EdgeWare FastBreak Pro Version 6.2 - Manual (Page 82)

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Since 0.86 is greater than 0.85, no robustness adjustment is made to the original 24%
performance.
Which method, Average or Lowest, is better? Our research shows both give similar
results, but we have a slight preference for the Lowest option.
We have experimented with different values for the Robust Factor, and we prefer 10% for
the robustness factor. We have experimented with the Maximize Robustness value, and
we prefer 0.85. Please feel free to experiment and determine your own value preference.
There is a severe penalty in run time when using the Maximize Robustness option. It
takes three times longer to run the same number of generations. However, in general, we
have seen improved out-of-sample results. We encourage you to experiment. Here are
the results of four optimization runs where the only variable changed is the +/- values
used to determine robustness:
By doing a variation of +/- 10% in our robustness check, we obtained the best OS
performance. Smaller and larger values did not provide results that were as good.
Note: If you elect not to use the Maximize Robustness option, you will notice that
FastBreak calculates the robustness value when a strategy makes it into the Top 10 of
the Best Results screen. This is to provide additional information to help select which
of the top ten systems to use.
Using the robustness option does not always result in trading systems with the best IS and
OS trading systems. Actually, the above chart is somewhat unusual in that the IS results
actually improved with the use of the robustness check. Typically, better returns would
be found during the IS optimization without robustness because the robustness check is
yet another constraint that the genetic algorithm needs to satisfy. Adding constraints
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Variable Variation, +/-%
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