EdgeWare FastBreak Pro Version 6.2 - Manual (Page 69)

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discover ways of choosing from among the “best” trading systems provided by FastBreak
Pro at the end of each generation.
When FastBreak Pro completes an optimization, it provides you with ten systems that
have good IS performance, and good OS performance. It is at this point you would begin
to trade the system. Although the OS performance may be good, the data that was used to
develop the systems is now even older. The following study was made with an IS period
of 5/12/1989 to 10/1/1996. The OS period was 10/1/1996 to 4/1/1998 (18 months). The
study used the Fidelity Select Family minus the gold funds. Only the MAM option was
chosen, holding three funds, with a 15% MDD goal. Here is the Out-of-Sample Results
screen that you would have seen on 4/1/1998 if you had run this study:
You could argue about which generations would have been chosen, but we chose
generation 6 because it had the best OS ANN return (see comments on generation 14 at
the end of this section). The second decision you would have had to make on 4/1/1998 is
which system (DFT file) to use from generation 6. All ten DFT files were examined in
the OS period, and then all ten systems were tested forward from 4/1/1998 to 9/10/1999
(we call this the “Post OS period”). Here are the results:
System OS Return Post OS
Number Annual, % Annual, %
1 38.5 17.7
2 28.7 23.3
3 5.8 32.2
4 41.7 23.3
5 27.4 21.8
6 22.8 24.8
7 33.8 19.9
8 29.2 37.3
9 51.7 45.8
10 45.5 24.4
Average 32.5 27
S&P 37.2 14.7
Family Avg. 32.6 11.3