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Strategies & Market Trends : A.I.M Users Group Bulletin Board
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To: Jack Park who wrote (9280)11/18/1999 11:40:00 PM
From: Jack Jagernauth  Read Replies (1) of 18928
 
Hello Jack,

I may have something of interest to you. Like you, I am interested in beating the performance of whatever index, with lower risk if possible.

Here is something I back-tested in PCA in order to gain some insights with regards to the TSE300 (Toronto Stock Exchange) which has lagged the S&P and DOW and Nasdaq so much that Canadians have recently been investing more money outside of Cda, and outsiders just might be looking at Canada to buy stocks with good upside potential.

Yesterday, I ran a simulation of the TSE300 for the past 3 years and what I found was that the spread between Buy Safe and Sell Safe was very important to beating the index.

AIM worked well with the following parameters:
Buy Safe: -6% (minus 6)
Sell Safe: 10%
Starting Cash Reserve: 32%
Min. amount to sell: 5% of shares.

There were 8 buys and 8 sells for the period of about 3 years.

AIM's overall return was 26% (on total amount incl. cash reserve), while the return based on the valuation at the beginning and end of period was 23%. AIM outperformed slightly with less risk.

Return on Capital at Risk was 33%.
Average amount at risk was 79%, which means that about 21% of Capital would have been earning money market rates as well.

Regards, Jack
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