Edgeware FastBreak Standard Version 6.2 Manual de usuario Pagina 1

FastBreakVersion 6.xEdge Ware, Inc.www.edge-ware.com

10Additional Changes between Version 2 and Version 5Note: You can load trading systems developed with Version 2 of FastBreak into thisnew version, how

114.0 FastBreak Trading SystemFastBreak uses a trading system method that buys mutual funds showing strong relativetrends in price and sells funds tha

12of a fund to an index and buys the fund that is showing the strongest strength compared tothe index. Ranking strategies compare the price action of

137 FBIOX Fidelity Sel Biotechnology/042 8.58 FSCPX Fidelity Sel Consumer Prod/517 8.49 FSCSX Fidelity Sel Software-Comp/028 8.210 FSVLX Fidelity Sel

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

15 Install FastBreak using the installation CD Go to our web site and download the latest upgrade, if one existsUpgradesWe provide minor upgrades to

166.0 Installing FastBreakNote: If you computer doesn’t have a CD drive you can still install FastBreak. If you canget access to a computer with a CD

174) The second screen you will see is:The setup program is asking the name of the drive and directory where FastBreak is to beinstalled. The default

18Reinstalling FastBreakReinstalling FastBreak is our number one tech support problem. Users crash hard drives,buy new computers, new laptops, etc. Yo

197.0 FastBreak Options and FunctionsFastBreak is run from the Windows environment, and your installation should have cre-ated an icon when you click

2Disclaimer and License AgreementThe information that FastBreak and FastBreak Pro provide is only part of the informationneeded for a good investment

20When FastBreak is launched, it will read all the family names in your FastTrack directo-ries (Ft\Ftdef, Ft\Userdef, and Ft\Ft4win\Sftdef), including

21characters such as ~,@ etc. You can also use the slider bar to the right of the familynames to find the family of interest. Once the family is locat

22If using money market in a ranking strategy, this menu item will allow you set a mini-mum holding period for the money market fund before it can be

23Strategy TabNext, click on the Strategy Tab to bring up the following screen:This is the most complicated menu screen in FastBreak. This tab sets up

24Each choice is described below:Buy and sell using rank - This is the most often used strategy. A simple FastTrack typeranking is made on the funds i

25other screen options. AccuTrack trading parameters will replace the ranking buy and sellranking parameters. This will be explained later in this cha

26Buy & Sell: General Anchored Momentum - This option is based on work by RudyStefenel and published in Technical Analysis of Stocks & Commodi

27100 days of data prior to the start date. It is important not to override the FastBreakdefault date.End dateThis is the date FastBreak will use to e

28When this option is selected, FastBreak creates an “inverse” fund for each fund in thetrading family. For example, if the real fund is down 2% one d

29These three parameters define all the test cases that FastBreak will evaluate as buy rank-ing periods. The units are market days. For example, if Bu

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

30Note: These parameters are only visible if Buy and Sell using AccuTrack has been se-lected. These parameters are very similar to the Buy and Sell pa

31Min Buy Period, Max Buy Period, Delta, and EMA PeriodMin Sell Period, Max Sell Period, DeltaNote: These parameters are only visible if Buy and Sell

32User Min HoldThis is the minimum number of days to hold a fund that has been purchased. Some fundshave short term trading fees if the funds are held

33FastTrack each evening and then run FastBreak. If a trade signal is given, the tradewould take place at tomorrow’s closing price when using mutual f

34Trading DaysUse this option to determine how often you want your strategy to trade. Selecting Daily,the most common choice, will allow the strategy

35Notice that all the .sig files in the FastTrack sig directory are listed. This menu allowsyou to change the Drive and Directory where your .sig file

36Only “T” (for Trade) values are used and not “B” or “S” values, as in the standard signalfile.This file can be built in a text editor or built using

37change. When the Index moves above the EMA, the ranking parameters will changeback to the specified long values. Adjustments can be applied to the r

38Stop Loss TabClick on the Stop Loss Tab to see the following screen:A stop loss is used to close or “stop” out of a fund position because of a stop

39Trailing Loss %This is the maximum draw down an investor is willing to accept on any trade. The loss iscalculated based on maximum NAV after a fund

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

40ParabolicSee Appendix A for an explanation of this stop function. FastBreak allows the user to setthe Start, Maximum, and delta value (shown as Acce

41that the Period be set to at least thirty trading days to calculate a standard deviation that isstatistically significant.Exponential Moving Average

42This option will sell a fund that drops below a user defined minimum annualized rate ofreturn percentage over some user defined number of market day

43This is the Trendline Stop option. It will sell a fund when the fund trades below its trend-line. See the Appendix A for details of how FastBreak ca

44Buy Filter TabThis tab contains filters that can be applied to a fund prior to purchase.As FastBreak considers a fund for purchase, the fund will ne

45If this option is selected, the fund being considered for purchase must be above the para-bolic curve prior to purchase.Beta Buy FilterThis option w

46This option is closely related to Min ROR Sell Stop.This option will prevent the purchase of a fund that is not increasing in price at an annual-ize

47Many investors use the RSI to help confirm that a fund is in an up trend prior to purchase.A common value used is a trigger of 50 days measured over

48Adjust EMA Buy FilterThis option is very similar to the Adjust Beta Buy Filter option. The intent is to adjustthe EMA Buy Filter value based on an i

49Output Files TabSelect the Output Files Tab to bring up the following screen:This screen allows the user to select a variety of outputs.Summary file

52.0 IntroductionAn early version of FastBreak was reviewed in the July 1999 issue of Technical Analysisof STOCKS & COMMODITIES, the premier techn

50name and path. A description of the Detail file contents will be described later. Note: Itis suggested that the detail file be created only when a s

51Summary Grid TabThe Summary Grid will appear while FastBreak is executing. After the run is complete,select the Summary Grid Tab and the following s

52The file contains the results from each test case. Note: When running a single tradingstrategy, only one row will appear on this screen.TEST CASE is

53existing file from the listing. Select OK, then click on the Summary Grid Tab. This willload the existing file data.Detail Grid TabSelecting the Det

54The WHY column contains the reason the trade was made. The following table containsthe explanation of the code:Code Reason for SellM Momentum (Ranki

55knows the earliest you can sell is next Monday and it gives credit for three days. Itdoes not keep track of market holidays.If you place the mouse c

56This part of the Detail file shows statistics on each fund that was traded in the strategy.Funds in the trading family not traded are not included.

57File menu .The File pull down menu is used to open and save default files, print summary and detailfiles, and set preferences file. The exit menu it

58This example indicates that no specific set of defaults will load when FastBreak islaunched. If you push the small button, a default file selection

59This menu allows the user to sort the Summary Grid information in ascending or de-scending order by many of the fields in the Summary Grid. For exam

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

608.0 FastBreak ExamplesThis chapter will run through two typical FastBreak studies, running the program, lookingat the output files and looking at th

6111. “Delay” of 1 day12. “Short loss” any value will work (Without setting a stop, or using a signal file, Shortloss will not be used)13. Check the “

623. Notice that a 26 day ranking produced good results. This will be used for the nextrun. Note: Your results may be different due to changes in the

63

649.0 Analyzing FastBreak OutputFastBreak summary files can be analyzed in spread sheets (or in a companion productfrom Edge Ware called FastGraph) an

65then selecting the sort command. The effect is to put the cases in order of decreasing re-sults. Do this for both summary files.Now, re-chart the da

66The difference between the curve fit lines is 2-5 % for the better performing test cases.The trader would need to determine if 2-3% per year of perf

67are run, only chart the top 5%-20% of the top best test cases by charting sell ranking andbuy ranking (or AccuTrack parameter 1 and parameter 2) to

68This chart was made using FastGraph. The way to interpret the chart is darker regionshave better performance than lighter regions. The chart is colo

6910.0 Building Market Timing SignalsFastBreak can be used to develop market timing signal files. These signal files are in thestandard FastTrack DOS

7trendlines can be used to determine if a downward move has ended and it is safe to buy,i.e., Buy filter. The vast majority of trendline users use a m

70If you compare the signal file results with the Detail file results you will observe. Eachtime FastBreak sells the money market fund a Buy, i.e., “B

7111.0 FastBreak Calculation DetailsHere are some details on the way FastBreak analyzes a trading strategy that may not beobvious; but the user needs

72case it checks the second ranked fund, etc. However, if the top ranked fund is moneymarket it can be bought again. This is considered a defensive po

73occurrence. If it occurred frequently, we suggested that stops were being set too tight.We changed the logic in FastBreak to prevent this from happe

74delity Select Energy (FSENX) alone and combined with FSESX for the signal. We usedthese different signals with a batch of energy and energy service

7512.0 Suggestions on Improving Trading StrategiesSee the Resources Chapter for a list of resources that may help you in developing yourtrading strate

7613.0 Trading using FastBreakOnce you have determined your trading strategy and which parameters to use, you canstore them using the Save Default As

7714.0 Batch System ProcessingIf you have several trading systems to be evaluated each day, you can now build a “batch”file that will load, run, and s

78screen will open that allows you to give a name to the Notepad text file. Note: If youcheck the Include Detail option, the batch run will put the la

7915.0 Frequently Asked QuestionsQ) I crashed my hard drive (got a new computer, new laptop etc.) and I need to reinstallFastBreak Pro.A) This is our

8time. Also, we wanted to develop our own signals that met our needs, e.g.,switches per year, drawdown, markets traded etc.o One disadvantage of the m

80A) When FastBreak is launched, it will read all the family names in your FastTrack di-rectories (Ft\Ftdef, Ft\Userdef, and Ft\Ft4win\Sftdef), includ

81in NAV that may indicate a distribution. If there is, then you may want to wait a few daysuntil FastTrack adds the distribution to the database.Q) M

82A) Are you using a signal file Risk value other than zero? If so, on the days that the sig-nal file changes direction the strategy will move money i

8316.0 ResourcesWe have sample trading systems on our web site www.edge-ware.com. We also write ayearly commentary on how different trading systems pe

84Appendix A - Technical DiscussionCurve FittingFastBreak uses three different types of curve fits: Least Squares Linear, Power (callednon-linear on m

85Now, using the slope of each equation at trading day 12 the following chart is made:Slope at Day 121.001.011.021.031.041.050 2 4 6 8 10 12Trading Da

86Ulcer Performance IndexThe Ulcer Performance Index is defined in Martin & McCann’s book The Investor’sGuide to Fidelity Mutual Funds. The Ulcer

87When using the parabolic stop, FastBreak will not purchase a fund if it is trading belowits parabolic because the fund would be stopped out the foll

88looking at three days of closing prices. For example, today’s true range would be thehigh of the last three days minus the low of the last three day

89becomes very deep. It was felt that this steady buying may also apply to mutual fundsthat are invested in a “high demand” group of stocks.A methodol

9 Stop loss using a short/long Exponential Moving Average (EMA) crossover. This issimilar to the current EMA stop except that the fund NAV is smoothe

90Commodities magazine. FastBreak incorporates two versions of AM - General AnchoredMomentum (GAM), and Most Anchored Momentum (MAM).GAM divides a smo

91period. The current NAV is smoothed by an EMA specified by the user. The ratio of thetwo moving averages is used to calculate a ratio used to make a

92Notice there is a very obvious relationship between return and beta. The thin line is atrend line of all the data points. You will notice that there

93“force” the line to other expectations. A mathematical algorithm is not subject to suchexpectations, but at the same time cannot “see” other potenti

94The trendline algorithm in FastBreak makes a determination if the low price point dip (inan upward trend) is significant and should be considered as

95Investment objectives will help define how trendlines are drawn. For example, if a pri-mary objective is to avoid large equity draw-downs then trend

96To activate the trendline Buy filter the above option is on the Buy Filter Tab. Activationof this option will prevent purchase of any issue that is