Ocroft, on the Vortex Test to compare it to the AIM Uptrend.
I have done a second optimization for the SPY Test Run.
Same prices of course
This time I found an Optimum set of parameters that executed the buys at close to the dip prices and the sells close to the peak prices. . .This is optimised from a trading point of view. . .trading close to the price limits. . . and I can state that these settings represent a Vortex Filter to prevent trading between the peaks and the dips.
Here are the results. I list the recent results in blue and the previous results in red:
Cash-Equity = 11002 - 8998 (55 - 45)%
Cash-Equity = 17122 - 2878 (85,61 - 14.39)%
Buy HZ=40%
Buy HZ=4.2%
Sell HZ=65%
Sell HZ=4.6%
Buy Aggression = 0.6678
Buy Aggression = 0.61200
Sell Aggression = 0.2980
Sell Aggression = 0.32369
PV= 42977
PV = 30434
Profit = 22977
Profit = 10434
Equity = 18577
Equity = 19326
Reserve = 24399
Reserve = 11108
ROI = 32.91 %
ROI = 14.95 %
Trading Costs = 55 <----- 5 trades, including inialization
Trading Costs = 624 <----- 57 trades, including inialization
Interest earned = 2226. . .Due to the average Cash on Deposit @ 2%
Interest earned = 3320. . .Due to the average Cash on Deposit @ 2%
Arithmetic Average Investment(Sum of Trades) = -11226
Buy 1 @ 81.79 = 11.551
Sell 1 @ 137.79 = -16.409
Buy 2 @ 73.93 = 17.156
Sell 2@ 125,75 = -23.524
Arithmetic Average Investment(Sum of Trades) = 8710
[color=blue]Time Average Investment[(Sum Ti*Ci)/Time) ] = -507 [/color]
[color=red]Time Average Investment[(Sum Ti*Ci)/Time) ] = -719[/color]
ROTAI Yield = -1298 %
ROTAI Yield = -416 %
The negative average investment and the negative ROTAI are explained in the previous Results Post on September 5.
As is noted this Vortex Filter forces the trades approximately to the towards the Trading Limits. The buys in this case are executed at the very dip but the Sells are executed a bit lower that the peeks.
With this optimised set of parameters it is of course not possible to expect that the prices actually behave this way, but this Test was done simply to compare thus Automatic procedure to Croft's Method. . .This is still a What IF Case for a specific Price Structure.
For he next Test I will use Ocroft's Method in Vortex and use the same aggression factor as in this Run. I will use a Reversal Price of 10% without knowing if this is a reasonable percentage.
In this Test Vortex remembers the trades not execured and I will buy the Trade Advice Amount for the Dip Price on the Uptrend Price.
This Test will deviate from the AIM-Uptrend only in the size of the Buy as Vortex used a different way to calculate the trade size.
Possibly Ocroft used a different Uptrend Percentage than 10% ????
