EdgeWare FastBreak Standard Version 6.2 - Manual (Page 88)

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looking 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 days.
The ATR and SD of the true ranges is calculated over a user defined number of market
days. Kase has recommended 30 market days, but the user can specify any number of
market days.
Kase typically uses three standard deviations (#SD) for her work, but this is probably too
few for mutual funds because of the low volatile nature of most mutual funds, and the
three day calculation of true range probably introduces additional smoothing. We rec-
ommend trying values of 4 to 7.
Graphically, the mutual fund NAV and corresponding Dev-Stop value look as follows
once a trade is initiated:
Kase Dev-Stop
20
25
30
35
40
45
50
0 20 40 60 80 100 120 140 160
Trade Days
N
A
V
,
$
NAV
Dev-Stop
Persistence of Price (POP)
If a user does not understand all aspects of the calculations used in POP, here is the im-
portant rule - Increasing the user input value for POP will tend to favor funds that have
small drawdowns over the ranking periods. The net effect should be to lower the Ulcer
Index of a strategy; however, you may decrease the annualized return for the strategy.
This is a tradeoff that only the user can make.
This concept is unique to FastBreak and was inspired by Marc Chaikin’s Persistency of
Money Flow. One aspect of Chaikin’s concept is that stocks which are in demand by in-
vestors will draw buyers each time the stock has a small pull back and the pull back never