Rien:
Regarding an optimal SAFE, you wrote: ...could be used to optimize safe settings for actual stocks with a given dynamic.
I think we are on the same wavelength (pun intended). ;-)
Back in May of 2001 at our second AIM gathering; Mark H (aptus) gave a presentation on The Efficient Portfolio. That gave rise to a comment I made a little later regarding what I called The Efficient Volatility Index (EVI). Essentially the thought was that given a set of historical price movements, over numerous time frames (Daily, 3-Day, Weekly, etc); what value could be derived that when applied to your various AIM settings, would tend to maximize its profit production.
We had all of the subsequent conversations regarding Standard Deviation, Multiples/Fractions thereof, etc. However, like many ideas that get thrown around, this one got thrown too far, and got lost in the bushes somewhere.
However, I had not forgotten the basic premise of the EVI idea. I had alsways wanted to take some time to pursue it (within the constraints of my very limited mathematical abilities).
Yesterday I was playing around with the mirror image of the Lichello series (10,12,15,16,15,12) when I stumbled onto the 'better SAFE' with the original 10,8,5,4... series. Well that just got me thinking again about the EVI. It was as if it was a sine from above (second, similar pun also intended) ;-)
Apparently you are having parallel thoughts. Good! The Boss (Tom) is away, so we can continue to play. <smile>
Regards, Steve
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