EdgeWare FastBreak Pro Version 6.5 - Manual (Page 22)

22
Most ETFs have very short histories. FastBreak assumes historical data starts on
9/1/1988 (earliest date in FastTrack database) to adjust the start date. If you use a
trading family of funds, stocks that generally don’t have a long history you will need to
adjust the IS Start Date to a much later date. This is easy to do by following these
steps:
1. Enter all your parameters and let FastBreak adjust the IS Start Date
2. Note how long the IS Start Date occurs after 9/1/1988. This will give you the
delta delay you need. Round up to the next month. For example, say FastBreak
chooses 3/17/1989 this is a delay of nearly 7 months.
3. Look at your trading family and make an estimate on a date when many of your
funds became available. As an example, say 2/1/2000
4. Add the delay found in step 2 (7 months) to the date in Step 3. This will give
you a new IS Start Date of 9/1/2000
The Out-of-Sample (OS) Start Date and OS End Date define the period that FastBreak
Pro will use to do OS testing to verify the strategy’s predictive ability. Normally, the OS
date range immediately follows the IS optimization date range. FastBreak Pro does not
require this typical order. For example, the OS testing could proceed the IS date range.
The chapter on Suggestions for Building Better Systems 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 FastBreak Pro only performs error checking on the IS Start Date to be
certain enough data exists to do the initial ranking and other calculations.
For
guidance on how to set the OS Start Date if you reverse the order, try the traditional
date order and see how early FastBreak Pro allows the IS Start Date to be set. Now,
use this or a later date in the OS Start Date as the earliest possible date.
In general, if you want FastBreak Pro to optimize an option use the check box. FastBreak
Pro will take this as a sign to consider the option. This doesn't guarantee a particular
option will be used, but it will be considered in the optimization process. For example, if
you only want to use “Buy and Sell using Rank” as a trading strategy, then select only the
box for Buy and Sell Using Rank. However, if you want FastBreak Pro to evaluate and
try other strategies then check the box for those strategies.
You can select individual buying and selling strategies or the “Buy and Sell Strategies
(All Available)” check box to select all strategies for consideration. Note: We do not
recommend using the All Available option because it can result in extreme run time
without improvement in trading systems. Some of the ranking strategies are extremely
calculation intensive. In developing our own strategies, we only select one ranking
method per optimization run. See the Suggestions chapter for additional guidance.
For every variable that can be optimized in FastBreak Pro, you can input a range of
parameters to try. For example: