Edgeware FastBreak Pro Version 6.5 Manual de usuario

FastBreakProVersion 6.xwww.edge-ware.com

10Changes in Version 5The following list of changes covers upgrades from Version 4 to Version 5. Some usersmay be upgrading from very old versions, an

11often fail resulting in a whipsaw trades. We saw the need for market timingsignals that would keep the trading system out of the very worst of marke

12minimum holding period value. This is now very similar to setting the top % to zeropercent. One difference is that if more than one fund can be sold

13users have the requirement to hold a fund for a fixed number of days after purchase.They can now start a stop after this number of days. Ability to

144.0 How FastBreak Pro is Different from Standard FastBreakOur intent when we designed FastBreak Pro was to automate development of mechanicaltrading

15to try, and this is why FastBreak Pro uses a very sophisticated genetic algorithm (GA) toevolve the parameter choices.Determining optimized paramete

165.0 InstallationNew users should first read the Standard FastBreak manual supplied with your purchase.That manual describes all the parameters and o

176.0 Technical Support and UpgradesNote: Do not call Investors FastTrack for technical support.Do not use the 800 order line number for technical sup

18UpgradesWe provide minor upgrades to FastBreak on our web site, and if you encounter an error,we suggest you download the latest version of the soft

197.0 FastBreak Pro OperationWe recommend that you read this manual in the order it was written; however, if youhave experience with Standard FastBrea

2Disclaimer and License AgreementThe information that FastBreak Pro provides is only part of the information needed for agood investment program. Cons

20To switch back to the “Standard” FastBreak screens described in the standard manual usethe icon on the far right of the icon tool bar:The following

212ndNote: the Optimize Family option is not available when using trendline Stops orBuy filters. See Appendix A for details.To prevent over-optimizati

22Most ETFs have very short histories. FastBreak assumes historical data starts on9/1/1988 (earliest date in FastTrack database) to adjust the start d

23If you want to try Buy and Sell Using Rank, you would check the box and this wouldindicate to try that parameter option. Next, FastBreak Pro needs a

24When using the (NC) alpha ranking method, you need to enter the alpha index to use.The default is the S&P 500 (SP-CP).Short EMA/Long EMAUsers of

25If you check the Correlation box, FastBreak Pro will try a maximum correlation, betweenfunds to hold, for some strategies:The optimizer will try to

26You can force FastBreak Pro not to use the option, to use the option, or allow FastBreakPro to optimize whether to use the option. This option is ve

27The brokerage STRF minimum holding period, Short Loss and Delay values are set to theuser defined values, and these parameters are described in the

28If you use Yes, the optimizer will always try the adjustment option. If you checkOptimize, the optimizer will “consider” using this functionality.Se

29logarithmic and linear trendline options for Buy filters and sell Stops. If the No radiobutton is chosen then only linear trendlines will be used.If

3Table of Contents1.0 Preface ... 42.0 Introduction

30Stop LossClick this icon to bring up the stop parameters page:Stop Begin DayThis option is used in the optimization process to suspend all Stops for

31a minimum number of calendar days is reached. The option is at the top of the screenwhere Stop optimization ranges are set.There is a single value i

32You are not required to use the second period. If you want a single stop value to be foundfor the entire time period a fund is held, check only the

33Buy Filters ScreenClick on this icon to bring up the Buy Filters screen:Buy filters are checks that can be applied to a fund prior to purchase. See

34ROR is to be calculated. For example, FastBreak may determine that the fund to bepurchased should be increasing at the rate of at least 8% per year

35wants to force this filter to be used the Force Use box can be checked. This will makeevery strategy that the optimizer tries use this option. If th

36Genetic Algorithm ScreenNote: To better understand the following discussion you may want to go to Appendix Aand read the discussion on Genetic Algor

37Only one of these three parameters can be selected for optimization using the radiobuttons. If a parameter is not selected for optimization, FastBre

38some genetic algorithm books, but we have not found these large population sizesto result in improved system performance using the 50% Survivor Sele

39described in the Appendix. Note: Activation of the Maximize Robustness option willtriple run time; however, we believe it is critical to building go

41.0 PrefaceNote: A PDF copy of this manual is on your installation disk. We recommend you puta copy on your computer so you will always have a copy a

40database can be used. Note: If using the Minimize Beta option, the Beta Buy Filtershould also be used on the Buy Filter screen. For example, if a us

41The information in this file will be covered later when the optimizer is covered.Using this option can result in quite a large file. Use with care.T

42FastBreak Pro will look at the Weight% values you have entered and sum them, in thecase of our example that would be 80%. FastBreak then assumes the

438.0 Running FastBreak Pro OptimizationThe GA optimizer works interactively with a special version of Standard FastBreak.Standard FastBreak provides

44The list order for both lists are based on “Adjusted” performance (Adj %). Thisperformance will be based on the option for optimization that the use

45E EMA Buy FilterP Parabolic Buy FilterR RSI Buy FilterC Correlation Buy FilterB Beta Buy FilterX EMA Crossover Buy FilterT Trendline Buy FilterB Adj

46For example, here are the graphs for Annual return, MDD, UPI and robustness:

47Notice that there are two lines on each graph. One line is for the #1 strategy identified byFastBreak Pro (based on Adjusted performance in the Best

48The 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

49ANN SD The standard deviation of the Out-of-Sample annual returns for the top tensystems. The larger the value, the larger the variation in Out-of-S

52.0 IntroductionEdge Ware, Inc. released the initial Standard FastBreak version in early 1996 to allowinvestors to design, evaluate and trade fund ro

50Saving StrategiesThe parameters for the top ten best systems can be saved after a run has finished, or theprogram can be paused during optimization

51You can then see the specific strategy parameters found and you can execute FastBreakPro in the standard manner to view Detail results or FNU files.

529.0 ExamplesWe have included example files on the installation CD. You can use the files directlyfrom the CD, but we recommend copying the files to

53hold three funds because we set the minimum and maximum range for # funds held to 3.We are optimizing on Annual return, but have specified an MDD go

54future market conditions. The reason we reserve some recent out-of-sample market datais to test the optimized parameters. We are looking for the poi

55The OS MDD is a little disappointing because we optimized with a 15% MDD, and wesee that the OS MDD is typically in the 17-22% range. There are some

56After you choose the generation number you will be asked to provide a name. We willuse the name Exp and FastBreak will provide the extensions (Exp0.

57In this example, we chose system # 10 in generation 9 because it was the best in the Out-of-Sample screen. Should we always automatically choose the

58and evaluate them separately, but we will use the FastBreak Pro family optimizationoption to determine the best combination of funds. We build a tra

59This trading strategy has very good performance in the OS period. The results are evenmore impressive compared to the major market indexes during th

63.0 Upgrade NotesMaintaining Existing FastBreak Trading StrategiesIf you have existing FastBreak strategies that you like we recommend that you keep

60We see that all 10 new families (ET0 through ET9) are now available in the Familiesselection table. At this point we execute the strategy just like

61Example 3 – Trading StocksOne of the most exciting and aggressive uses of FastBreak Pro is developing stocktrading systems. Note: Trading individual

62an inaccurate indication of performance when performance results are measured overa very short trading period. For this reason, it is important to h

63Create the DFT files for generation 14 using the method in the first two examples. Now,load strategy 5 DFT into FastBreak, change the strategy start

64Example 4 – Building Market Timing Signal FilesRead the chapter on building market timing signals in the Standard FastBreak manual.That chapter will

65Each day you can load this DFT file and execute it just as you would any trading system.If there is a market buy or sell, the signal file will be up

6610.0 Suggestions for Building Better SystemsThe optimization parameter defaults in FastBreak Pro will give you good results. In thischapter we show

67Keeping Track of Optimization RunsIt is useful to keep a simple record of optimization runs. Although it is a simple matter toreload the restart fil

68improvement in the IS results, and this is a reasonable place to stop and choose the 12thgeneration for further study.We like to see the best system

69single fund system has the system with the best OS result but is also the system with theworst OS result. What is interesting is that the “hold 3” s

7build systems that are complementary to traditional FastBreak systems that always buyinto strength. This will become clear as each of the new options

70"Stale"monthsOSReturn,%/year0 37.76 40.718 41.8These results are very encouraging because all systems are comparable and the “older”system

71What is very clear is that in the early to mid 90’s, it appears that your chance for out-performance was much better. The ratio hit a low in the Jun

72Trading International FundsWe built a family of 34 international funds that can be traded with either no, or lowtransaction fees. We examined the im

73discover ways of choosing from among the “best” trading systems provided by FastBreakPro at the end of each generation.When FastBreak Pro completes

74It can be argued which of the ten systems would have been chosen to be traded. The out-of-sample MDD was very similar in all cases. In this particul

75System OS Return FNU OS Post OS FNU PostNumber Annual, % Annual,% Annual, % Annual, %1 38.5 44.6 17.7 202 28.7 37.7 23.3 21.13 5.8 33 32.2 32.14 41.

76Generation 8 was selected for detailed analysis. Here are the results (using FNU equitycurves):System OS Return Post OSNumber Annual, % Annual, %1 2

77Reversing the In-Sample and Out-of-Sample Data PeriodsFastBreak Pro allows the OS data period to be earlier than the IS data period. The moretraditi

78history. We found that optimization on this recent bear market data improved riskperformance.The Effect of MDD Objectives on PerformanceAll investor

79will now “avoid” trading systems that activate too many stops. The above example usinga 10% MDD goal was rerun with this penalty activated. The IS,

8Release notes for FastBreak Pro Version 6.3Version 6.3 allows a user to add FNU and Detail files when the best generation systems(DFT files) are save

8011.0 Frequently Asked Questions and Common ProblemsQ) I crashed my hard drive (got a new computer, new laptop etc.) and I need to reinstallFastBreak

81a temporary family file to use. This will create confusion if multiple executions aretrying to read and write to this family file.Q) What kind of co

82Q) I’m using NCalpha ranking, and the funds ranked highest have recently dropped morein price than any other funds in my trading family. How can fun

832. Note how long the IS Start Date occurs after 9/1/1988. This will give you thedelta delay you need. Round up to the next month. For example, say F

84Appendix A -- Technical DiscussionWhat are Genetic Algorithms?Genetic Algorithms are a mathematical method used to solve hard optimization problems.

85Adjusted Performance = 20% x 15/18 x 10/14 = 11.9%This calculation is made for all systems (chromosomes) in a generation. All the adjustedperformanc

86In this example, the parameter values are all increased by 5%. The strategy performancefrom this run is saved. Then a second evaluation is made, but

87Since 0.86 is greater than 0.85, no robustness adjustment is made to the original 24%performance.Which method, Average or Lowest, is better? Our res

88usually results in a reduction to the variable being optimized (constraints such as MDD,or switches per year have the same effect). We are willing t

89The time it takes to build the trendlines is dependent on the following: Number of family members Size range for trendlines to be built. If you us

9Details of the Trendline algorithm is provided in the Appendix A of the StandardFastBreak manual, and issues to consider when using Trendlines with t