Replies to post #282 on VORTEX AIMing

[Conrad]

Jack,

I will run the system in a few minutes (must download the stock prices yet).

On this:

. . .with live investments, I am of the view, probably similar to yours, that judgement is required, regardless of what type of AIM variation is used.

Right on! Also true for any other type of investing. Not only gives this approach (usually) better results than blindly following instructions (that other people have set up), but it prevents one from getting in a situation of blaming others if things do not go as well as expected.

Regards

[Conrad]

Jack,

I have made several runs with the SPD.TO share prices from Yahoo, using the Adjusted Close prices from 20 January 2003 to 16 January 2004 (there are no prices for the 18th ).


Basic Data

Initial Cash = 0
Initial Share Value = 10000
Buy Resistance = 10%
Sell Resistance = 10%
Trade Cost = 27
Interest on Cash = 0
Maximum Margin = 20 000
Min Trade not specified yet. (needs extra parameter setting in the spread sheets). In these runs the Min Trade filter had not been used.

{b] Result Conservative Mode

Buy Aggression fb = 0,4 These settings are arbitrarily set without any tweaking or model building.
Buy Multiplier Mb = 1,6667
Sell Aggression fs = 0,3
Sell Multiplier Ms = 1,4286

Number of trades executed= 24
Initial Share Qty. = 3333
End Share Qty. = 4866 . . . 46 % increase
End PV = 11443
End SV = 11922
End Cash = -479
B/H Yield = -18,55 annualised
ROTAI = 10,71 % (Return On Time Averaged Investment. This includes the margin investments!). Note that the Simple ROI method is not valid if margin is used.
Trading Cost = 648
Maximum Margin used = 11 626 (negative cash)
Maximum Cash = 2 633

It is interesting to note that for this share price history lowering the Buy Resistance to 4,8% and the Sell Resistance to 3% raises the annual yield to 17%, even though the trading cost has quadrupled to $ 2511. The portfolio obviously benefits from the volatility by reducing the holding zone.


Result Moderate Mode

Buy Aggression fb = 0,6 These settings are arbitrarily set without any tweaking or model building.
Buy Multiplier Mb = 2,5
Sell Aggression fs = 0,45
Sell Multiplier Ms = 1,8182

Number of trades executed= 24
Initial Share Qty. = 3333
End Share Qty. = 6493 . . . 94,8% increase
End PV = 14375
End SV = 15908
End Cash = -1533
B/H Yield = -18,55 annualised
ROTAI = 26,65 %
Trading cost = 648

Margin of 20000 was used only from 9 to 25 September 2003

Result Aggressive Mode

Buy Aggression fb = 0,8 These settings are arbitrarily set without any tweaking or model building.
Buy Multiplier Mb = 5
Sell Aggression fs = 0,6
Sell Multiplier Ms = 2,5

Number of trades executed= 19
Initial Share Qty. = 3333
End Share Qty. = 8624 . . .158,7 % increase
End PV = 13701
End SV = 21128
End Cash = -7427
B/H Yield = -18,55 annualised
ROTAI = 17,75 %
Trading Cost = 513

Margin of 20000 was used frequently throughout the period. It is interesting to note that the aggressive mode, although a little less profit is made, is very effective in fostering Portfolio Growth with the 8624 shares being held. This is very effective if the price goes up but also detrimental if the price goes down.

Result Optimised Mode (tweaked Aggression Factors)

Due to the use of the Margin of 20000 I have not yet been able to run this mode. The spread sheet can not cope with the Margin automatically at this time. With the 264 rows of data it is nearly impossible to tweak the system while keeping the margin at 20000.. . .in finite time! I need to modify the Cash Limiting function with the 20000 negative cash figured in, and I do not yet know how to do this.

It is almost 3 AM now and need a few hours of sleep before going to work. J

Does anyone know how to model the Cash limitation in Excel, to say -20000?. I need to combine several AND and IF statements to do this and have not yet managed to do it.

Regards,