EdgeWare FastBreak Pro Version 6.5 - Manual (Page 41)

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The information in this file will be covered later when the optimizer is covered.
Using this option can result in quite a large file. Use with care.
To set the maximum number of generations to be tested, use the following field:
A typical value is 15 to 25 generations. When the FastBreak Pro optimizer reaches this
value, it will stop. Note: If a Restart file (described later) is reloaded, this value will be
ignored in the restart.
Combine/Complementary Systems
FastBreak Pro has the capability to build a new trading system in conjunction with one or
two existing trading systems. One purpose of this capability is to build complementary
systems that may reduce the MDD or volatility of an entire portfolio that is trading
multiple systems.
As an example, perhaps the investor has developed a system that trades ETFs. The
annual return of this system may be excellent but has significant drawdowns on a regular
basis. This is often the case with a system that trades based on very long term trends
without the benefit of tight stops. FastBreak Pro now allows you to import the equity
curve (FNU file) from this existing system and the optimizer will attempt to build a
complementary system that reduces the overall MDD when the two systems are traded
together. Perhaps the optimizer finds a new trading system that makes short term trades
or finds alternative funds that don’t have a high correlation with the equity curve of the
original system.
This functionality is controlled using this series of boxes:
The option is very simple to use. Perhaps you have already built two trading systems and
you want a complementary system that works together with these two systems. Let’s say
one of the existing systems outputs an FNU equity curve called ETF14 and a second
system with an FNU equity curve called ETF17. Also, you know you want to invest 50%
of your portfolio in ETF14 and 30% in ETF17. Now, you want to invest the remaining
20% of your portfolio in a new system that works together with ETF14 and ETF17 with
the goal to maximize the overall portfolio UPI with a portfolio MDD goal of 15%. With
these assumptions the GA Screen would look like the following: