Replies to post #35760 on A.I.M. Users Bulletin Board (AIMUSERS)

[Adam]

Hi Ocroft, You say you buy only if the ETF is "discounted", but then you proceed to start SPY AIM at the high of 152.34. Can you explain.

[Conrad]

Hi Ocroft, interesting you have gone back to the orinal SPY ~ 11 Year History to illustrate your uptrend method. I used that period at the start of 2011. It appears that you have used the same Portfolio details on cost and interest as I have been using on Spy. A good point for a comparison!againt the Unfiltered Vortex or AIM.

I understand your method and we agreed that if I would use Vortex with the same filters as you do we would obvioudly essentially get the same results.

What I did was to optimise Vortex with very roughtly the SPY data from that 11-year Run . . .I pickked the points from a piece of paper with the SPY Chart printed on it :-) I have been looking for that Optimised Run but have not found it in my Dossie as yet. I may have thrown it away. I remember however that the yield was very high because it was a very volatile history but probably not 115 %. . .The optimization with all the highs and lows in it weakens the profit as compared to your method. . .certainly, because it also takes-in the less violent ups and downs.

The interesting thing was that for the 1-3/4 years since starting in January 2011 SPY was virtually dead :-) and I had to drastically change the Holding Zones. . .I did not want to wait 10 years for a trade:-)

Anyhow, for the 1 year - 8 months SPY did very little. . .Now I have a ROTAC=6,1 % and a ROTAT=14.4 %. . .That is bad!

I will look further for my SPY Optimized Run. . in the meantime I am very interested in what your method would have resulted in for the 1 yr-8 months sinds the start of 2011! There has been so little volatiliy that I wonder about that you might not seen any dips and uptrends large enough to trade anything at all . . . Vortex at least, due to having finally reduced the Holding Zones progressively lower had gained 6% based on Simple ROI, and 14,4 % on the time averaged Capital at Risk. . .This is only about % 6400!

Would you please run your Uptrend Run Test for us from January 2011 to 30 August 2012? . . .I am extremely interested in that. . .I bet the others are too. All this of course provided that SPY in 2011 would have satisfied your primary requierments for investing in it and using the settings you would have chosen in 2011 at the strat. . .You might even do as I did. . .after 3 month and no trades I started lowering the H-zones. believe it or not now thet stand at Buy = 1% asn Sell = 2% and I got a trade yesterday :-). . .I keep creaming the little profits( I hope) between the Trade Limits. . it is just a Game now :-)

[Conrad]

Ocroft, RE: Your SPY Back Test Data

A SPY Backtest
Here is a 12 year (part one) backtest on SPY. I started from Jan 1, 2000 to 2012.

Would you be able to send me the SPY Price List you used for this Back test? I think it must be similar to the Price List I used for the 11 years 2000-2011 but I took the data from Chart.

I can not find the Optimization Run I did. I looked everywhere, so would like to redo that optimization with your data to see what I come up with for that 12 year run in Vortex and compare it with your Up-trend Test.

Just an Excel List with the prices and the dates. If you doe not have it in a Link the you can send it to my e-mail adres

eng@vortex(...)demon.nl <---- Remove the (brackets) and use 1 dot . . .otherwise some SPY Robots will send me SPAM :-)

Regards,

[Conrad]

Ocroft, Anyone,
Interested in Comparing Methods of with and without a Delay Filter?

On the same overall Starting conditions I made an Optimisation Run with $ 20000 Start Capital

I got a download for SPY but the prices are slightly different:
3-1-2000 = 139.56
31-08-2012= 141.16
Share gain in 12 years =1.13 %
Cash-Equity = 17122 - 2878 (85,61 - 14.39)%

Buy HZ=4.2%
Sell HZ=4.6%

Buy Aggression = 0.61200
Sell Aggression = 0.32369

PV = 30434
Profit = 10434
Equity = 19326
Reserve = 11108
ROI Simple, based on 20000 Fully Invested for 12 years: = 14,95 % . . . But this, of course, was not really the case ! See(1).
Trading Costs = 624 <----- That works out to 57 trades or 5 per year!
Interest earned = 3320. . .Due to the average Cash on Deposit @ 2%
This would give an Average Reserve of 13833, which indicates, especially in regards to the 10434 Profit, a relatively low average investment.

Arithmetic Average Investment(Sum of Traded) = 8710
Time Average Investment[(Sum Ti*Ci)/Time) ] = -719
ROTAY Yield = -416 %

This may seem rather strange but it is actually an effective indicator of a very good performance (based on not using a Filter to delay trades). The real meaning of this negative average invested cashis that for considerable periods of time the Sells were rather large, or there were many, so that no capital was at risk for various period of time.

This can be verified by examining the Trades Table. . .in a certain period towards the end of the 12 years 7 Sells were made consecutively, for a total withdrawal of $ 11275. . .which is more than the Arithmetic Average Investment for the 12 years. Although this ROTAI Method effectively shows the AIM-Method-Advantage over the Buy and Hold method it would certainly be rather confusing to a novice investor that is just getting his feet wet with AIMing :-)

I will try another Optimisation Run at some other tome. Sometimes one finds a Yield Peak that is only a local maximum while with other settings a higher local maximum will be present.

Clearly, it is in ALL cases so that prices will not develop as in the historical series used for the optimisation. It is also obvious that without using a Filter to delay the Trades to the optimum points the yield will be much lower that the Up-Trend Method.

Thus Run surprised me though that I only got ~15% Annual Yield so far. With my previous Optimisation of SPY I used a Chart and I think I selected the points mostly on the Peaks and the Dips :-) so I remember a much higher yield for that run.

It was interesting doing this again!
Especially effective here is the illustration of the ROTAY Yield showing that with a negative Time Averaged Investment for this run there was a lot of profit Taking when the prices got iut of the Big Dip. . .The Up-Trend Period. Obviously with a Filter one would have concentrated the buys in the First Dip @ ~82 and in the Second Dip @ ~74.

(1)Of course, I realise full well that the ROI Method considers the full amount of 20000 to be invested as a combinations of money in a bank account an money in equity. . .So in this sense the ROI is a legitimate performance indicator. . .Let it be known that I recognise that J but it is not an effective performance indicator if one injects new capital into a portfolio at arbitrary times and withdraws capital at arbitrary times. Then only the ROTAI Method is an good indicator of overall investment performance.