AIM Hybrid - Moving Average Cross-Overs for Selling
Q......
Tom,
I have just re-started to apply AIM to my investments
a few months ago. I must say I have learnt from your
website. Thanks.
I access the A.I.M. Users Bulletin Board once in a
while to see if there are any new ideas or 'lectures'
on AIM. I came across some exchanges on delaying sell
actions in order to benefit from a strong upward
trend.
Just a few days ago, I was faced with the same problem
when I received my first Sell signal from AIM. I
thought the baby bull (others may not think the bull
is born yet) has barely stood up and therefore want to
delay the sell action. I toyed with the idea of using
an indicator as a filter to achieve this.
The indicator I use is made up of the difference
between two EMAs (this indicator is also called a
price oscillator). I did a simulation run on VTSS
using this idea just to compare it with your vealie
(as a matter of fact, I do not use vealie as the
market I participate in does not have the 10-year bull
run that you are blessed with). Below is a brief
description of the simulation:
EMA1 : 25
EMA2 : 100
Indicator = EMA1 - EMA2
Frequency of checking : daily
Take AIM sell signals only when the indicator slopes
downwards (negative Indicator value)
Take AIM buy signals as usual
Buy Safe : 0%
Sell Safe : 8%
Start date : 1 Nov 93, stock price at $0.7083
End date : 31 July 2000, stock price at $59.625
Initial investment :
$6667 in stock
$3333 in cash
Total $10000
Minimum trade size : $335
Commissions : not included
Interest : not included
Portfolio value as at 31 July 2000: $316,626.72
Min. cash balance during the period: $401.14
Max. value of portfolio during the period: $405,747.50
Below is a comparation of results achieved using other
parameter combinations:
(EMA1, EMA2) (BuySafe, SellSafe) Last Balance
===============================================
(10, 100) (0, 8) $405,244
(20, 100) (0, 8) $322,388
(10, 100) (8, 0) $392,914
(20, 100) (8, 0) $313,932
(25, 100) (8, 0) $307,506
(20, 80) (0, 8) $354,570
(20, 80) (8, 0) $349,448
(15, 60) (0, 8) $393,286
(15, 60) (8, 0) $378,615
(19, 39)* (0, 8) $413,442
* This is the standard McClellan oscillator.
The results above are much better than that of $136,602
(commissions and interest excluded)achieved using AIM
by-the-book. However, the challenge is to find a set
of parameters that you can use on all your
investments. For the time being, I will use (50, 100)
and (0, 4) combination on my investments (There aren't
many).
You may want to experiment with this idea further.
This method, however, does not work on buy actions.
Regards,
TC
-------------------------------------------------
A......
Hi TC,
Thank you for the detailed write-up on how you worked your
way through the various EMA switch over points and SAFE
settings. I very much agree with how you went about the
analysis. I assume you noticed that there's really only a
small difference in results whether one uses the entire
SAFE value on the Buy side or the Sell side. The difference
sometimes will even reverse if different starting and
stopping points were chosen.
By delaying the execution of the Sell point to where the
Short MA crossed to below the Long MA one will cut down on
the number of transactions and also increase the LIFO gain
on those transactions that are exercised. This improvement
making the trading more efficient appears to have done a
good job with your examples. It also seems to have helped
regulate the cash reserve build-up as a secondary benefit.
Yes, in the simulation graph I can see how there is pent up
SELL energy while the bullish phase is still in force and
that it is satisfied when the MA signals finally cross and
deliver the confirmation to Sell. All of a sudden the Cash
jumps rather quickly. Call it a Selling Climax for lack of
a better term. Then there appears to be a rest period until
the next bullish phase nears completion.
Nice graph, btw. I see you also placed the Cash Reserve on
the bottom where it belongs! One software provider put the
cash on the top of the Stacked Bar rendering an image that
was nearly useless. Any price change moved the whole
stacked bar up or down, but you couldn't tell if the cash
had changed or not.
I have saved the graph and linked it to the AIM Q&A Page so
others can see it.
aim-users.com (the TC is you, MA is
the moving averages and the X for cross-overs <g>)
Would it be all right for me to put up your example at the
AIM Q&A page? Please let me know.
Best regards,
Tom
------------------------------------------------ |
