Bruce,
I did a study of the 9 of the 10 possible stocks in the Offshore
Drilling Bits universe and found these results for a $10k initial
investment, 25% initial Cash level and $1000 minimum trade:
FGII - 7/22/97 - 7/8/97 AIM - $22,252 vs. B&H - $22,646
EVI - 2/03/97 - 7/8/97 AIM - $15,077 vs. B&H - $12,016
VRC - 2/03/97 - 7/8/97 AIM - $17,853 vs. B&H - $14,178
RIG - 2/03/97 - 7/8/97 AIM - $15,668 vs. B&H - $14,333
RON - 2/03/97 - 7/8/97 AIM - $15,725 vs. B&H - $13,594
CXIPY- 1/29/97 - 7/8/97 AIM - $18,910 vs. B&H - $20,307
MIND - 7/22/97 - 7/8/97 AIM - $17,081 vs. B&H - $11,284
CDG - 4/03/97 - 7/8/97 AIM - $15,133 vs. B&H - $10,625
DO - 2/03/97 - 7/8/97 AIM - $13,617 vs. B&H - $11,404
B&H (buy and hold) assumes 100% of the initial investment is in stock.
As you can see if the stock moves around quite a bit and then fails to
rise, the results using the AIM system are superior. The one thing to
mention is that the results are obviously skewed by the recent
downturn in the group, but the model I was using showed AIM making
selective buys and sells at almost exactly the correct times over the
past year plus in the data.
Of course everyone should realize this is still just an exercise. I
don't have any dead presidents riding on the outcome (yet).
Looks like you may be in for a little buying right off the bat.
I suspect that FGII will have a buy next week as it is less than $1
above the AIM buy point and VRC is certainly within a possible move
on a daily basis. The others???
Bruce, I also figured out how to automatically calculate the buy/sell
points from Bill's spreadsheet which eliminated the one minor
drawback the spreadsheet had. It uses the minimum trade $$ level
only as a first cut. Since we started each stock in the portfolio
out at $20,000, the minimum trade is $1,000. If/when we start to
show a profit, I suspect I'm going to have to adjust that up a bit
although in these days of $12 commissions, that might not be worth
the trouble.
BTW, although these stocks are very volatile, the Buy SAFE optimum
never lower than 7% and the Sell SAFE optimum answers were often
near the highest levels that were allowed in my optimization
technique. Am I using a strange subset of stocks to look at, or
is something going on here that I don't understand yet [quite
possible]???
Is there someplace on the net I can read about the Portfolio Control
number and its implications in the buy/sell decisions. I can see
mechanically how it works, but I'm looking for a rationale about why
it should be done this way.
----
Dave |
