AI
Saturday, January 14, 2012 2:49:04 PM
Hi Conrad
Vortex did better than a (simulated) Ladder over 2011. Perhaps in part because the ladder settings I used here maintain potentially selling of stock all the way up to a 10 fold increase in share price, and similarly maintain buying potential all the way down to a 3.0 type price (-97.5% price decline from the start date price)
Ladder's highest trade price level was around a 133 price whilst the lowest was 113, around a 17.7% range between low and high - which is quite a tight yearly range
Quite a balanced year with 2 buys, 2 sells.
Narrow down the top and bottom settings and you trade more at each level (make more rebalance gains), but run a greater chance of either running out of stock to sell earlier in a prolonged up run, or running out of cash in a prolonged decline (if the price falls below the bottom price level (after which you're all-in and have no further cash reserves to buy more if the price continues further down)).
AIM in contrast more typically never exhausts stock to sell in a prolonged rise in share price, but can run out of cash reserves, typically after a price decline equal to the initial % amount of AIM cash reserve i.e. if you start with 60% stock, 40% cash then AIM typically runs out of cash with which to buy more stock once the share price has declined -40%.
Rather than trading ladder at each and every step (price) level, if you can defer buying of multiple trades (steps) into one larger single trade, and delay selling multiple trades into a single larger trade, the rebalance gains/benefit can be multiple times bigger. But equally you can miss out on multiple small single step rebalance trades. 2011 is quite a good example of how if you'd waited for multiple larger steps before buying (or selling) you might not have had any trades triggered (zero trades, zero rebalance/volatility capture gains). Swings and roundabouts - one approach or the other will be better, just that its impossible to predict which. 2011 appears to have been a year for trading each and every step rather than looking for combining multiple (larger) steps into single trades.
Best. Clive.
Vortex did better than a (simulated) Ladder over 2011. Perhaps in part because the ladder settings I used here maintain potentially selling of stock all the way up to a 10 fold increase in share price, and similarly maintain buying potential all the way down to a 3.0 type price (-97.5% price decline from the start date price)
Ladder's highest trade price level was around a 133 price whilst the lowest was 113, around a 17.7% range between low and high - which is quite a tight yearly range
Quite a balanced year with 2 buys, 2 sells.
Narrow down the top and bottom settings and you trade more at each level (make more rebalance gains), but run a greater chance of either running out of stock to sell earlier in a prolonged up run, or running out of cash in a prolonged decline (if the price falls below the bottom price level (after which you're all-in and have no further cash reserves to buy more if the price continues further down)).
AIM in contrast more typically never exhausts stock to sell in a prolonged rise in share price, but can run out of cash reserves, typically after a price decline equal to the initial % amount of AIM cash reserve i.e. if you start with 60% stock, 40% cash then AIM typically runs out of cash with which to buy more stock once the share price has declined -40%.
Rather than trading ladder at each and every step (price) level, if you can defer buying of multiple trades (steps) into one larger single trade, and delay selling multiple trades into a single larger trade, the rebalance gains/benefit can be multiple times bigger. But equally you can miss out on multiple small single step rebalance trades. 2011 is quite a good example of how if you'd waited for multiple larger steps before buying (or selling) you might not have had any trades triggered (zero trades, zero rebalance/volatility capture gains). Swings and roundabouts - one approach or the other will be better, just that its impossible to predict which. 2011 appears to have been a year for trading each and every step rather than looking for combining multiple (larger) steps into single trades.
Best. Clive.
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