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#TITLE Lichello's Automatic Investment Method (AIM) by Dennis Myers
{************* AIM_v4.TAS 7/17/92 by Dennis Meyers ******************}
{}
{ This program computes and plots the net equity of the stocks input using
the AIM algorithm described in Robert Lichello's book "How To Make
$1,000,000 In The Stock Market Automatically" . You must change the
variables int_rate and period to suit your run . this is a money managemen
t
system and you can change the parameters from Lichello's to change
the slope and shape of the equity curve .e.g. optimize }
{v2}{corrected portfolio contl error and added equity vs time regresion}
{v3}{added graphout of equity curve and regression vs buy/hold}
{v4}{corrected regression for t=0, added reg parm to printout}
{=====================================================================}
{ set up starting variables }
{=====================================================================}
#MAX_QUOTES 100
#output_file AIM.LST
qs=quote_count
pr_all=0; {print switch 1= print all calc daily-- 0=no print}
start=10000.0;
int_rate=0.0525;{change interest rate to whatever you get}
period='M'; {period can be D=daily, W=weekly, M=monthly }
wk_yr=365.0/7.0 ;
max_dd=0.0;
eq_var : number;
diff=0.0;
mkt_order=0.0;
min_order=100.0;{note: Lichello, p265 changes this to 5% x stock_val }
min_pct=0.02; {in order for p146 to give same results this should be}
{2% x stock_val. the bigger the minimum the more the }
{stock has to move before you buy or sell..egads another}
{variable to experiment with}
if period = 'D' then dy_int=int_rate/252.0;{apprx 252 trading days per year}
if period = 'W' then dy_int=int_rate/wk_yr;
if period = 'M' then dy_int=int_rate/12;
{=====================================================================}
{ set up arrays and array starting values }
{=====================================================================}
equity : array;
eq_reg : array;
shares : array;
del_shr : array;
buy_hold : array;
time : array;{create time variable that starts at 0 for linreg2}
for i=1; i<=qs; i=i+1;
time[i]=i-1;
{====================================================================}
{ start aim calculations }
{====================================================================}
save_pct=0.1;
stk_pct=0.5;
pcmul=1.0;
stock_val=start*stk_pct;
safe=save_pct*stock_val;
cash=start*(1-stk_pct);
pcntl=pcmul*stock_val;
port_val=start;
equity[1]=start;
shares[1]=stock_val/c[1];
del_shr[1]=0.0;
if pr_all=1 then {if print switch=1 then print all daily calculations}
begin
WRITELN(' DATE DJI STK_VL SAFE CASH',
' SHRCHG SHARES PCNTRL ADVICE ORDER PVALUE');
WRITELN(dates[1],c[1],stock_val,safe,cash,del_shr[1],shares[1],
pcntl,diff,mkt_order,equity[1]);
end;{ if print switch =1}
for i=2; i<=qs; i=i+1;
begin
cash=cash - del_shr[i-1]*c[i-1];
cash=cash + dy_int*cash
stock_val=c[i]*shares[i-1];
safe=save_pct*stock_val;
port_val=stock_val + cash;
equity[i]=port_val;
diff=pcntl-stock_val;
abdiff=diff
if diff < 0 then abdiff=-diff;
mkt_order=0.0
shares[i]=shares[i-1]
del_shr[i]=0.0
{min_order=min_pct*stock_val} {use only if using lichello's %min method}
if abdiff > safe then
mkt_order=abdiff-safe;
if mkt_order > min_order then
begin
if diff < 0 then mkt_order=-mkt_order;
del_shr[i]=mkt_order/c[i];
shares[i]=shares[i-1]+del_shr[i];
if mkt_order > 0 then pcntl=pcntl + (stk_pct*mkt_order);
end; {mkt_order <> 0 loop}
if pr_all=1 then {if print switch=1 then print all daily calculations}
WRITELN(dates[i],c[i],stock_val,safe,cash,del_shr[i],shares[i],
pcntl,diff,mkt_order,equity[i]);
end; { i for loop end}
{=========================================================================}
{ compute slope(%/yr), maximum drawdown(%), and variance about slope }
{=========================================================================}
buy_hold[1]=start;
eq_reg=linreg2(equity,time,0,0);
eqslope=eq_reg[qs]-eq_reg[qs-1];
a=eq_reg[1]
b=eqslope
if period = 'D' then eqslope=100*eqslope*252.0/start
if period = 'W' then eqslope=100*eqslope*wk_yr/start
if period = 'M' then eqslope=100*eqslope*12/start
{}
{ find maximum drawdown}
{}
maxeq=start
for i = 2; i <= qs; i = i+1;
begin
buy_hold[i]=start*(1+((c[i]-c[1])/c[1]));
if equity[i] > maxeq then maxeq=equity[i];
if equity[i] < maxeq then dd=maxeq-equity[i];
if dd > max_dd then max_dd=dd;
end; {i for loop end}
max_dd=100*max_dd/start;
{}
{ compute variance from trend line }
{}
n=0.0;
x=0.0;
x2=0.0;
eq_var=0.0;
for i = 1; i <= qs; i = i+1;
begin
n=n+1;
x=x + equity[i]-eq_reg[i];
x2=x2 + x*x ;
end; { i for loop end}
if n > 0 then
begin
eq_var=(x2-x*x)/n;
if eq_var > 0 then eq_var=100*(eq_var^0.5)/start;
end; {if n>0}
{===================================================================}
{ printout these results }
{===================================================================}
bhpct=100*(c[qs]-c[1])/c[1] ;
aimpct=100*(equity[qs]-equity[1])/equity[1]
writeln('\t\t\t\t\t\t AIM SLOPE MAX %',' ',' BUYHOLD',
' REGr EQUITY vs T');
writeln('\t\t from to G/L % %/yr DRAWDN % VAR',
' G/L %', ' a + b*(t-1)');
writeln(ticker,dates[1],dates[qs],format(aimpct,'%8.1f'),
format(eqslope,'%8.1f'),format(max_dd,'%8.1f'),
format(eq_var,'%8.1f'),format(bhpct,'%8.1f'),' ',a,' ',b);
{===================================================================}
{ graphout the equity curve and regresion }
{===================================================================}
opengraph(2);
graph(equity,format(aimpct,'aim g/l pct %6.2f'),
eq_reg,format(eqslope,'equity slope pct/yr %6.2f'),
eq_reg,format(max_dd,'maximum drawdown pct %6.2f'),
buy_hold,'buy_hold g/l');
graph(c,format(bhpct,'closing prices--buy_hold g/l pct %6.2f'));
closegraph();
{===================================================================}
{ program end }
{===================================================================}
return;
--- In amibroker@xxxxxxxxxxxxxxx, "Vinay Gakkhar." <vgakkhar@xxx> wrote:
>
> Dear Ernie,
>
> Can you share the TAS script?
>
> Best regards,
>
> Vinay
>
> On Fri, 18 Dec 2009 07:10:49 +0530, ewn87544 <trading4@xxx> wrote:
>
> > Has anyone written a script for Amibroker to run the automatic system from the book How to Make $1,000,000 in the Stock Market automatically by Robert Lichello.
> > This book last version was written in 1992 so if you haven't heard
> > of it don't be surprised. I have an old script from TAS that looks promising but would like to test it in AB.
> > Thanks
> > Ernie
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
>
>
> --
>
------------------------------------
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