VORTEX AIMing

[Conrad]

Hi Vortex AIM users and Forum Readers:

We have developed a Vortex AIM Parameter Optimisation program called Vortex Back Test . . .VBT . . . to be coupled onto the Vortex AIM Windows program (Vortex). This is the way it works:

1 Select an Equity: The Data Base of Vortex is used for loading up the stock prices into VBT. These prices were previously downloaded from Yahoo by the Vortex Investor. . .his choice. These stock prices are not necessarily all used in Vortex but are there to be used as the investor sees fit;
2 The investor opens the VBT Module and selects an Equity;
3 The Period for the Test Rub is selected,
4 The parameters for the Test Run are entered:
*Number of Shares
*Percentage Reserve
* Trading Cost: Fixed Min. + Percentage IF Min. Amount is exceeded;
5 Holding Zones %
* Buy: Start Value/Step size/Stop Value
* Sell: Start Value/Step size/Stop Value
6 Aggression Factor Fractions
* Buy: Start Value/Step size/Stop Value
* Sell: Start Value/Step size/Stop Value

Additionally various buttons are presented for:
* Run Results. . .It present the % ROTAC Yield for each Data Set in Chart form as well as in a List Form
* Sow File. . .Equity Details
* Make Test File. . .Make your own Test Data
* Example Test File. . .Here you can choose a number of standard equity rice profiles for a chosen period, such as: Sine Wave, Block Wave, Saw Tooth Wave and Random Prices.

The Back Test program optimises the 4 Parameter settings based on Yield Maximization.
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At the moment I am Running 3 SPY Demo Portfolios using generally the optimised parameters as given by this program. In some cases intermediate Optimisation Runs are done for shorted periods in the Past and the parameters adjusted. The idea here is that is a trend deviates from the previously optimised Price History then a new optimisation of more recent price developments is required.

SPY1 is a long term Demo starting at 03-01-2011 till to date. There are 94 Datasets. Latest transaction on August 5
Equity + cash to start = 20000
Equity = 5600
Interest on Reserve = 2% Compounded at each Trade
Reserve = 14389,05. . . .Trading cost of 10,95 already deducted.
Shares N= 44,08. . .N could simply be truncated for integer ..values but are not in this run.
Buy Holding Zone = 7,5 %
Sell Holding Zone = 19 % till August 2012
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Buy Holding Zone = 7,0 %
Sell Holding Zone = 7,0 % till September 15-2012
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Buy Holding Zone = 5,5 %
Sell Holding Zone = 10 % till current date
Percentage Interest on Reserve =
Remark:
The changes in Holding Zone settings were based on the development at the time. I have not recorded the specific reasons for these changes but normally when I see some reason for a change I do change some settings. The Chart indicates a reduction in Volatility that would indicate lowering the Hold Zones.
The Aggression Factors remained as originally set.
Buy Aggression = 0,8
Sell Aggression = 0,6. . .the Aggression factors turned out to be rather high automatically as the stock volatility was rather low these + 2,5 years.
Results per 06-09-2013. . .No extra Capital was added but Costs and Dividends are recorded as time variable -/+ Cash additions.
ROTAC Profit & Yield = 6036,85 & 11,88% Annualised
ROTAI Profit & Yield = 5362,65 & 26.41 % Annualised
Trading Cost = 137
Dividend = 43 <------Forgotten to add most dividend Payments
Interest Earned = 630


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SPY2 is almost identical but has only 91 DatSets. On 01-06 2012 the Sell Aggression was increased form 0,6 to 0,85(very high selling aggression)as an experiment.
Interest on Reserve = 2 % but is Compounded at each Trading Point
ROTAC Profit & Yield = 5568,77 & 10,91 % Annualised
ROTAI profit & Yield = 4944,50 & 21,48 % Annualised
Trading Cost = 278
Dividend = 44 <-----Most dividend payment are Forgotten here
Interest Earned = 580

Clearly the increase in the Sell Aggression has minimally reduced the ROTAC Yield but more significantly reduced to the ROTAI Yield. Considering the rising trend that developed after June 2012 this result is logical. . .With a rising trend the Sell Aggression should be lowered so that the benefit of the rising price can be captured. . .as is the case for SPY1.

From the Price Chart it is shown that in June 2012 the price was in a dropping trend. . .the increased Sell Aggression was a logical Bet. . .. . .not from an AIM methodology consideration but from Trend Betting consideration. From the Price Chart it is clear that just beyond that point in June 2012 the prices started rising again and I should have lowered the Sell Aggression again . . .but I did not to see the effect of it.
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SPY 3 Is a run for the same period with more intuitive intermittent changes in Hold Zones, Aggression Factors and extra cash Addition.
The Run has 80 Datasets. Hold Zones varied frequently based on interpretations of perceived volatility. . which was rather low and generally fluctuated between 7 and 1 & but on the average around 3 or 4 %.
Aggression Factors Buy/Sell started at 0,8/0,6 and were gradually increased from Dec 2012 to currently 0,96/o,93
In July 2013 an extra 20000 was added to the Reserve due to Reserve depletion from the more aggressive trading.
The number off Trades was obviously higher due to the relatively low Holding Zones.
Interest on Reserve = 2%/yr is compounded at yacht Trade Point.
ROTAC Profit & Yield = 5713,14 & 10,33 %
ROTAI Profit & Yield = 4660,67 & 27,31 %
Trading Cost = 278
Dividend = 260
Interest Earned = 793

The ROTAC Yield has suffered a bit due to more frequent trading but the ROTAI Yield has benefited from the higher Trade aggressions and the more frequent Trading.

The Vortex Program provides to important Reports:

1 Portfolio Revue. This contains all relevant Financial and Trading Result Details that are necessary For Income Tax Reporting;
2 Activity Report. This shows all the individual Trades, Cash Mutations and Costs