Replies to post #4109 on A.I.M. Users Bulletin Board (AIMUSERS)

[Bernie Goldberg]

Hi,
That would be interesting to see. Not having any experience with Vortex I couldn't answer that question for you.
Using MSN's chart and export data function along with Mr. Riedeman's Bares spreadsheet it is extremely easy to do any AIM simulation. Vortex sounds like it is a little more complex.
Bernie

[Conrad]

Karel. Ref Message #4107 from Bernie:

I finally got some time to run a Vortex Test on the SPY monthly stock prices from the source you gave to me. I still have different stock data as Bernie had, although it is for the same period.


Barnie's Results on SPY: Ref: Message # 4107

SPY price as of January 1, 1998 $98.313
SPY price as of July 1, 2002 $84.71
This would give Mr. B & H a net loss of 14%
Mr. AIM started with a portfolio of $20,000.
163 shares worth $16,000 and $4,000 in Cash Reserve.
As of July 1, 2002 Mr. AIM has 157 shares worth $13,278 and $5,785. Cash
Total Portfolio Value of $19,060 for a net loss of a little less than 5%.

Vortex Result SPY(maximised but possibly not optimised):

SPY price as of January 1, 1998=$90,69
SPY price as of July 1, 2002=$95,92

Notice that these Stock prices are quite different even though they are for the same Company. The Vortex Results include the Dividends payments, which are added to the Reserve as the are paid out. Total Dividend = $169 (Due to being low on stock much of the time).

In the 4,5 year run there are two positions with zero cash Reserve.
Stock price: Monthly. Day High/Low averaged.
This would give Mr. B & H a net gain of 5,8%
VORTEX started with a portfolio of $20,000.
175 shares worth $16.000 and $4.000 in Cash Reserve.
As of July 1, 2002 Mr. Vortex has 261 shares worth $25.074 and $91 Cash.
Total Portfolio Value of $25.165 for a net gain of a little less than 26%.
Period: 4,50 years
Number of Trades=18
Buy Aggression=0,978
Sell Aggression =0,864
Minimum Buy=14% Stock value
Minimum Sell=20% Stock value
No Interest was earned nor were trading costs added.

This run is almost out of cash at the end. With different parameters I can maximize the stock value as well and still get good gains figures.

With the 4 parameters in this Vortex Model there are various parameter combinations that give considerably better results than the Buy and Hold. It is easy to get a 15 % Yield with non aggressive non optimised parameter settings. To use the Vortex Methode in the high aggression mode one needs to do some experimentation to get a good feel for effective parameter settings!

There are several parameter combinations that give high yield results. It is therefor difficult to find the Optimum combination.

Regards,



Conrad