A.I.M. Users Bulletin Board

[Conrad]

Ocroft, Anyone,
Interested in Comparing Methods of with and without a Delay Filter?

On the same overall Starting conditions I made an Optimisation Run with $ 20000 Start Capital

I got a download for SPY but the prices are slightly different:
3-1-2000 = 139.56
31-08-2012= 141.16
Share gain in 12 years =1.13 %
Cash-Equity = 17122 - 2878 (85,61 - 14.39)%

Buy HZ=4.2%
Sell HZ=4.6%

Buy Aggression = 0.61200
Sell Aggression = 0.32369

PV = 30434
Profit = 10434
Equity = 19326
Reserve = 11108
ROI Simple, based on 20000 Fully Invested for 12 years: = 14,95 % . . . But this, of course, was not really the case ! See(1).
Trading Costs = 624 <----- That works out to 57 trades or 5 per year!
Interest earned = 3320. . .Due to the average Cash on Deposit @ 2%
This would give an Average Reserve of 13833, which indicates, especially in regards to the 10434 Profit, a relatively low average investment.

Arithmetic Average Investment(Sum of Traded) = 8710
Time Average Investment[(Sum Ti*Ci)/Time) ] = -719
ROTAY Yield = -416 %

This may seem rather strange but it is actually an effective indicator of a very good performance (based on not using a Filter to delay trades). The real meaning of this negative average invested cashis that for considerable periods of time the Sells were rather large, or there were many, so that no capital was at risk for various period of time.

This can be verified by examining the Trades Table. . .in a certain period towards the end of the 12 years 7 Sells were made consecutively, for a total withdrawal of $ 11275. . .which is more than the Arithmetic Average Investment for the 12 years. Although this ROTAI Method effectively shows the AIM-Method-Advantage over the Buy and Hold method it would certainly be rather confusing to a novice investor that is just getting his feet wet with AIMing

I will try another Optimisation Run at some other tome. Sometimes one finds a Yield Peak that is only a local maximum while with other settings a higher local maximum will be present.

Clearly, it is in ALL cases so that prices will not develop as in the historical series used for the optimisation. It is also obvious that without using a Filter to delay the Trades to the optimum points the yield will be much lower that the Up-Trend Method.

Thus Run surprised me though that I only got ~15% Annual Yield so far. With my previous Optimisation of SPY I used a Chart and I think I selected the points mostly on the Peaks and the Dips so I remember a much higher yield for that run.

It was interesting doing this again!
Especially effective here is the illustration of the ROTAY Yield showing that with a negative Time Averaged Investment for this run there was a lot of profit Taking when the prices got iut of the Big Dip. . .The Up-Trend Period. Obviously with a Filter one would have concentrated the buys in the First Dip @ ~82 and in the Second Dip @ ~74.

(1)Of course, I realise full well that the ROI Method considers the full amount of 20000 to be invested as a combinations of money in a bank account an money in equity. . .So in this sense the ROI is a legitimate performance indicator. . .Let it be known that I recognise that J but it is not an effective performance indicator if one injects new capital into a portfolio at arbitrary times and withdraws capital at arbitrary times. Then only the ROTAI Method is an good indicator of overall investment performance.