EdgeWare FastBreak Standard Version 5 - Manual (Page 50)

50
The file contains the results from each test case. Note: When running a single trading
strategy, only one row will appear on this screen.
TEST CASE is the test case number, PARM1 is the period in days used in ranking to de-
termine which fund to buy, PARM2 is the period in days used in ranking to determine
which fund to sell (If using the AccuTrack, or other trading strategies, these values refer
to their parameters), S/Y switches per year, AVG ANNUAL % is the compounded an-
nual percentage return using this strategy, MAX DRAW DOWN % is the maximum draw
down on the strategy, MDD DATE is the date the strategy realized the MAX DRAW
DOWN%, ULCER INDEX is an indication of strategy risk, ULCER PERF INDEX is an
indication of performance and risk, % WINNERS is the percentage of all trades that had
gains, % AVG GAIN PER BUY is the average gain on each trade, % AVG GAIN WIN-
NERS is the average gain on winning trades, % AVG LOSS LOSERS is the average loss
on losing trades, and AVG STRF is the average number of Short Term Redemption Fee
trades per year. BETA is the maximum beta found for the trading system equity curve
measured over the period specified on the Funds/Index tab. CORR is the maximum cor-
relation found for the trading system equity curve measured over the period specified on
the Funds/Index tab. Alpha is the alpha of the trading system equity curve over the entire
test period duration (measured from Start Date to End Date) of the trading system. Note:
See Appendix A for a more complete description of alpha. Also, beta and correlation
are the maximum values found at any point for the strategy equity curve measured
over the user defined period on the Funds/Index tab. Alpha, on the other hand, is
measured over the entire strategy life. It was felt that a low risk investor would always
want to be in a low risk strategy, i.e., low beta, during any time period. If you want to
know the beta or correlation over the life of the strategy this is found by loading the
strategy equity curve into FastTrack.
See Appendix A for a description of the Ulcer Index and Ulcer Performance Index.
Most of these values in the Summary Grid are self explanatory, but MAX DRAW
DOWN % may need additional explanation. Draw down is defined as the percentage re-
duction from a strategy high value to a strategy low value. This is not necessarily the
same as a loss of value invested. For an example using dollars - an initial investment of
$10,000 is traded in a strategy and the value of the investment increases to $20,000 over
time. The trading strategy goes into a losing period and reaches a low value of $17,500
before beginning to increase again. This represents a draw down of 12.5% (100*(20,000-
17,500)/20,000).
The summary file can be printed or imported into a spread sheet for further analysis and
charting. The Summary file can also be sorted by any field. See Function menu later in
the chapter.
A summary file that was previously created can be loaded back into FastBreak. Select
the Summary File button on the Output menu to bring up the file selection menu. Select
an existing file from the listing. Select OK, then click on the Summary Grid Tab. This
will load the existing file data.