Marc,
On you Test Case "Lichello Series: I am assuming you start with something like this:
Total Cash + Equity = 10000
Cash = 5000
Equity = 5000
Holding Zone Buy & Sell = 10%
Minimum Trade = ??????
No interest on Reserve
No trading costs
Reserve is let go negative ??????(1)
One Year Run Time
-January 01- 01-2011: Price= $ 10
-December 31-12-2011: Price= $ 8
Run Time in Days = 365
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(1) For my First Run I used The TurboVest Model so as rgar Negative Cash was to be allowed and I simulated the Standard AIM Portfolio Value just For Fun for the PV = $ 16941 like you got for the Standard AIM Run. In order to do this I tweaked the Buy & Sell Aggression Factor to be exactly equal at 0,26571, as I have no other way of setting the variable parameters in VORTEX ANM. So 1st Run is my initial Reference Point ehich is identical to your Reference Point.
In order to compare VORTEX AIM with what you have done with your adaptation I must know your operational details for matching:
* Did you use a Minimum Trade Size? If yes, what is it?
* Do you allow Reserve to go negative? . . .Yes or No? I had 3x a negative Reserve @ $ 759. I do not understand this for now as the price jumped from 4 to 5 to 8 and that is more than 10% so I have to check this out yet
If you used no negative cash then I can use the No Buy Condition if there is not enough Reserve to Buy
In order to compare your Run that ended up at $ 21781 I must know the following:
1. The Size of your First Buy at $8
2 The Size of your Forts Sell at $ ?????
For matching my Starting Condition to your Run.
This I need to know if we sell at the same price. . .If we do I can match it for the Selling. If that happens then we have an identical starting condition and we can compare the result.
If you get a First Sell at a different price then it is not possible to get an honest match. All I can do then is to approximate use your First Sell information so that my First Sell has an identical impact on the PV-change. at that same date. Such a Sell is a fudged one for me.
It would not be a 100% fair comparison but that can not be helped. . . you can not always have an identical start if the Buy-Sell Function is Different.
I will wait for your response.
Regards,
