EdgeWare FastBreak Pro Version 5 User Manual
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return (note the false sharp peak at generation 3). However, we are seeing diminishing
improvement in the IS results, and this is a reasonable place to stop and choose the 12
th
generation for further study.
We like to see the best systems found, based on OS performance, between generations 5-
12. If the best system is found early, try increasing or decreasing the mutation rate.
Sometimes the system converges too rapidly because there are not enough mutations
happening, and other times the systems will not get better because there is too much
mutation, i.e., randomness created by excessive mutation.
Number of Funds to Hold
If you build Sector fund trading systems, we recommend you hold a minimum of three
funds. Holding fewer than three funds produces strategies that tend to be inconsistent.
The chart below was built with eight separate FastBreak Pro runs while fixing the
number of funds held. The Fidelity Select family (minus the gold funds and very recent
sector fund additions) was used as the trading family. The IS period was 5/12/1989 to
12/31/1996, and the OS period was 1/2/1997 to 9/15/1999:
The OS annual return is shown as a function of the number of funds held (1-4). The
thicker line is using the BOOM option, and the thin line is without BOOM. All runs
were made with the MAM ranking method. Each line shows the maximum OS return,
the minimum OS return, and the average value for the top 10 best systems for the best
generation. For example, when holding one fund, with BOOM, the best system returned
nearly 45%/year, the worst system returned about 12%/year, and the average OS return
for all ten systems was just under 30%/year.
We can make several observations from this chart. Using the BOOM option provides an
improvement in all cases with a 4%-7% per year improvement in OS. Note: The BOOM
option is very powerful. However, it is not available with all ranking system options.
See the Standard manual for a table of options. A second observation is that as systems
hold more funds the variations in OS performance among the ten systems is reduced.
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# of Funds
Annual Return, %