Edgeware FastBreak Standard Version 5 Manuel d'utilisateur

FastBreak Version 5.x Edge Ware, Inc. www.edge-ware.com

104.0 FastBreak Trading System FastBreak uses a trading system method that buys mutual funds showing strong relative trends in price and sells funds

11to the index. Ranking strategies compare the price action of a fund to a group or “fam-ily” of other funds. The fund showing the greatest percent

12 8 FSCPX Fidelity Sel Consumer Prod/517 8.4 9 FSCSX Fidelity Sel Software-Comp/028 8.2 10 FSVLX Fidelity Sel Home Finance/098

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

14 Go to our web site and download the latest upgrade, if one exists Upgrades We provide minor upgrades to FastBreak on our web site, and if you

156.0 Installing FastBreak To install FastBreak: Minimum of 5 MB free on your hard drive Minimum of 64 MB RAM (128MB XP) Minimum 200 MHz processor

16 The setup program is asking the name of the drive and directory where FastBreak is to be installed. The default is C:\FTBREAK (FTBREAKP for Pro)

17Reinstalling FastBreak Reinstalling FastBreak is our number one tech support problem. Users crash hard drives, buy new computers, new laptops, e

187.0 FastBreak Options and Functions FastBreak is run from the Windows environment, and your installation should have cre-ated an icon when you cli

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

2Disclaimer and License Agreement The information that FastBreak and FastBreak Pro provide is only part of the information needed for a good investm

20characters such as ~,@ etc. You can also use the slider bar to the right of the family names to find the family of interest. Once the family is l

21If 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

22Strategy Tab Next, click on the Strategy Tab to bring up the following screen: This is the most complicated menu screen in FastBreak. This t

23 Each choice is described below: Buy and sell using rank - This is the most often used strategy. A simple FastTrack type ranking is made on the

24other screen options. AccuTrack trading parameters will replace the ranking buy and sell ranking parameters. This will be explained later in this

25Buy & Sell: General Anchored Momentum - This option is based on work by Rudy Stefenel and published in Technical Analysis of Stocks & Commo

26correlation check with a period of 100 trading days, then the start date will be adjusted to allow 100 days of data prior to the start date. It is

27 When this option is selected, FastBreak creates an “inverse” fund for each fund in the trading family. For example, if the real fund is down 2% o

28Buy min, Buy max, and Buy Delta days These three parameters define all the test cases that FastBreak will evaluate as buy rank-ing periods. Th

29Min AT 1, Max AT 1, Delta AT1 Min AT 2, Max AT 2, Delta AT2 Note: These parameters are only visible if Buy and Sell using AccuTrack has been se-

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

30EMA describe the range of Exponential Moving Average Periods used to smooth the cur-rent price. Min Buy Period, Max Buy Period, Delta, and EMA Per

31 User Min Hold This is the minimum number of days to hold a fund that has been purchased. Some funds have short term trading fees if the funds a

32prices. Using the 0 delay is an estimation, and it does not change the actual day that the trades are made. FastBreak will only support delays of

33 Use signal file Checking this box will open a file selection menu, and a standard FastTrack signal file can be selected. The signal files are

34start date that corresponds to a time period when the signal file is on a buy. If using a market risk of zero (the most common option for most use

35Dynamic Adjustment of Ranking Periods and Top% This option allows adjusting some parameters as market conditions change. For exam-ple, you may

36Summary of Option Combinations The following table summarizes which options (POP, BOOM, and BOSS) are available with which ranking strategies. Fo

37Stop Loss Tab Click 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

38 Trailing Loss % This is the maximum draw down an investor is willing to accept on any trade. The loss is calculated based on maximum NAV after

39 Parabolic See Appendix A for an explanation of this stop function. FastBreak allows the user to set the Start, Maximum, and delta value (s

41.0 Preface This manual supports both Standard FastBreak and FastBreak Pro. FastBreak Pro users will see additional icons on the icon tool bar an

40 The value of this stop option is to allow funds with high volatility to have more “maneu-ver room” while keeping a tight stop on funds that have l

41Min ROR Sell Filter This option will sell a fund that drops below a user defined minimum annualized rate of return percentage over some user de

42Note: When this option is selected, a check is made before a fund is purchased to verify that its short EMA is trading above its long EMA. This is

43Buy Filter Tab This tab contains filters that can be applied to a fund prior to purchase. As FastBreak considers a fund for purchase, the fun

44 Parabolic Buy Filter If this option is selected, the fund being considered for purchase must be above the para-bolic curve prior to purchase.

45types including those that may not have a high market correlation value, e.g., bonds, in-ternational etc., in a trading family and have the ability

46. RSI Buy Filter Many investors use the RSI to help confirm that a fund is in an up trend prior to pur-chase. A common value used is a trigge

47Output Files Tab Select the Output Files Tab to bring up the following screen: This screen allows the user to select a variety of outputs. S

48ing the name and path. A description of the Detail file contents will be described later. Note: It is suggested that the detail file be created

49Summary Grid Tab The Summary Grid will appear while FastBreak is executing. After the run is complete, select the Summary Grid Tab and the follow

52.0 Introduction FastBreak was reviewed in the July 1999 issue of Technical Analysis of STOCKS & COMMODITIES, the premier technical analysis in

50The file contains the results from each test case. Note: When running a single trading strategy, only one row will appear on this screen. TEST C

51 Detail Grid Tab Selecting the Detail Grid Tab will show the following screen only if a Detail file was se-lected in the Output Grid Tab (Note: yo

52The WHY column contains the reason the trade was made. The following table contains the explanation of the code: Code Reason for Sell M Momentum

53 If you place the mouse cursor on the fund symbol of the fund that was traded and double click, the fund name will be displayed: When the bottom

54 This 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 inclu

55 The File pull down menu is used to open and save default files, print summary and detail files, and set preferences file. The exit menu item is u

56Function menu The function pull-down menu has three options. The Execute option starts the execution of a strategy. The second option is Fund

57 This 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

588.0 FastBreak Examples This chapter will run through two typical FastBreak studies, running the program, look-ing at the output files and looking

59 11. “Delay” of 1 day 12. “Short loss” any value will work (Without setting a stop, or using a signal file, Short loss will not be used) 13. Chec

63.0 Upgrade Notes Maintaining Existing FastBreak Trading Strategies If you have existing FastBreak strategies that you like we recommend that you

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

61

62 9.0 Analyzing FastBreak Output FastBreak summary files can be analyzed in spread sheets (or in a companion product from Edge Ware called FastGrap

63then 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 t

64 The 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 o

65ods and 39 sell ranking periods will give 1524 total test cases), or AccuTrack parameters are run, only chart the top 5%-20% of the top best test c

66 This chart was made using FastGraph. The way to interpret the chart is darker regions have better performance than lighter regions. The chart i

67We can confirm that the same range of parameters (lighter in color on this chart) give the best risk adjusted returns. It is clear from the above

6810.0 Building Market Timing Signals FastBreak can be used to develop market timing signal files. These signal files are in the standard FastTrack

69If you compare the signal file results with the Detail file results you will observe. Each time FastBreak sells the money market fund a Buy, i.e.,

7velop our own signals that met our needs, e.g., switches per year, draw-down, markets traded etc. o One disadvantage of the many market signals ava

7011.0 FastBreak Calculation Details Here are some details on the way FastBreak analyzes a trading strategy that may not be obvious; but the user ne

71which case it checks the second ranked fund, etc. However, if the top ranked fund is money market it can be bought again. This is considered a de

72FastBreak does a check to determine if the same fund would be repurchased. If this is the case, FastBreak does not take the trade. This makes the

73 The choice of a money market doesn’t need to actually be a money market fund. Any fund, stock or FNU file can be used. Just remember that when th

7412.0 Suggestions on Improving Trading Strategies See the Resources Chapter for a list of resources that may help you in developing your trading st

7513.0 Trading using FastBreak Once you have determined your trading strategy and which parameters to use, you can store them using the Save Default

7614.0 Batch System Processing If you have several trading systems to be evaluated each day, you can now build a “batch” file that will load, run, a

77screen will open that allows you to give a name to the Notepad text file. Note: If you check the Include Detail option, the batch run will put the

7815.0 Frequently Asked Questions Q) I crashed my hard drive (got a new computer, new laptop etc.) and I need to reinstall FastBreak Pro. A) Th

79and load all the fund names, including your FNU files. If FastBreak hits an error during the loading of your FNU files, this indicates you have a

8 Stop loss using a short/long Exponential Moving Average (EMA) crossover. This is similar to the current EMA stop except that the fund NAV is smo

80Q) My account doesn’t show the same gain or loss as FastBreak when I trade with a zero day delay? A) The zero day delay is best used when trading

8116.0 Resources We have sample trading systems on our web site www.edge-ware.com. If we obtain in-teresting/outstanding FastBreak trading systems f

82Appendix A - Technical Discussion Curve Fitting FastBreak uses three different types of curve fits: Least Squares Linear, Power (called non-linea

83Now, using the slope of each equation at trading day 12 the following chart is made: Slope at Day 121.001.011.021.031.041.05024681012Trading DaysN

84Ulcer Performance Index The Ulcer Performance Index is defined in Martin & McCann’s book The Investor’s Guide to Fidelity Mutual Funds. The U

85When using the parabolic stop, FastBreak will not purchase a fund if it is trading below its parabolic because the fund would be stopped out the fo

86looking at three days of closing prices. For example, today’s true range would be the high of the last three days minus the low of the last three

87A methodology was developed that would apply a penalty to funds based on the number and depth of their drawdowns from their recent highs. Another

88GAM divides a smoothed recent price by a smoothed price from some number of look-back days (ranking period). The recent price is smoothed by an Ex

89Alpha Ranking Several users have asked for an option to trade funds based on “alpha” ranking. Most investors are familiar with the “beta” parame

9 Ability to search the Buy and Sell ranking list by fund symbol. Some users have very large trading families and it is difficult to locate a part

90Notice there is a very obvious relationship between return and beta. The thin line is a trend line of all the data points. You will notice that th