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The Out-of-Sample (OS) Results screen adds a new line at the end of each generation.
When we refer to “Average” values, we are referring to a simple average of the ten best
systems that have been found. Note: A common misunderstanding is that the ten best
systems were all found in the current generation. This is not the case. For example, at
the end of generation 8, there are ten “best” systems found and saved. These best
systems could have been found in any of the eight generations evaluated. This will
become clearer after running the examples in the next chapter.
Each summary line has the following information:
GEN Generation for which the results are reported
IS ANN Average In-Sample return for the top ten best systems found at the end of
the generation
OS ANN Average Out-of-Sample return for the top ten systems
UPI Average Out-of-Sample Ulcer Performance index for the top ten systems
MDD Average Out-of-Sample MDD for the top ten systems
S/Y Average Out-of-Sample switches per year for the top ten systems
BETA Average Out-of-Sample maximum Beta for the top ten systems
CORR Average Out-of-Sample maximum Correlation for the top ten systems
ALPHA Average Out-of-Sample Alpha for the top ten systems
ANN SD The standard deviation of the Out-of-Sample annual returns for the top ten
systems. The larger the value, the larger the variation in Out-of-Sample
performance.
MAX ANN The maximum Out-of-Sample return for the top ten systems. The value in
( ) after the value is the position in the top ten systems. In the screen print
above, the best OS performance at the end of generation 8 was 155.47%.
This system is the 7
th
“best” system, based on adjusted IS performance, of
the top ten systems that had been found by the end of generation 8.
MIN ANN The minimum Out-of-Sample return for the top ten systems. The value in
( ) after the value is the position in the top ten systems.
Saving and Restarting Optimization Runs
You can save all the results of an optimization run. You do not need to wait until all
generations have be completed, but if you want to save the results during a run use the
Pause icon to halt execution first.
To save your results, with the option of restarting at a later date, use the FastBreak Pro
menu and select the Save FB Pro Restart File option:
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