABHIM approach.
ABHIM = Automatic Buy & Hold Investment Management J
I believe there is no point in doing the Back Testing on SPY unless there is an interest in finding out what an optimized yield would be for the 10 year run you did. .then the parameter settings are achieved without my ideas as to what they would have been at the starting point.
In case you want to see that I would need a set of month prices for the SPY fund from you in Excel.
