Replies to post #47837 on A.I.M. Users Bulletin Board (AIMUSERS)

[nokodemion]

Hi Tom,

Thx for your reply, I was wondering for a couple of months, what your answer would be. I finally could not hold it any longer, so there I did it, I wrote a message :)
Now i have read your answer, hmmm yeah... I was expecting the twist you would give to it.

I am AIM'íng for many years... it's your fault. *hahahaha* ... what I experienced was exactly as you described through all those years. You can run out of cash but not run out of your asset balance. So I twisted and tweaked, to follow the direction you gave that could handle cash management in a more proper way.

- Moving Sell Safe to Buy Safe. (Speedup to Refill my Cash Balance).
- Use a Buy Counter and increase Buy Safe on each buy. (Delay sequential buys... catch deep divers).

Integrated SMA + RSI + BB Increasing trading size with Buy Counter (Yes, I can confirm, it creates a larger discount to the next AIM Buy target price... that gave a meh.... feeling, I am missing something. So back to the basics for trading size. Trying to understand trading size, and its effects. When increasing Buy Counter the GAP that the price must recover grows bigger and bigger. You would say that GAP is profit :) Patience Grasshopper!!! So I deep dived into trading sizes.

I noticed this: 10-10-10 by the book ... with 50%/50% ... would make the trading size 50% = 10 trading size / 20 Safe.
Now... on the AIM User Hub, all folks, scream... 10-10-5 this would make the trading size 25% = 5 trading size / 20 Safe. Just because...its handy...a choice.

But both have a BIAS to asset accumulation as you many times explained. If you want to turn this and preserve cash do this:

- Moving Sell Safe to Buy Safe. (Speedup to Refill my Cash Balance).
- Use a Buy Counter and increase Buy Safe on each buy. (Delay sequential buys... catch deep divers).

A simplistic recap: As I understand your reply, depending on the investment you stick to 10% or 5% for both buy and sell trading sizes.

So there is no relation with the 5% increase or 2.5% increase of portfolio control after each buy, or sell (Vealie).

Strange thing is: Trying to give Cash Management the full attention it deserves, I have really good experience with the following, which explains why my question.

- Moving Sell Safe to Buy Safe. (Speedup to Refill my Cash Balance).
- Use a Buy Counter and increase Buy Safe on each buy. (Delay sequential buys... catch deep divers).
+
- Baseline Range [1-10] = Buy Safe = 1%, Sell Safe = 0%, buy trading size = 1%, sell trading size = 0.5%.
- On each buy increase Buy Safe with 1% + buy trading size with 1%, and sell trading size with 0.5%. Increase portfolio control with 0.5%.
- On each sell reset to Baseline Buy Safe to 1% + buy trading size to 1%, and sell trading size to 0.5%. If Vealie reset and increase portfolio control with 0.5%.

If I understand you correctly over the years, the BIAS with this setup is not asset accumulation but cash distribution. While using the same trading size for buy and sell also has a BIAS with cash distribution, but is not in balance with the increases in portfolio control.

On MAX we see Buy Safe = 10%, Sell Safe = 0%, Buy Trading Size = 10%, Sell Trading Size = 5%. This is a roundtrip profit of 5%.

Ohh I forget, I use this in a 10 asset Crypto portfolio, Fasten Your Seatbelts.

Thx, for your reply, I appreciate it very much. Grandpa :)

JR...

[nokodemion]

Hi Tom,

6) We can approximate an ideal SAFE and Minimum Order Size by looking at price history and guessing at how many "round trip" trades there would be with different settings. Ideally we want the largest round trip profit with the most number of total round trips over time. We could set the minimum order size at 1%, for instance and maybe we would increase the number of 1% size trades. However, the total range from a buy to a sell would also be smaller. That means less total profit per round trip. We want to maximize the number of Round Trips at the best possible Round Trip Profit.

Okey. Let's evolve together. I calculated (automated) the Max Drawdown over the last 200 days. And the best and most profitable Zigzag values over the last 200 days. It calculates using deviation (1% (0.01) to 20% (0.20) and calculates the most optimal.

These are the result :

Drawdown:
Max Drawdown for the period: 51.75% {}

ZigZag :
"optimalDev":"0.01","numRoundTrips":79,"avgRoundTripProfit":"9.17","metric":"724.11","suggestedBuySellPercent":"0.02291500","suggestedThresholdIncrement":"0.00458300"} {}

Optimal setting : BuyPercent (Minimum Order Size Buy), SellPercent (Minimum Order size Sell), Buy Threshold and Sell Threshold:

Dynamic Params : buy_percent=0.02291500, sell_percent=0.02291500, buy_threshold=0.02291500, sell_threshold=0.02291500, true_count=4 {}

So I took the "avgRoundTripProfit":"9.17" and divide it with /4 for BuyPercent (Minimum Order Size Buy), SellPercent (Minimum Order size Sell), Buy Threshold and Sell Threshold. This is NEUTRAL.

I have a truecount based on, SMA200 (BULL/BEAR), SMA100, SMA50 (GOLDEN CROSS/DEATH CROSS), SMA20 and SMA10. Max True_count = 5 (Hence 5 SMA deviations). So when in BULL/GOLDEN the buy threshold will move from the buy side to the sell side in 5 steps if price > all 5 SMA then buy threshold = 0 and sell threshold is doubled. In BEAR/DEATH the other way around. buy threshold is doubled when price < the 5 SMA. Ofcourse when truecount is 3 then it moves only 3 x suggestedThresholdIncrement":"0.00458300"}. But I think you get what I mean.

Now my question is the following:

Should I use this calculated optimal Zigzag Values? And just stick with it? Set it and forget it? The "avgRoundTripProfit":"9.17" I divided by 4. To fill in minimum trade amount and the safe settings, all same value. Depending on what the price does deviation SMA's. I move the safe settings to the buy side or sell side. When BULL but SMA50 < SMA200 so no golden cross I keep them all 4 sides egal (neutral). When BEAR and no death cross same, I keep them egal. Only in FULL BULL or FULL BEAR I switch SAFE from buy side to sell side or the other way around.

Its really adaptive. Its also really simple. Realtime.

So my question is, keep them this way, or should I make the minimum trade percentages (buy and sell percent) other values?

You said, for stocks I keep them all the same. 10% each. This is crypto... so what is your take on this? Enlighten me :)