EdgeWare FastBreak Pro Version 6.2 User Manual
Page 71
71
System
OS Return
FNU OS
Post OS
FNU Post
Number
Annual, % Annual,% Annual, % Annual, %
1
38.5
44.6
17.7
20
2
28.7
37.7
23.3
21.1
3
5.8
33
32.2
32.1
4
41.7
8.7
23.3
24
5
27.4
40.9
21.8
31.2
6
22.8
24.9
24.8
29.7
7
33.8
19.1
19.9
12.4
8
29.2
26
37.3
38.2
9
51.7
34.3
45.8
48.7
10
45.5
50
24.4
26.9
Average
32.5
31.9
27
28.4
S&P
37.2
37.2
14.7
14.7
Family Avg.
32.6
32.6
11.3
11.3
On average, using the FNU equity curve to measure performance shows a slight
improvement in both the OS and Post OS Period. What is important is how individual
trading systems are affected.
For example, cases number 3 and 4 show dramatic
differences in the OS period. Although not as dramatic, we see similar results with case 7
in the Post OS period.
We recommend that the FNU files be generated when doing the final decision making on
which system to trade.
Double Period Walk Forward Testing (International Funds)
Here are the results from a study that looks at double period walk forward testing. It is
similar to the previous study performed with the Select funds.
IS optimization started on 1/4/1993 and ended on 10/1/1996, with an OS period from
10/1/1996 to 4/1/1998.
A Post OS period evaluation was made from 4/1/1998 to
9/10/1999. Two funds were held using MAM, an MDD of 15%, and a goal of 9 S/Y.
Here is the FastBreak Pro Out of Sample Results Screen: