EdgeWare FastBreak Standard Version 6.2 - Manual (Page 71)

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11.0 FastBreak Calculation Details
Here are some details on the way FastBreak analyzes a trading strategy that may not be
obvious; but the user needs to be aware of these details.
Account Balancing
This option tries to mimic the way many investors would balance their fund accounts. If
the trading strategy holds more than one fund, FastBreak tries to “balance” the value of
the fund accounts if the Balance option is selected on the Strategy screen. For example, if
three funds are held, the assumption is that these are three different fund accounts. Each
time a signal is given for an account, FastBreak calculates the total “value” of all three
invested accounts and divides by three to obtain an average account size. If the account
being sold has greater than the calculated average, the excess is placed in money market.
If the account is sold and the account was smaller than the average, value is pulled from
money market to try to bring the account up to the calculated average. Without this proc-
ess, large variations could be experienced in the different accounts. For example, one ac-
count could realize a large gain during a holding period, and when the fund is sold and
rolled into a new fund purchase this would put an extraordinary percentage of all assets in
a single fund. This would partially defeat the purpose of holding multiple funds. Funds
in money market are adjusted as the NAV of the money market changes. If money mar-
ket has monetary value, this value is included in the total “value” of accounts for the pur-
pose of calculating an average account value.
Funds Available
A fund family can be analyzed over a period of time even though all the funds in the fam-
ily are not available for the entire testing period. For example, if the user is doing an
analysis on a family made up of the Fidelity Select Funds, beginning with the start of the
FastTrack data base (09/01/1988), not all Select funds had been created at the trading start
date. FastBreak will keep track of how many funds are available at each day of the pe-
riod. Example, there may be 28 Selects available in the family at the beginning of the
period and 40 Selects at the end of the period. If the strategy is to hold a fund while in the
Top % = 50 of funds this will be 14 funds at the beginning of the testing period but will
be 20 at the end of the time period. This is why a percentage is used rather than a fixed
number of funds for a holding strategy. Note: FastBreak rounds the number of funds in
the top% to the nearest integer.
Holding more than one fund
You may ask, “If I have a trading strategy that holds more than one fund will FastBreak
“buy” the same fund twice if it is the top ranked fund?” The answer is NO, but there is an
exception for the fund selected as a money market fund. If FastBreak sells a fund it will
buy the number one fund in the buy ranking unless you already hold that fund in which