Edgeware FastBreak Pro Version 5 Instrukcja Użytkownika

FastBreak Pro Version 5.x www.edge-ware.com

104.0 How FastBreak Pro is Different from Standard FastBreak Our intent when we designed FastBreak Pro was to automate development of mechanical tra

11 Determining optimized parameters that maximize your investment objectives is only part of the problem. Trading system developers must constantly b

125.0 Installation New users should first read the Standard FastBreak manual supplied with your purchase. That manual describes all the parameters

13 6.0 Technical Support and Upgrades Note: Do not call Investors FastTrack for technical support. Do not use the 800 order line number for technic

14 Install FastBreak using the installation CD  Go to our web site and download the latest upgrade, if one exists Upgrades We provide minor up

157.0 FastBreak Pro Operation We recommend that you read this manual in the order it was written; however, if you have experience with Standard Fast

16To switch back to the “Standard” FastBreak screens described in the standard manual use the icon on the far right of the icon tool bar: The fo

17To prevent over-optimization of the trading family, enter a Minimum Family size value: This option will keep a reasonable number of funds in your

18Systems has results from a study that reversed the typical date range order. Note: If you reverse the IS and OS date orders, be aware that FastBr

19First, the GA will converge much faster, thus reducing run time. The other advantage is that FastBreak Pro tries a fixed number of different value

2 Disclaimer and License Agreement The information that FastBreak Pro provides is only part of the information needed for a good investment program.

20 Options Screen To bring up the next group of parameters screen use this icon: This screen is mostly self-explanatory with the parameter ch

21 If you check the Correlation box, FastBreak Pro will try a maximum correlation, between funds to hold, for some strategies: The optimizer wil

22up-trend than would be captured by standard ranking methods. Note: The BOOM option will not work with all the ranking methods. See the Standard m

23Note: When optimizing for maximum return, the optimizer will often find strategies that hold only one fund, or the minimum number of funds you all

24Note: If you are using one or more of the curve fit ranking methods, a minimum of two or three market days are required to calculate the curve fit

25Stop Loss Click this icon to bring up the stop parameters page: Individual stop loss options can be chosen for consideration along with their r

26used, is available until the position is exited. This two time period option can be very useful if your mutual fund trading company charges you a

27Buy Filters Screen Click on this icon to bring up the Buy Filters screen: Buy filters are checks that can be applied to a fund prior to purchas

28purchased should be increasing at the rate of at least 8% per year measured over the most recent 31 days. To consider a Parabolic Buy Filter use t

29every strategy that the optimizer tries use this option. If the Force Use box is checked, it does not matter if the Correlation Buy Filter box is

3Table of Contents 1.0 Preface ... 4 2.0 Introduction ...

30Genetic Algorithm Screen Note: To better understand the following discussion you may want to go to Appendix A and read the discussion on Genetic A

31 Only one of these three parameters can be selected for optimization using the radio buttons. If a parameter is not selected for optimization, Fa

32to result in improved system performance using the 50% Survivor Selection Percentage (see below). It may be that the Survivor Selection Percentage

33described in the Appendix. Note: Activation of the Maximize Robustness option will triple run time; however, we believe it is critical to buildin

34database can be used. Note: If using the Minimize Beta option, the Beta Buy Filter should also be used on the Buy Filter screen. For example, if

35ADJ % ANN % UPI MDD S/ Y Gen# Rob St rat egy Beta Corr Alpha CAHPB LPKDESBR CB LE OEPRBE7.66 19.95 1.4 28.73 32 1 1 MAM 1.55 0.94 15.8 NNYNYNNN

368.0 Running FastBreak Pro Optimization The GA optimizer works interactively with a special version of Standard FastBreak. Standard FastBreak pro

37 The top half of the screen contains statistics about the top 10 best strategies that FastBreak Pro has found during the optimization run. The bot

38C Correlation Buy Filter B Beta Buy Filter X EMA Crossover Buy Filter When you see a “Y” in a column, this means an option was activated for th

39 Notice that there are two lines on each graph. One line is for the #1 strategy identified by FastBreak Pro (based on Adjusted performance

41.0 Preface FastBreak Pro has the look, feel and all the functionality of Standard FastBreak. Where FastBreak Pro is different is that it has the

40line is the 10th best strategy. You may see the two lines cross over, depending on the options selected. You can continue or stop a paused run by

41The 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 simp

42 If at a later time you want to reload the results, use the Load FB Pro Restart File option and select the desired restart file. FastBreak Pro wil

43If you turned on the option to optimize the trading family, FastBreak will create 10 unique families in the FastTrack User Defined folder. The fam

449.0 Examples We have included example files on the final installation disk. You can use the files directly from the disk, but we recommend copyin

45Look through all the various FastBreak Pro screens and note how we set the options and parameter ranges. Notice that this optimization uses only M

46After at lest one generation has completed, go to the Out-of-Sample Results screen (shown when the Light Bulb tool bar button is clicked). The GA

47show a drop in OS performance for a couple of generations, but then new solutions will be found which start to improve OS results. Therefore, you

48 After you choose the generation number you will be asked to provide a name. We will use the name Exp and FastBreak will provide the extensions (E

49In 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 t

52.0 Introduction Edge Ware, Inc. released the initial Standard FastBreak version in early 1996 to allow investors to design, evaluate and trade fun

50and evaluate them separately, but we will use the FastBreak Pro family optimization option to determine the best combination of funds. We build a

51 This trading strategy has very good performance in the OS period. The results are even more impressive compared to the major market indexes durin

52We see that all 10 new families (ET0 through ET9) are now available in the Families selection table. At this point we execute the strategy just li

53Example 3 – Trading Stocks One of the most exciting and aggressive uses of FastBreak Pro is developing stock trading systems. Note: Trading indiv

54a very short trading period. For this reason, it is important to have an OS period of reasonable length. Also, the problem can be exacerbated if

55 Annual return MDD UPI Beta Alpha 89.6 18.8 9.9 1.5 97.8 The S&P lost 12% and the OTC lost 45% over this same period. Note: You sh

56Example 4 – Building Market Timing Signal Files Read the chapter on building market timing signals in the Standard FastBreak manual. That chapter

57 Each 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 b

5810.0 Suggestions for Building Better Systems The optimization parameter defaults in FastBreak Pro will give you good results. In this chapter we s

59Keeping Track of Optimization Runs It is useful to keep a simple record of optimization runs. Although it is a simple matter to reload the restar

63.0 Upgrade Notes Special note to users of prior versions of FastBreak Pro. Note: For users of prior versions of Standard FastBreak see the Upgra

60return (note the false sharp peak at generation 3). However, we are seeing diminishing improvement in the IS results, and this is a reasonable pla

61The single fund system has the system with the best OS result but is also the system with the worst OS result. What is interesting is that the “ho

620 37.7 6 40.7 18 41.8 These results are very encouraging because all systems are comparable and the “older” systems actually have slightly better

63 What 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

64Trading International Funds We built a family of 34 international funds that can be traded with either no, or low transaction fees. We examined t

65discover ways of choosing from among the “best” trading systems provided by FastBreak Pro at the end of each generation. When FastBreak Pro comple

66 It 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 part

67 System OS Return FNU OS Post OS FNU PostNumber Annual, % Annual,% Annual, % Annual, %1 38.5 44.6 17.7 20 2 28.7 37.7 23.3 21.1 3 5.8 33 32.

68 Generation 8 was selected for detailed analysis. Here are the results (using FNU equity curves): System OS Return Post OS Number Annual, %

69Reversing the In-Sample and Out-of-Sample Data Periods FastBreak Pro allows the OS data period to be earlier than the IS data period. The more tr

7Also, 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 man

70 The Effect of MDD Objectives on Performance All investors want trading systems with a small MDD. Here are the results of a study that looked a

71a 10% MDD goal was rerun with this penalty activated. The IS, OS and OS MDD results are shown using an X in the above chart. We see that all thre

7211.0 Frequently Asked Questions and Common Problems Q) I crashed my hard drive (got a new computer, new laptop etc.) and I need to reinstall Fast

73a temporary family file to use. This will create confusion if multiple executions are trying to read and write to this family file. Q) I created

74Q) Should I ever “over-ride” the trading system? A) Usually the answer is no. One very good reason to stop trading a system is if the system start

75Appendix A -- Technical Discussion What are Genetic Algorithms? Genetic Algorithms are a mathematical method used to solve hard optimization prob

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

77 In this example, the parameter values are all increased by 5%. The strategy performance from this run is saved. Then a second evaluation is mad

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

79would be found during the IS optimization without robustness because the robustness check is yet another constraint that the genetic algorithm need

8by Sell ranking) fund. We now put an H in the Why Detail file column to indicate a Harnsberger sell.  Stop loss using a short/long Exponential Mo

9purchased. Some users have the requirement to hold a fund for a fixed number of days after purchase. They can now start a stop after this number o