Clive,
The range of your ladder appears a bit extreme. When the stock price rises 5-fold or so one might as well just get out and wait till it has drops great deal and start anew(if the stock is worth buying). . . When SPY starts diving sharply one would need a serious "signal" from the company’s mechanics(honest financial statements) so that one is confident enough that the stock will not vaporize at $3. .in order to judge the stock worth owning at that price.
Although I do fathom your ladder structure I have not continued experimenting with it myself in Vortex, so I can not grasp your analysis sufficiently well to comment on it in depth and compare it to my Vortex SPY-Run. . .Which is not really a simulation but more like a Shadow Investment. . .I intended to update the stock prices every week buy it actually ended more like quarterly updating with using weekly prices. The last two month I did change the Buy holding zone from 10% to 7% with hidsight. . this on the basis of that if it would have been a real investment I would have been “on the ball” more and have spotted the lack of volatility and I would probably dropped the buy holding zone earlier anyway. The aggression factors Buy 0.8 and Sell 0.6 have been kept constant from the start as I considered that about right for a portfolio growth-policy for a reasonably safe investment.
Another point is that with the trading cost($55) and interest gain ($270)eliminated from the run the Simple ROI on the $ 20000 would have been 2.96 %. . .showing the result of the rather aggressive trading that the settings represent. . . rather a good result for a stock that has lost 1,22% on its share price since January 3rd 2011.
Your ladder is rather conservative in comparison. The aggressive Vortex trading with Buy Aggression = 0.8 and Sell Aggression = 0.6 is something that typically would be appropriate for an equity with a rather high "Confidence Index".... I did not investigate SPY in that sense at all though. . .I had read about SPY on this Forum and the general consensus appeared to be that it was a safe equity that others were using as a good AIM Candidate.
Here are the 4 trades that were executed:
Cash Limiter Model used.
Sugg. Order // Executed Order
Starting Date(3-1-2011)
-$1.116 // -$1.116...(2-5-2011)
$3.950 // $3.950...(8-8-2011)
-$1.865 // -$1.865...(24-10-2011)
$2.626 // $2.626...(21-11-2011)
End Date(27-12-2011). . . .358 day period.
I suppose that if your ladder would have a smaller Holding Zone and larger trade amounts per step your ladder would have a lower top price and a higher bottom price. . .the yield would then have been higher too.
I think once one had become accustomed to a particular system he will get a good feel for it while others can not easily grasp how it is best to be used.
Regards.
AI
