FastBreak Version 6.x Edge Ware, Inc. www.edge-ware.
Disclaimer and License Agreement The information that FastBreak and FastBreak Pro provide is only part of the information needed for a good investment program. Consult your investment representative before buying or selling any fund or stock. Read the prospectus to determine whether an investment meets your objectives. EDGE WARE, INC. DOES NOT RECOMMEND SPECIFIC INVESTMENTS SUITABLE FOR YOUR PERSONAL OBJECTIVES BUT IS LIMITED TO PROVIDING INFORMATION FROM THE BEST AVAILABLE SOURCES.
Table of Contents 1.0 Preface .......................................................................... 4 2.0 Introduction .................................................................. 5 3.0 Upgrade Notes .............................................................. 6 4.0 FastBreak Trading System.......................................... 11 5.0 Technical Support and Upgrades................................ 14 6.0 Installing FastBreak.................................................... 16 7.
1.0 Preface Note: A PDF copy of this manual is on your installation disk. We recommend you put a copy on your computer so you will always have a copy available. This manual supports both Standard FastBreak and FastBreak Pro. FastBreak Pro users will see additional icons on the icon tool bar and two extra pull down menus. The additional FastBreak Pro screens, and optimizer functionality activated by these icons, are covered in the second manual that comes with the FastBreak Pro software.
2.0 Introduction An early version of FastBreak was reviewed in the July 1999 issue of Technical Analysis of STOCKS & COMMODITIES, the premier technical analysis investment magazine. Their review, in part, said, “This is easily the most elaborate fund switching software we’ve run across, and it’d be worth the time to check it out.” The latest version of FastBreak you have in your hands is far more advanced than the version reviewed.
3.0 Upgrade Notes Maintaining Existing FastBreak Trading Strategies If you have existing FastBreak strategies that you like we recommend that you keep the old version of FastBreak on your computer until you have verified that the strategies produce the same results with the new version. Prior to installing the new version of FastBreak go to the folder where the existing version is located, typically ftbreak (ftbreakp for Pro users), and find the file ftbreak.exe (ftbreakp.exe for Pro).
trendlines can be used to determine if a downward move has ended and it is safe to buy, i.e., Buy filter. The vast majority of trendline users use a manual method to draw the trendline on a paper chart or a computer screen. Programming a computer to calculate a trendline that a human brain can draw in a few seconds is a daunting task; however, there is a tendency when manually drawing trendlines to “force” the line to other expectations.
time. Also, we wanted to develop our own signals that met our needs, e.g., switches per year, drawdown, markets traded etc. o One disadvantage of the many market signals available is that they are developed for a specific index, e.g., S&P 500 Index. Often, there is a divergence in different stock indexes, i.e., small cap stocks performing well while large cap stocks are not. FastBreak allows the use to combine multiple indexes (or any stock, fund, FNU file) into a family.
Stop loss using a short/long Exponential Moving Average (EMA) crossover. This is similar to the current EMA stop except that the fund NAV is smoothed with a short term EMA. Buy filter using a short/long Exponential Moving Average (EMA) crossover. This is similar to the current EMA Buy filter except that the fund NAV is smoothed with a short term EMA.
Additional Changes between Version 2 and Version 5 Note: You can load trading systems developed with Version 2 of FastBreak into this new version, however, the first time you load an old trading system you must input the beta /correlation index and calculation period on the Funds/Index tab. After you have entered this information you will need to resave the DFT file.
4.0 FastBreak Trading System FastBreak uses a trading system method that buys mutual funds showing strong relative trends in price and sells funds that are showing poor relative trends in price. You may hear traders refer to this type of trading system using many names: market sector upgrading, momentum investing, trend following, fund ranking, and relative strength trading. We will take a quick look at each of these concepts, because there are small differences, and explain how FastBreak works.
of a fund to an index and buys the fund that is showing the strongest strength compared to the index. Ranking strategies compare the price action of a fund to a group or “family” of other funds. The fund showing the greatest percentage change in price is purchased. There are obvious similarities in all these systems. FastBreak uses the Ranking method to select the funds to buy and sell.
7 FBIOX Fidelity Sel Biotechnology/042 8 FSCPX Fidelity Sel Consumer Prod/517 9 FSCSX Fidelity Sel Software-Comp/028 10 FSVLX Fidelity Sel Home Finance/098 11 FSHCX Fidelity Sel Medical/505 12 FSCGX Fidelity Sel Indus Equip/510 13 FDFAX Fidelity Sel Food & Agric/009 14 FSPHX Fidelity Sel Health Care/063 15 FSPCX Fidelity Sel Insurance/045 16 FSDCX Fidelity Sel Develop Comm/518 17 FSPFX Fidelity Sel Paper & Forest/50 18 FSDAX Fidelity Sel Defens & Aero/067 19 FSCHX Fidelity Sel Chemicals/069 20 FSDPX Fidelit
5.0 Technical Support and Upgrades Note: Do not call Investors FastTrack for technical support. Do not use the 800 order line number for technical support. This is a commercial order line that only takes orders and they are not equipped to answer any questions. Any messages left with the order line will not be returned. Please read this entire manual and check the FAQ chapter before calling for support. We have tried to make this software and documentation as user-friendly as possible.
Install FastBreak using the installation CD Go to our web site and download the latest upgrade, if one exists Upgrades We provide minor upgrades to FastBreak on our web site, and if you encounter an error, we suggest you download the latest version of the software because this will often solve the problem. The Edge Ware Internet Web site (www.edge-ware.com) always has the latest version for download.
6.0 Installing FastBreak Note: If you computer doesn’t have a CD drive you can still install FastBreak. If you can get access to a computer with a CD drive then copy all the installation files on the CD to a memory card. Load the files on the new computer into a temporary folder. C To install FastBreak: 1) Stop any application that may be running. Note: We have had a number of users call with installation problems because Microsoft Office was running in the background.
4) The second screen you will see is: The setup program is asking the name of the drive and directory where FastBreak is to be installed. The default is C:\FTBREAK (FTBREAKP for Pro), and we suggest that you use the default directory name. If the default is acceptable click on the button that resembles a computer.
Reinstalling FastBreak Reinstalling FastBreak is our number one tech support problem. Users crash hard drives, buy new computers, new laptops, etc. You MUST use the installation CD to reinstall. We have had a number of users just try to copy files to the new computer or hard drive. This will not work.
7.0 FastBreak Options and Functions FastBreak is run from the Windows environment, and your installation should have created an icon when you click on the Windows Start button and go to Programs. If you want to put an icon on your Windows desktop find the ftbreak.exe (ftbreakp.exe for Pro) and put a shortcut to this file on your desktop. Refer to your Windows manual for guidance on how to do this. Click the icon as you would to launch any application.
When FastBreak is launched, it will read all the family names in your FastTrack directories (Ft\Ftdef, Ft\Userdef, and Ft\Ft4win\Sftdef), including user created families, and load all the fund names including your FNU files. If FastBreak hits an error during the loading of your FNU files this indicates you have a corrupt FNU file. You will need to move all your FNU files from your FastTrack (FT) folder to a temporary location. Now, try to restart FastBreak.
characters such as ~,@ etc. You can also use the slider bar to the right of the family names to find the family of interest. Once the family is located, use the cursor and left mouse button to click the family. It will highlight as in the above screen. Note: The highlighted family will NOT appear in the box where you started to type the name. Note: FastBreak will read all your FNU files. When these files are made part of your trading family, FastBreak will include them in the trading strategy.
If using money market in a ranking strategy, this menu item will allow you set a minimum holding period for the money market fund before it can be sold. Many users like to set this to a short value because money market funds usually do not have a minimum hold period or short term trading fees. If you use a substitute fund in place of a money market fund, remember that FastBreak does not apply any short term trading fees to the money market. Note: The period is in calendar days not market days.
Strategy Tab Next, click on the Strategy Tab to bring up the following screen: This is the most complicated menu screen in FastBreak. This tab sets up the majority of the trading strategy parameters. Buy and Sell Strategy This may be the most difficult part of FastBreak to understand. The “Buy and sell strategy” menu is a pull down menu. Click the down arrow button just to the right of the box below the line that reads “Buy and sell strategy” to see all the trading options available.
Each choice is described below: Buy and sell using rank - This is the most often used strategy. A simple FastTrack type ranking is made on the funds in the selected family. The ranking produces a list of funds in order of decreasing gain over some specified time period. This is equivalent to using the blue pole and rank function in FastTrack. FastBreak will “buy” a fund if it is the top ranked fund and will “sell” a held fund if it drops out of the top part of the family of funds during a ranking.
other screen options. AccuTrack trading parameters will replace the ranking buy and sell ranking parameters. This will be explained later in this chapter. Buy & Sell: Long Gain * Short Gain - This option combines a long ranking period gain with a short ranking period gain by multiplying them together. This method will give weight to both long term price performance and short term price performance.
Buy & Sell: General Anchored Momentum - This option is based on work by Rudy Stefenel and published in Technical Analysis of Stocks & Commodities. See Appendix A for a detailed description. Buy & Sell: Most Anchored Momentum - This option is based on work by Rudy Stefenel and published in Technical Analysis of Stocks & Commodities. See Appendix A for a detailed description. Buy & Sell Using Alpha Ranking – This option ranks funds based on short term “alpha.
100 days of data prior to the start date. It is important not to override the FastBreak default date. End date This is the date FastBreak will use to end the testing. The default is the last day in the FastTrack database. Use Harnsberger Option The Harnsberger Option invokes a strategy developed in cooperation with Fritz Harnsberger, a money manager in Santa Barbara (see Resource chapter). Mr.
When this option is selected, FastBreak creates an “inverse” fund for each fund in the trading family. For example, if the real fund is down 2% one day, the inverse fund is up 2%. This inverse relationship is calculated for each day in the data base. All performance data will be created with the assumption that a “short position” is held in the fund. Set sell rank = buy rank If this box is checked the number of days used for a buy ranking period is also used for the sell rank period.
These three parameters define all the test cases that FastBreak will evaluate as buy ranking periods. The units are market days. For example, if Buy min = 2 , Buy max = 50, and Buy Delta = 1, FastBreak will loop through all ranking periods between 2 days and 50 days or 49 test cases. Setting Buy Delta = 3, FastBreak will increment the test cases by 3 days, i.e., 2, 5, 8 ... days and this can greatly reduce the run time.
Note: These parameters are only visible if Buy and Sell using AccuTrack has been selected. These parameters are very similar to the Buy and Sell parameters just discussed. They are used to define the range of parameters when testing the AccuTrack trading strategy. AT 1 refers to the AccuTrack 1 Short Parameter, smoothing factor and AT 2 refers to the AccuTrack 2 Long Parameter, moving average. See the FastTrack manual for a description of these values.
Min Buy Period, Max Buy Period, Delta, and EMA Period Min Sell Period, Max Sell Period, Delta Note: These parameters are only visible if Buy and Sell using Most Anchored Momentum has been selected. See Appendix A for a complete discussion of this strategy. Min and Max Buy Period describe the range of look-back periods to test for buying a fund. Delta is the size of the increment to use in the testing range. Min and Max Sell Period describe the range of the look-back period to test for selling a fund.
User Min Hold This is the minimum number of days to hold a fund that has been purchased. Some funds have short term trading fees if the funds are held less than a prescribed minimum number of days. Setting Min hold to this number will force the trading strategy to hold the fund for at least this minimum number and avoid the trading fee. Note: User Min hold is in calendar days not market days. There are two situations when Min hold will be violated.
FastTrack each evening and then run FastBreak. If a trade signal is given, the trade would take place at tomorrow’s closing price when using mutual funds. This would be a 1 day delay. However, if the investor is trading stocks or ETFs then the investor may determine that tomorrow’s 10:00 am trading price may be close to today’s closing price. FastBreak considers this a 0 day delay. Note: FastBreak uses the FastTrack data base which contains ONLY closing prices.
Trading Days Use this option to determine how often you want your strategy to trade. Selecting Daily, the most common choice, will allow the strategy to trade on any day. Selecting Weekly will only allow the strategy to signal trades on Friday close only. Many users like this option because the weekend is the only time when they have an opportunity to look at their investments. Any signals given would then be executed on Monday. User Defined Days allows the user to select any number of calendar days.
Notice that all the .sig files in the FastTrack sig directory are listed. This menu allows you to change the Drive and Directory where your .sig files are stored. We recommend that you keep them in the sig subdirectory in FastTrack. You can change the file type to something other than .sig but, again, we recommend staying with the standard defaults. Select a signal file with a left mouse click on the file name. Market Risk The option appears when using a signal file.
Only “T” (for Trade) values are used and not “B” or “S” values, as in the standard signal file. This file can be built in a text editor or built using the FastTrack signal file process and then modified using a text editor. Note: The dates used need to be market days to activate a trade. If the date is a weekend or market holiday, then the date will be ignored. Notice in the above example that the 3rd of October is used rather than the 1st.
change. When the Index moves above the EMA, the ranking parameters will change back to the specified long values. Adjustments can be applied to the ranking strategy first parameter, the ranking strategy second parameter, and the Top% value. Adjustment factors can be greater than 1.0 This will result in increasing the ranking parameters and Top% when the specified index falls below the specified EMA. Note: We use the term Strategy Parm1 and Strategy Parm2 to reference the parameters in the momentum strategy.
Stop Loss Tab Click 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 parameter violation. FastBreak allows selection from many different stop loss functions or combinations of functions. If the fund has been held less than “STRF Min hold” when the stop generates a sell the “Short loss” value will be subtracted from the strategy returns. You can enter stop loss functions for two separate time intervals.
Trailing Loss % This is the maximum draw down an investor is willing to accept on any trade. The loss is calculated based on maximum NAV after a fund purchase. For example, if the user sets this value to 12%, and a fund is purchased for a NAV of $8.00 and later rises to a maximum value of $13.00, the fund will be sold if the NAV drops below $11.44 ($13.00$11.44)/$13.00 = 12%).
Parabolic See Appendix A for an explanation of this stop function. FastBreak allows the user to set the Start, Maximum, and delta value (shown as Acceleration on the screen) for the parabolic Acceleration Factor. Note: When this option is selected, a fund trading below its parabolic will not be purchased even though it may be ranked very high in the trading family. This is done because it would instantly be sold the next day. Kase Dev See Appendix A for an explanation of this stop function.
that the Period be set to at least thirty trading days to calculate a standard deviation that is statistically significant. Exponential Moving Average This stop will sell a fund when it drops below its exponential moving average (EMA) that is calculated over a user defined “Period”. For example, if a period of fifty (trading) days is used, the fund will be sold when the NAV drops below the fifty day EMA. For a definition of EMA see FastTrack Help.
This option will sell a fund that drops below a user defined minimum annualized rate of return percentage over some user defined number of market days. For example, a user may not be interested in holding a fund that has an annualized rate of return that is less than a money market. Note: When this option is selected, a fund trading at or below the specified ROR will not be purchased even though it may be ranked very high in the trading family. This is done because it would instantly be sold the next day.
This is the Trendline Stop option. It will sell a fund when the fund trades below its trendline. See the Appendix A for details of how FastBreak calculates trendlines. The Size text box is used to control the significance of the price dips used to draw the trendline. If a small value is used then smaller price dips will be considered significant and shorter term trendlines will be drawn.
Buy Filter Tab This tab contains filters that can be applied to a fund prior to purchase. As FastBreak considers a fund for purchase, the fund will need to pass any filters activated on this tab. These filters are not to be confused with the similar stops. The filters are only considered during the fund purchase process. In the Stop Loss tab, a fund will be checked against the stop during the purchase phase and each day the fund is held.
If this option is selected, the fund being considered for purchase must be above the parabolic curve prior to purchase. Beta Buy Filter This option will prevent purchase of a fund that has a beta greater than specified by the filter. The index used to calculate beta is specified on the Funds/Index Tab. This option has at least two uses. One, it can be used to build trading systems that have low volatility. The second use is to build trading systems that perform better in volatile or down markets.
This option is closely related to Min ROR Sell Stop. This option will prevent the purchase of a fund that is not increasing in price at an annualized rate defined by the user. In the above example, if the user does not want to purchase a fund that isn’t increasing at an annualized rate of at least 8% over the past 50 market days (Mkt Days), this option will prevent buying a fund.
Many investors use the RSI to help confirm that a fund is in an up trend prior to purchase. A common value used is a trigger of 50 days measured over 14 market days. EMA Crossover Buy This option is very similar to the Exponential Moving Average Buy Filter except the fund NAV is smoothed with a Short EMA value, and this Short EMA must be trading above the Long EMA to be available for purchase. Trendline Buy Filter This is the Trendline Buy Filter option.
Adjust EMA Buy Filter This option is very similar to the Adjust Beta Buy Filter option. The intent is to adjust the EMA Buy Filter value based on an index crossing below its EMA value. The factor can be greater or less than 1.
Output Files Tab Select the Output Files Tab to bring up the following screen: This screen allows the user to select a variety of outputs. Summary file The Summary file is the name of the file where FastBreak stores the trading strategy output. FastBreak always produces a Summary file. The user can define a path and name for this file by clicking the small box to the left of the file path. A panel will appear allowing entry of a Drive, file name and path.
name and path. A description of the Detail file contents will be described later. Note: It is suggested that the detail file be created only when a single strategy is run; otherwise, FastBreak will run slower and a very large file will be created. Make Signal File Checking this box will create a market timing signal file in the FastTrack signal file format. See the FastTrack manual for complete information on signal files. The signal file can be read by FastBreak and FastTrack.
Summary Grid Tab The Summary Grid will appear while FastBreak is executing.
The file contains the results from each test case. Note: When running a single trading strategy, only one row will appear on this screen.
existing file from the listing. Select OK, then click on the Summary Grid Tab. This will load the existing file data. Detail Grid Tab Selecting the Detail Grid Tab will show the following screen only if a Detail file was selected in the Output Grid Tab (Note: you must have executed a strategy to create a detail file prior to trying to view the Detail Grid): This file contains details on each trade made during execution of a strategy.
The WHY column contains the reason the trade was made.
knows the earliest you can sell is next Monday and it gives credit for three days. It does not keep track of market holidays.
This 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.
File menu . The File pull down menu is used to open and save default files, print summary and detail files, and set preferences file. The exit menu item is used to exit from FastBreak. Selecting the Save Defaults menu item opens the following screen: This allows you to save all your trading strategy file settings into a file with a name and path of your choice. The Save Default menu item saves the settings in the file name you have previously created.
This example indicates that no specific set of defaults will load when FastBreak is launched. If you push the small button, a default file selection menu will be launched. It will list all your saved Default (*.dft) files. You can select a file from this list and it will appear in the above blank box. The next time FastBreak is launched, the settings in this file will be loaded. Note: This feature is often overlooked.
This menu allows the user to sort the Summary Grid information in ascending or descending order by many of the fields in the Summary Grid. For example, the user may want to sort all the test cases by descending annual gain or ascending maximum draw down. Use the pull down arrow menu to select the field to use for sorting.
8.0 FastBreak Examples This chapter will run through two typical FastBreak studies, running the program, looking at the output files and looking at the FNU file in FastTrack. Note: Your results may be somewhat different because of changes in the trading family since the manual was written. Note: If you need to terminate a FastBreak run, use the Cancel button at the bottom of the Summary Grid screen. There will be a delay as FastBreak finishes the current test case.
11. “Delay” of 1 day 12. “Short loss” any value will work (Without setting a stop, or using a signal file, Short loss will not be used) 13. Check the “Set sell rank = buy rank” 14. “Start date” of 01/01/1989 (notice that FastBreak will change to 01/03/1989, the next available trading day) 15. “End date” of 12/31/1995 (notice that this date is changed to 01/02/1996, the next available trading day) 16. “Buy min” of 2 days 17. “Buy max” of 50 days 18. “Delta buy” of 1 day 19.
3. Notice that a 26 day ranking produced good results. This will be used for the next run. Note: Your results may be different due to changes in the Select family since this example was created. 4. Jump back to the Strategy Tab Second Run This run will be for a specific test case. From the first run, it was found that a 23 day ranking period looked good. This case will be evaluated in detail by changing only a few menu items from the first run. 1. Set “Min buy” and “Max buy” to 26 days 2.
9.0 Analyzing FastBreak Output FastBreak summary files can be analyzed in spread sheets (or in a companion product from Edge Ware called FastGraph) and this is where the real power of FastBreak can be realized. This example will compare the effect of changing a single parameter on return results of a trading strategy. Make sure you change the summary file name when making the two runs. Start by making two FastBreak runs, one of them can be the first example from the previous chapter.
then selecting the sort command. The effect is to put the cases in order of decreasing results. Do this for both summary files. Annual Gain, % Now, re-chart the data, but only for the best 30 test cases, and the following chart will be created: Annual Gain (best 30 cases) 45 43 41 39 37 35 33 31 29 27 25 0 1 fund 5 10 2 funds 15 20 25 30 Test Case, best-worst Now it becomes clear that holding one fund usually has better performance than holding two funds, on the order of 2-3% per year.
The 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 performance is worth reducing maximum draw down by 2-5% Finally, what are the best parameters to use for buy and sell ranking? The values that gave the best annual return may not be the best choice because that combination may have bad characteristics, i.e., high draw down, too many switches per year, etc.
are run, only chart the top 5%-20% of the top best test cases by charting sell ranking and buy ranking (or AccuTrack parameter 1 and parameter 2) to determine if clusters of points are formed: Best 10% of Test Cases Sell Ranking Period, Days 50 45 40 35 30 25 20 15 10 10 15 20 25 30 35 40 45 50 Buy Ranking Period, Days Clusters of points are centered about a band from 14/40 through 25/40 day ranking periods as well as a smaller cluster at 19/35 day ranking periods.
This chart was made using FastGraph. The way to interpret the chart is darker regions have better performance than lighter regions. The chart is color on the monitor and much more informative. This chart confirms the previous chart because there are dark contour regions in the area where the points clustered in the above spreadsheet example. Although the answer is the same as the previous X, Y scatter chart, it is much easier to interpret.
10.0 Building Market Timing Signals FastBreak can be used to develop market timing signal files. These signal files are in the standard FastTrack DOS format, i.e., a buy “B” or sell “S” followed by a date. See FastTrack Help for additional details. The files look like the following and are usually found in the FastTrack Sig folder: B,09/01/1988 S,06/19/1989 B,06/27/1989 S,12/11/1989 B,05/15/1990 The best way to explain how a signal file is generated is to use an example.
If you compare the signal file results with the Detail file results you will observe. Each time FastBreak sells the money market fund a Buy, i.e., “B” in the signal file, is generated. Each time FastBreak moves from one of the indexes back to money market a Sell, i.e., “S” is generated. If one index is sold and the other index purchased, no signal is generated. In other words, the FastBreak signal file stays on a Buy as long as you are in one of the fund family positions.
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.
case it checks the second ranked fund, etc. However, if the top ranked fund is money market it can be bought again. This is considered a defensive position because money market funds can move to the top of the ranking when the entire market is in a major decline. Impact of Fund Distributions The user needs to be aware of the impact of fund distributions on FastBreak. There is usually at least a one day delay in adjusting the FastTrack data base for distributions.
occurrence. If it occurred frequently, we suggested that stops were being set too tight. We changed the logic in FastBreak to prevent this from happening. If a stop is hit, FastBreak does a check to determine if the same fund would be repurchased. If this is the case, FastBreak does not take the trade. This makes the software run a little slower, but we feel it is a better representation of how a user would actually trade the system.
delity Select Energy (FSENX) alone and combined with FSESX for the signal. We used these different signals with a batch of energy and energy service stocks with very good results. The choice of a money market doesn’t need to actually be a money market fund. Any fund, stock or FNU file can be used. Just remember that when the signal strategy switches to the “money market” fund this generates a sell signal in the signal file.
12.0 Suggestions on Improving Trading Strategies See the Resources Chapter for a list of resources that may help you in developing your trading strategies. Precious metal funds do not normally work very well with ranking strategies. This has been noted by other studies, and you may want to consider removing these funds from your trading strategy. Some funds have similar objectives - energy vs. energy services, energy vs. natural gas, technology vs. electronics.
13.0 Trading using FastBreak Once you have determined your trading strategy and which parameters to use, you can store them using the Save Default As command from the file menu under the File pull down menu or the icon on the Tool Bar This menu item was discussed earlier. Note: Be certain your strategy dft file builds a Detail file in the Output tab. Each day you run FastBreak look at the Detail Grid Tab. This file will flag a fund to be sold with an “*” and indicate the fund to roll the proceeds into.
14.0 Batch System Processing If you have several trading systems to be evaluated each day, you can now build a “batch” file that will load, run, and save the results of all your systems. It will open a page in Microsoft Notepad that you can print. Use the Batch pull down menu: The menu choices are Run, Create, and Update. You must first create the batch file using the Create option.
screen will open that allows you to give a name to the Notepad text file. Note: If you check the Include Detail option, the batch run will put the last ten lines from the Detail file into the Notepad file. For this to happen, you will need to make certain your strategy creates a Detail file during strategy execution, i.e., you must have a detail file created on the Output tab.
15.0 Frequently Asked Questions Q) I crashed my hard drive (got a new computer, new laptop etc.) and I need to reinstall FastBreak Pro. A) This is our most common tech support call. You MUST use the installation CD to reinstall. We have had a number of users just try to copy files to the new computer or hard drive. This will not work.
A) When FastBreak is launched, it will read all the family names in your FastTrack directories (Ft\Ftdef, Ft\Userdef, and Ft\Ft4win\Sftdef), including user created families, and load all the fund names, including your FNU files. If FastBreak hits an error during the loading of your FNU files, this indicates you have a corrupt FNU file. You will need to move all your FNU files from your FastTrack (FT) folder to a temporary location. Now, try to restart FastBreak.
in NAV that may indicate a distribution. If there is, then you may want to wait a few days until FastTrack adds the distribution to the database. Q) My account doesn’t show the same gain or loss as FastBreak when I trade with a zero day delay? A) The zero day delay option is a bit archaic at this point, but may be useful for those who trade stocks/ETFs at the next day open. The zero day delay option was initially added at user request when Fidelity Select funds had hourly pricing.
A) Are you using a signal file Risk value other than zero? If so, on the days that the signal file changes direction the strategy will move money into or out of the money market fund. You can observe this in the % in MMK column of the Detail Tab. A fund rotation can occur on the signal day also, and that trade will be reflected in the normal manner. See additional information in the manual section that describes the Detail Tab.
16.0 Resources We have sample trading systems on our web site www.edge-ware.com. We also write a yearly commentary on how different trading systems performed. You may get ideas from reading these commentaries or avoid some of the mistakes we have made over the years. These commentaries are available on our website. We use www.ft-talk.com as a place to post new information and discussion. This subscription site is popular with Investment FastTrack users.
Appendix A - Technical Discussion Curve Fitting FastBreak uses three different types of curve fits: Least Squares Linear, Power (called non-linear on menu), and Quadratic. Linear is the most common curve fit and has the form: y = a1x + a0 Where: x : is the independent variable (in our case, days) y : is the dependent variable (in our case the normalized NAV) a : is a constant The slope is the rate of change of y with respect to x.
Now, using the slope of each equation at trading day 12 the following chart is made: Slope at Day 12 1.05 Quadratic NAV 1.04 1.03 Power 1.02 1.01 1.00 0 2 4 6 Trading Days 8 10 12 The Linear curve fit has not changed because it is a constant value for all values of x. The slope of the Quadratic equation has gone negative while the Power equation is still positive but less so than the Linear fit.
Ulcer Performance Index The Ulcer Performance Index is defined in Martin & McCann’s book The Investor’s Guide to Fidelity Mutual Funds. The Ulcer Performance Index, UPI, is a measure of risk adjusted return. It is a measure of the investment performance over money market returns compared to the amount of risk. In general, the higher the value of UPI the better the strategy. UPI = ANN - 5.4 UI Where: ANN = The compound annual return of a fund or strategy over a test period. 5.
When using the parabolic stop, FastBreak will not purchase a fund if it is trading below its parabolic because the fund would be stopped out the following day. Graphically, the mutual fund NAV and corresponding parabolic value look as follows: Parabolic 60 50 NAV, $ 40 30 20 10 0 0 NAV 100 200 300 400 500 Trading Days Parabolic Kase Dev-Stop The Dev-Stop system was developed by Cynthia Kase and is explained in her book Trading with the Odds.
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.
becomes very deep. It was felt that this steady buying may also apply to mutual funds that are invested in a “high demand” group of stocks. A methodology was developed that would apply a penalty to funds based on the number and depth of their drawdowns from their recent highs. Another way of looking at the methodology is to favor upside volatility, but penalize downside volatility.
Commodities magazine. FastBreak incorporates two versions of AM - General Anchored Momentum (GAM), and Most Anchored Momentum (MAM). GAM divides a smoothed recent price by a smoothed price from some number of lookback days (ranking period). The recent price is smoothed by an Exponential Moving Average (EMA). The price from the look-back period is smoothed by a Simple Moving Average (SMA) centered the price on the look-back number of days.
period. The current NAV is smoothed by an EMA specified by the user. The ratio of the two moving averages is used to calculate a ratio used to make a relative strength ranking just like GAM. Alpha Ranking Several users have asked for an option to trade funds based on “alpha” ranking. Most investors are familiar with the “beta” parameter that measures fund volatility when compared to an index. A common example of high beta funds is Rydex Nova. This fund has a beta of 1.
Notice there is a very obvious relationship between return and beta. The thin line is a trend line of all the data points. You will notice that there is considerable “scatter” in the data. For example, at a beta value of approximately 1.2, the annual performance for individual funds can vary from 19% to over 27%. Alpha ranking has the intent of trying to purchase the fund with superior performance at a given level of beta.
“force” the line to other expectations. A mathematical algorithm is not subject to such expectations, but at the same time cannot “see” other potential complications and complexities. NOTE: The algorithm to determine trendlines is very computer time intensive. If you are using a very large trading family you will notice a long delay to evaluate the strategy. Although the basic idea of trendlines is rather simple, implementation and especially automated implementation, can be come rather complex.
The trendline algorithm in FastBreak makes a determination if the low price point dip (in an upward trend) is significant and should be considered as a trendline anchor point. The exact method used to make this determination is proprietary. It is also quite technical and the vast majority of users would not be interested in a multiple page explanation filled with equations. Another aspect of trendlines is that they can be drawn for the short term or the long term.
Investment objectives will help define how trendlines are drawn. For example, if a primary objective is to avoid large equity draw-downs then trendlines that capture smaller price moves and avoid significant sell offs will be a reasonable choice. However, it is often the case that to maximize return at the expense of large draw-downs requires trendlines that capture larger price moves and are drawn using more significant price low points. The algorithm used in FastBreak allows either choice to be made.
To activate the trendline Buy filter the above option is on the Buy Filter Tab. Activation of this option will prevent purchase of any issue that is trading below its trendline. As with the Trendline Stop, the Size box controls the type of trendline used. Reasonable values to use are 0 to 15. Data Required to Determine a Trendline It can take a considerable amount of historical data to determine the first trendline.
