2003 Year End Vortex Portfolio Results
Explanations
Portfolio Management from 2-9-2002 till 31-12-2003;
Portfolio Investering = 20 000 Monetary Units;
Most funds were started with 20% Cash (CER=20/80);
No Margin Investing;
No backwards tweaking (trades are entered as numbers). The functional expressions of the algorithms are therefore no longer able to change the trade amount after an execution. Also al critical no-trade cells for the Trade Advice, up to the last trade, are set to zero. This is done to prevent changes in the parameters to create new trade recommendations;
Typical trading costs/interest used:
· Shares: 10 per trade + 0,5% of trade amount;
· Mutual Funds: 0,5% of trade amount;
· Interest on cash: 4% compounded per trade date.
Intermediate optimization of parameters used when judged necessary;
Account Rebalancing done when considered necessary;
Advice Overriding executed when judged necessary (only used a few times).
This management resulted in yield figures that are a combination of the Vortex System plus my personal judgments.
The yield is expressed as
ROI using the original 20 000 Dollar or Euro capital injection. He yield is calculated as: Trading Profit –Transaction Costs + Interest)/20000/(Time in days)*100%
and as
ROTAI as for ROI but using instead of the 20000 the Time Averaged (positive) Investment: TAI. If due to withdrawals the net invested capital becomes negative the withdrawals are excluded form the calculation. This makes the ROTAI approximately the same as the ROCAR as defined by Tome Veale.
American Exchanges
QQQ Basic
ROI = 23,9 %
ROTAI = 49,4 %
B/H = 44,7
CER (End) = 8/92
QQQ(English Version for e-mailing)
ROI = 39,3
ROTAI = 55,1
B/H = 44,7
CER (End) = 7/93
The reason for the different results is that the English version was set up for sending to people that asked for a Vortex spread sheet. Because of a lack of a 1-to-1 management control the English version was updated at different times and not rigorously matched to the QQQ Basic. Also about halfway through the Demo Period I switched all the portfolios from Resistances using Share Value to Resistances using the PC Value. Using the Share Value is, I believe, detrimental to the yield development. The English version was started out (as far as I can remember) with the PC as Resistance reference.
All in all the Vortex Portfolio Results are not standard results for drawing hard conclusions for comparing. I made various mistakes that were not corrected retroactively. These mistakes are not all recorded but some of them hurt the yield and some of them may gave aided the yield.
For this reason the results should be seen as practical results.
In regards to optimization techniques I mention that I do this manually at the expense of a lot of extra time. What I do is this:
1) I duplicate the Demo Portfolio and reset the algorithms to their functional expressions to make the spreadsheet active for the actual share price history;
2) On the Optimization spread sheet I tweak the system to optimum portfolio value using the actual share Price Data Set as was used. I do not used the real Price Data Set but only those that were entered into the spreadsheet. This means that the optimization Data Set run is much smaller than the real data set but contains the most relevant prices that were close to trading levels, thereby ignoring the price ripples that did noting to create any trade. I see this as a sort of upper/lower banding definition;
3) Based on the optimum parameter set for the recent history this parameter set is transferred to the Demo Portfolio.
This practice, I believe, provides the system with the most up to date parameters to take advantage of a trend. Specifically this is demonstrated if one selects the price history period in which the trend is noticeable. This practice confirms my proposition that the best parameter set is selected as long as the trend is maintained. For a general uptrend there is clear selectivity for a high Sell Resistance and a much lower Buy Resistance. For the Trade Multipliers this is the opposite: The buy aggression is set high and the sell aggression is set low, or even negative, and this follows the settings that one would intuitively expect for such a trend.
The rest of the Demo Portfolio’s:
ASML
ROI = 79,1
ROTAI = 122,2
B/H = 100,2
CER (End) = 1/99
Dutch Exchange AEX
Royal Dutch Oil
ROI = 6,9
ROTAI = 10,2
B/H = -3,2
CER (End) = 2/98
Unilever
ROI = -3,4
ROTAI = -4,4
B/H = -9,8
CER (End) = 20/80
Luxemburg Exchange-ABN House Funds
Japan Equity Fund
ROI = 28,3
ROTAI = 56,6
B/H = 9,7
CER (End) = 10/90
China Equity Fund
ROI = 32,5
ROTAI = 54
B/H = 59,4
CER (End) = 20/80
Latin American Equity Fund
ROI = 31,2
ROTAI = 71
B/H = 61,1
CER (End) = 11/89
