To: rgammon who wrote (11333 ) 6/2/2000 2:29:00 PM From: bob wallace Read Replies (2) | Respond to of 18928
Bob Gammon Tom just mentioned your name, and it took a while for me to connect you to a note from a friend of mine who attended the LV conference he said you gave a presentation talking about trading aim on a daily basis I really dont know exactly what parameters you had setup except for the very low SAFE's. also I know that one of the problems you mentioned was running out of cash easily well, I think I have fixed the cash problem, which I also ran into myself with these studies the are two elements to ficxing the problem: 1) THE TREND AIM is simply too fast recognizing trend changes on the daily charts, so you are always buying too high and selling to low. to counter that, I added an excel regression slope column (13 days) to the spreadsheet, and then modified the sell rule as follows: -don't sell unless the slope is +.25 or better, and don't sell if today's price is less than yesterday's. (ie don't sell into a downtrend and don't sell a downtick in an up trend) buy rules were changed accordingly 2) THE PORTFOLIO CONTROL for reasons I don't clearly understand, portfolio control just grows too darn fast for daily trading - any value from 10% to 25% works fine over a year and 1/2 or so, dont have test data for longer periods anyway, these two things taken together for daily trading end the cash crunch. I suppose using margin does the same thing btw, using either of these methods on a weekly AIM trade will kill your results. also, I don't find that the results are scaleable (ie they do well for 50K and 10K accounts, but performace relative to weekly trades begins to fail with a 100k account) Bob Wallace