Replies to post #4144 on A.I.M. Users Bulletin Board (AIMUSERS)

[Conrad]

Thanks, Karel for the SPY Info.

What did Bernie get out of SPY?

I will get the download.

If the data is reversed we can do two things:

1) Load it up reversed and get an interesting Inverted Yield!

2) I hope I can invert the data from the spread sheet. Is there an Excel function that can invert the data(Last=First)??

PS:
Uploading = Opladen in Dutch. Right? of Ophalen?
Downloading = Afladen ? Neerladen? Neerhalen! I like that one!



Conrad

[Conrad]

Karel, anybody: Results Vortex Back Testing

The following daily data has been downloaded form Internet from via an link provided by Karel. I believe it refers to SPY,
but the directly downloaded stock data does not specify which stock it is. I have taken a 4,5 year run from 2-01-19998 to 10-07-2002:

http://table.finance.yahoo.com/table.csv?a=1&b=1&c=1998&d=7&e=10&f=2002&s=sp....

The daily data is provided for 4,52 years and entered on an Vortex Excel spreadsheet.

The stock is almost like a flatliner and shows little volatility. This requires an aggressive approach. See the following:

Remarks for optimum parameters Start Capital =30 000				 
 1   Buy & Hold Yield	Loss!	-0,85%					 
 2   Number of Trades 	12	137,5					 
 3   Annual Yield		9,0%/yr					 
 4   Direct Yield		41% total			 
 5   End capital	$42.236				 
 6   Cash/Stock Ratio		0					 
 7   Lowest cash		        0				 
 8   Highest cash		40207				 
 9   End PF Value		42236				 
 10  Highest PF Value	45585					 
 11  Lowest PF Value		28386					 
 12  Buy Aggression		0,94					 
 13  Sell Aggression		0,8				 
 14  Minimum Buy % SV	       14				 
 15 Minimum Sell % SV	       70									 
 						 
 Non Aggressive Vortex						 
 Min Buy/Sell	     10%					 
 						 
 Suppressed Buys						 
 Buy Aggression	     -1,1					 
 Sell Aggression	    0,61					 
 Yield	        5,33%/yr					 
 	       24% total					 
 						 
 Neutral Vortex						 
 Buy Aggression	       0					 
 Sell Aggression	       0					 
 Yield	         2,2%/yr					 
 	        10% total

The data, I hope, explains itself. No trading costs nor interest earnings are included in the above data. The use of trading costs at 1% per trade and 4%/yr for the cash reserve gives this:

Annual yield= 11.8 %(55% total) instead of 9%.

The interest earnings of 4% more than adequately compensate for the trading costs. The above data is conservative.

With non-optimised parameters the yield is obviously lower. Rather than making another long story I leave this for your comments. I do not know how the AIM BTB book does on this as I have not tried to work that out.

Regards,


Conrad