EdgeWare FastBreak Pro Version 6.2 - Manual (Page 19)

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Note: the Optimize Family option is not available when using trendline Stops or
Buy filters. See Appendix A for details.
To prevent over-optimization of the trading family, enter a Minimum Family size value:
This option will keep a reasonable number of funds in your trading family and prevent
finding a final optimized trading family that has too few funds to work well in the future.
The minimum family size is the lower limit on your trading family. For example, you
may have a trading family of 40 funds, and you may want to keep at least 20 funds in the
family. FastBreak Pro will build temporary trading families that are subsets, containing
between 20 to 40 funds, of the full 40 funds. However, it will not build families with less
than 20 funds. Note: It is important to select a Min Family Size or an IS Start Date
such that you have enough funds under the worst conditions. Remember, some of the
funds in your family may not exist at the beginning of the test period. If you set the
Min Family Size too small, a test family could be built of these funds. This could result
in a condition where not enough, if any, funds are available at the start of the IS test
period. A second issue to remember is that FastBreak needs data prior to the start of
the IS start date to do an initial ranking and to calculate other parameters such as
correlation, EMA stops etc.
Therefore, you should look at your trading family in
FastTrack (at least the maximum number of ranking period number of market days
prior to the IS start) date to determine how many funds don’t exist. Your minimum
family size should be at least this number plus the maximum number of funds you
plan to hold in the strategy. For example, if your trading strategy will hold up to four
funds, and your trading family has 20 funds that didn’t exist prior to the IS start date,
then your Min Family Size should be set to at least 24.
The family optimizer option was intended to optimize a “reasonably” sized trading
family. It was not intended to encourage the user to load a family of several hundred
or even thousands of funds and optimize the family down to the best 20 funds.
There are four dates that need to be entered:
The In-Sample (IS) Start Date is the date that you want to use to start the backtesting
optimization. The IS End Date is the final date for the backtesting optimization. If you
try a start date too early, i.e., one that violates the stops or other parameters, FastBreak
Pro will set the earliest start date possible. Note: Do not try to overrule the start date
with an earlier start date value or you can get an error during execution.
The Out-of-Sample (OS) Start Date and OS End Date define the period that FastBreak
Pro will use to do OS testing, also known as walk-forward testing, to verify the strategy’s