EdgeWare FastBreak Standard Version 5 - Manual (Page 45)

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types including those that may not have a high market correlation value, e.g., bonds, in-
ternational etc., in a trading family and have the ability to filter those with high volatility.
Min ROR Buy Filter
This option is closely related to Min ROR Sell Stop.
This option will prevent the purchase of a fund that is not increasing in price at an annu-
alized rate defined by the user. In the above example, if the user does not want to pur-
chase a fund that isn’t increasing at an annualized rate of at least 8% over the past 50
market days (Mkt Days), this option will prevent buying a fund. A reason for using this
option is that the user may prefer to go into a money market that has an equivalent annu-
alized rate of return without the associated market risk.
Correlation Buy Filter
This option will prevent purchase of a fund that is too highly correlated with an index.
The index used to calculate the correlation is specified on the Funds/Index Tab. The
most common index used is the S&P 500 but any index, fund, or FNU file can be used.
This option allows users to build trading systems that have low correlation with the mar-
ket. There are two parameters for this option. A correlation value, which can vary from
–1.0 to +1.0, and a period over which the correlation is calculated (recommended range is
50-100 days). A correlation of 1.0 would be a perfect correlation with the specified in-
dex. If the correlation is set to a very low value the strategy may be unable to find a fund
suitable for purchase. If that is the case, the money market fund will be purchased
Exponential Moving Average Buy Filter
Many investors use a moving average (EMA) to help confirm that a fund is in an up trend
prior to purchase. A fund’s NAV must be trading above its EMA, with the length of the
EMA defined by the user. A common value used is a 50 day moving average.