EdgeWare FastBreak Pro Version 6.5 - Manual (Page 37)

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Only one of these three parameters can be selected for optimization using the radio
buttons. If a parameter is not selected for optimization, FastBreak Pro will try to build a
strategy that is acceptable to the user for the other two criteria. You must put a value
other than zero into the text box for the non-optimized criteria if you want FastBreak Pro
to recognize it.
In the above example, the user has used the radio button to select
Annual% (return) to be optimized (maximized) and specified a Max Acceptable MDD of
15% by inserting a value of 15 in the corresponding text box. In this example, the UPI
text box contains a zero and FastBreak Pro will ignore it. FastBreak Pro will try to
maximize Annual return, but at the same time, not exceed a 15% MDD.
For another example, a user may want to optimize (minimize) MDD, but at the same time
require a minimum annual return of 20%. To do this, the radio button next to MDD
would be selected. This tells FastBreak Pro to “optimize” this variable. The user would
also put a value of 20 in the Annual% Min Acceptable text box. FastBreak Pro will try to
find trading strategies that have at least a 20% annual return, but at the same time, find
the smallest possible MDD.
Note: If the user didn’t specify the 20% minimum
acceptable return, the strategy found would likely be one that holds a money market
fund 100% of the time!
To set the size of the GA populations use:
Genetic algorithms have “populations” which are the number of strategies to be tried in
each “generation.”
Typically, the greater the number of different variables to be
optimized, the larger the population size required.
A good rule is that the first population should be twice as large as the subsequent
populations. The population size can be set in one of two ways, using the radio buttons in
the options shown above:
1. You can allow the software to determine the size of the population. It does this by
multiplying the number of “Genes” by a user defined value. For very extensive and
complete optimizations, use a value of two (2) in the Times # Genes field on the First
Population Size.
A value of one (1) is recommended for other populations
(Population Size). These values can result in very long execution times for complex
strategies. Note: We put this option in the software because it is recommended by