Edgeware FastBreak Standard Version 6.5 Manuel d'utilisateur

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

10 Rank using Sharpe Ratio. This option will tend to purchase high Sharp Ratio fundsand produce strategies that have a high Sharp Ratio equity curve.

100To 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

101RAT (Return Advance to Trend)Typical FastBreak trading systems usually buy maximum price strength/momentum.Trading systems can take a different app

102In this case the temporary move is a positive because if the price returns to the previoustrend there is addition profit to be made. The RAT algori

103ing; however, we must first determine if this is in fact a new, better (steeper) upwardtrend or just a temporary price aberration. FastBreak perfor

104Putting it all togetherBOOM, BAT, and RAT can all be used together. Here are the steps:1. If BAT option checked, then determine if a new, stronger,

11o Adjust the Beta Buy filter value based on market conditions or external fileinput.o Adjust the EMA Buy filter value based on market conditions or

12ommend you keep the old version of FastBreak on your computer until you verify yoursystems haven’t changed. Here are just a few reasons why strategi

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

14of 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

157 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

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

17UpgradesWe 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

186.0 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

194) 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

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

20Reinstalling FastBreakNote: Windows 7 Installation Note – During installation on a computer with Windows7 you may get an error during installation (

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

22When FastBreak is launched, it will read all the family names in your FastTrack directo-ries (Ft\Ftdef, Ft\Userdef, and Ft\Ft4win\Sftdef), including

23characters 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

24If 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

25Strategy 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

26Buy and sell using rank - This is the most often used strategy. A simple FastTrack typeranking is made on the funds in the selected family. The rank

27ago. The long period NAV ratio is: 18.00/17.45=1.0315, and the short period NAV ratiois: 18.00/17.75=1.014. Multiplying these two ratios together: 1

28Buy and Sell using Sharpe Ratio – This option ranks funds based on short term SharpeRatio. Sharpe Ratio is a common measure of reward and risk. See

29The Harnsberger Option invokes a strategy developed in cooperation with Fritz Harns-berger, a money manager in Santa Barbara (see Resource chapter).

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

30Breakout Optimization Method (BOOM)This is a very powerful proprietary option available only in FastBreak. The exact processof how the option works

31Typical FastBreak trading systems usually buy maximum price strength/momentum.Trading systems can take a different approach and successfully take ad

32These values are similar to Buy min and Buy max except they set the range for all sellranking periods to be tried. If Buy min = 2, Buy max = 50, Sel

33Min Period, Max Period, Delta, and SMA PeriodMin EMA, Max EMA, DeltaNote: These parameters are only visible if Buy and Sell using General Anchored M

34Buy Min, Buy Max, Buy Delta, Alpha indexSell Min, Sell Max, Sell DeltaNote: These parameters are only visible if Buy and Sell using Alpha has been s

35This screen option allows you to select the Short Term Redemption Fee (STRF) mini-mum holding period. If the funds in your family apply a redemption

36while it is in position 1-14 (Top 50%) in the rank list. If the fund falls in the range of 15– 28, it will be sold. If the trading family contains 3

37Checking this box will open a file selection menu, and a standard FastTrack signal filecan be selected. The signal files are usually in a separate s

38Balance Multiple FundsThis menu item allows the user to “Balance” the money among accounts if multiple fundsare being held. See the chapter on FastB

39Dynamic Adjustment of Ranking Periods and Top%This option allows adjusting some parameters as market conditions change. For example,you may propose

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

40Summary of Option CombinationsThe following table summarizes which options (POP, BOOM, and BOSS) are availablewith which ranking strategies. For exa

41Stop 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

42Trailing 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

43ParabolicSee Appendix A for an explanation of this stop function. FastBreak allows the user to setthe Start, Maximum, and delta value (shown as Acce

44that the Period be set to at least thirty trading days to calculate a standard deviation that isstatistically significant.Exponential Moving Average

45This option will sell a fund that drops below a user defined minimum annualized rate ofreturn percentage over some user defined number of market day

46This 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

47Buy 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

48Beta Buy FilterThis option will prevent purchase of a fund that has a beta greater than specified by thefilter. The index used to calculate beta is

49This option will prevent the purchase of a fund that is not increasing in price at an annual-ized rate defined by the user. In the above example, if

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

50EMA Crossover BuyThis option is very similar to the Exponential Moving Average Buy Filter except the fundNAV is smoothed with a Short EMA value, and

51Adjust 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

52You can use one or two existing systems. Just check the box next to the System Nametext box to tell FastBreak Pro which system(s) to use.The Summary

53Output 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

54name 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

55Summary Grid TabThe Summary Grid will appear while FastBreak is executing. After the run is complete,select the Summary Grid Tab and the following s

56The 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

57existing file from the listing. Select OK, then click on the Summary Grid Tab. This willload the existing file data.Detail Grid TabSelecting the Det

58The WHY column contains the reason the trade was made. The following table containsthe explanation of the code:Code Reason for SellM Momentum (Ranki

59knows 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

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

60This 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.

61File 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

62This example indicates that no specific set of defaults will load when FastBreak islaunched. If you push the small button, a default file selection

63This 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

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

6511. “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 “

663. 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

67

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

69then 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

7without the benefit of tight stops. FastBreak now allows you to import the equity curve(FNU file) from this existing system and combine it with a com

70The 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

71are 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

72This chart was made using FastGraph. The way to interpret the chart is darker regionshave better performance than lighter regions. The chart is colo

7310.0 Building Market Timing SignalsFastBreak can be used to develop market timing signal files. These signal files are in thestandard FastTrack DOS

74If 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

7511.0 FastBreak Calculation DetailsHere are some details on the way FastBreak analyzes a trading strategy that may not beobvious; but the user needs

76case 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

77was not a frequent occurrence. However, it did happen enough that we changed the logicin FastBreak to prevent it from happening. If a stop is hit, F

78Building Market Timing SignalsIf you have an overall strategy with an MDD of say, 15%, then don’t make the marketsignal too efficient. For example,

7912.0 Suggestions on Improving Trading StrategiesSee the Resources Chapter for a list of resources that may help you in developing yourtrading strate

8Changes in Version 6.2This section will cover enhancements in FastBreak Version 6.2 and is of interest to usersof previous versions of Standard FastB

8013.0 Trading using FastBreakOnce you have determined your trading strategy and which parameters to use, you canstore them using the Save Default As

8114.0 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

82screen 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

8315.0 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

84A) 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

85in 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) T

86A) We added this functionality at the suggestion of a user and have no experience withhow effective this strategy works. This option may be worth fu

8716.0 ResourcesWe have sample trading systems on our web site www.edge-ware.com. We also write ayearly commentary on how different trading systems pe

88Appendix A - Technical DiscussionCurve FittingFastBreak uses three different types of curve fits: Least Squares Linear, Power (callednon-linear on m

89Now, 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

9This section will cover enhancements in FastBreak Version 5 and is of interest to users ofprevious versions of Standard FastBreak. Note: For users of

90Ulcer Performance IndexThe Ulcer Performance Index is defined in Martin & McCann’s book The Investor’sGuide to Fidelity Mutual Funds. The Ulcer

91When 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

92looking 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

93becomes 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

94Commodities magazine. FastBreak incorporates two versions of AM - General AnchoredMomentum (GAM), and Most Anchored Momentum (MAM).GAM divides a smo

95period. 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

96Notice 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

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

98The trendline algorithm in FastBreak makes a determination if the low price point dip (inan upward trend) is significant and should be considered as

99Investment objectives will help define how trendlines are drawn. For example, if a pri-mary objective is to avoid large equity draw-downs then trend