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Strategies & Market Trends : A.I.M Users Group Bulletin Board -- Ignore unavailable to you. Want to Upgrade?

To: bob wallace who wrote (11375)	6/2/2000 3:24:00 PM
From: Jack Jagernauth	Read Replies (1) \| Respond to of 18928

Hello BW, I really dont know exactly what parameters you had setup except for the very low SAFE's I am not speaking for RG, however, I was running some simulations with RG's settings of 1% min. trade, 2% buy safe, 2% sell safe (1 / 2 / 2). I ran the simulations with data for CTRA.TO and the ROCAR achieved with settings of 1 / 2 / 2 under-performed AIM-by-the-book and the settings I am currently using of 10 / 0 / 14, for the period studied. I was puzzled by this outcome, and after pondering it for a while, I used 1 / 20 / 20 to see what would happen, and I was surprised by the relatively high number of trades and the out-performance. I always sensed that the higher the min. trade, the lower the safe values would need to be in order to trigger buys and sells. But, I had no idea that with a min. trade amount of 1%, large safe values can actually trigger lots of trades and a higher ROCAR. However, I feel that in order to use 1% min. trade, one needs to have a large AIM account. I am interested to know what kind of results day-trading with AIM generates. Regards, Jack

To: bob wallace who wrote (11375)	6/2/2000 5:39:00 PM
From: rgammon	Respond to of 18928

Mr Wallace We (my co-conspirator and I) adopted the rules because TXN is a HIGH growth stock. The historic pattern, over the last nearly 10 years for this stock (TXN) is a 30% annual price appreciation with a trading range of 2:1. Now the last couple of years have seen a somewhat greater price appreciation (measured 12/31 - 12/31) than 30%. The really great buying opportunities are rare, and many of the dips fail to satisfy the requirements for trading according to Lichello's rules. We were also in a situation where trading costs were very close to zero, and taxes are not a consideration. Our model of the two year trading period Sept 95 thru Aug 97 showed that weekly AIM trading and Daily AIM trading per Lichello's rules had very minor differences in the performance, and both underperformed Buy 'N Hold (somewhat as we MIGHT expect with a strong rise in price). The ruleset with Daily Trading more than doubled Lichello's results, and about doubled Buy 'N Hold. We realized the basic flaw (i.e. this price pattern was unlikely to repeat), but chose to continue anyway. We have been RICHLY rewarded for the risk we took. In the most recent decline from $99 and change (split adjusted) since early March, Lichello rules would have made a very limited number of buys (low of about $60, not far below the $66 or so that would have triggered the first Lichello buy). Having said all this, I ONLY use this ruleset with TXN. I have several other items in my portfolio that I manage using AIM. All these other items use Lichello's rules, modified as most of us have to place min trades (or near min trades) using GTC Limit orders. I consider this aggressive ruleset to be appropriate ONLY in those cases where commissions are negligible, taxes are not a factor, and for large cap growth stocks whose price declines are just barely in the 30% range (min required for Lichello trades). I did not make these points clear in my presentation. Your Technical Analysis of this situation is helpful, I will study it in more detail to see how it might fine tune our ruleset. I see glimmers of what it might be able to do. As we work with our stocks, we have no idea whether today' 5% rise/fall is symptomatic of a larger trend reversal, or merely a blip in the long trem trend. We all struggle with the possibilities, UNLESS we are quite secure with the size of our portfolio, and then AIM is helping us rest better at night. I, for one, am far from satisfied with the size of the portfolio, and continue to look for opportunities to apply aggressive rules and/or items whose price pattern meets or exceeds the volatility that Lichello modelled, and does so at least as often as Lichello modelled. My latest effort seems to have found something where I can apply the Lichello math with the GTC Limit orders to achieve some AMAZING results. If this works out somewhat close to expectations, I WILL be giving a talk on this AIM'able item at our next AIM Clan Gathering. Robert - Mr AIM Aggressive