FastBreak Pro Version 5.x www.edge-ware.
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Table of Contents 1.0 Preface ...................................................................................... 4 2.0 Introduction .............................................................................. 5 3.0 Upgrade Notes .......................................................................... 6 4.0 How FastBreak Pro is Different from Standard FastBreak .... 10 5.0 Installation .............................................................................. 12 6.
1.0 Preface FastBreak Pro has the look, feel and all the functionality of Standard FastBreak. Where FastBreak Pro is different is that it has the automated system optimizer and builder. The Standard Manual contains explanations and details of all the functions common to both versions. This FastBreak Pro manual is to be used in tandem with the Standard FastBreak manual, and it covers the operation of the Genetic Algorithm (GA) optimizer and other functions unique to FastBreak Pro.
2.0 Introduction Edge Ware, Inc. released the initial Standard FastBreak version in early 1996 to allow investors to design, evaluate and trade fund rotation investment strategies. An early version of Standard FastBreak was reviewed in the July 1999 issue of Technical Analysis of STOCKS & COMMODITIES, the premier technical analysis investment magazine. Their review, in part, said, “This is easily the most elaborate fund switching software we’ve run across, and it’d be worth the time to check it out.
3.0 Upgrade Notes Special note to users of prior versions of FastBreak Pro. Note: For users of prior versions of Standard FastBreak see the Upgrade Notes in the Standard manual. Maintaining Existing FastBreak Trading Strategies If you have existing FastBreak strategies that you like, we recommend that you keep the old version of FastBreak on your computer until you have verified that the strategies produce the same results with the new version.
Also, we wanted to develop our own signals that met our needs, e.g., switches per year, drawdown, markets traded etc. o One disadvantage of the many market signals available is that they are developed for a specific index, e.g., S&P 500 Index. Often there is a divergence in different stock indexes, i.e., small cap stocks performing well while large cap stocks are not. FastBreak allows the use to combine multiple indexes (or any stock, fund, FNU file) into a family.
by Sell ranking) fund. We now put an H in the Why Detail file column to indicate a Harnsberger sell. Stop loss using a short/long Exponential Moving Average (EMA) crossover. This is similar to the current EMA stop except that the fund NAV is smoothed with a short term EMA. Buy filter using a short/long Exponential Moving Average (EMA) crossover. This is similar to the current EMA Buy filter except that the fund NAV is smoothed with a short term EMA.
purchased. Some users have the requirement to hold a fund for a fixed number of days after purchase. They can now start a stop after this number of days. Ability to search the Buy and Sell ranking list by fund symbol. Some users have very large trading families and it is difficult to locate a particular issue in the ranking list. This option allows the user to do an efficient search for the fund symbol.
4.0 How FastBreak Pro is Different from Standard FastBreak Our intent when we designed FastBreak Pro was to automate development of mechanical trading systems. We wanted to provide the capability to build very complex strategies while taking the “grunt work” out of the development process. Edge Ware, Inc. believes that mechanical trading systems are appropriate for most investors, both professional and individual.
Determining optimized parameters that maximize your investment objectives is only part of the problem. Trading system developers must constantly be wary of “overoptimization” or “curve-fitting” of parameters. FastBreak Pro avoids over-optimization by using various techniques, but the most important technique is automated “walk forward” or out-of-sample testing.
5.0 Installation New users should first read the Standard FastBreak manual supplied with your purchase. That manual describes all the parameters and options available and how to operate the basic functionality. It is important that you understand how the various options and parameters in FastBreak Pro operate. This supplemental manual focuses on the automated optimization process in FastBreak Pro. FastBreak Pro installs exactly like the standard version of FastBreak.
6.0 Technical Support and Upgrades Note: Do not call Investors FastTrack for technical support. Do not use the 800 order line number for technical support. This is a commercial order line that only takes orders and they are not equipped to answer any questions. Any messages left with the order line will not be returned. Please read this entire manual and check the FAQ chapter before calling for support. We have tried to make this software and documentation as user-friendly as possible.
Install FastBreak using the installation CD Go to our web site and download the latest upgrade, if one exists Upgrades We provide minor upgrades to FastBreak on our web site, and if you encounter an error, we suggest you download the latest version of the software because this will often solve the problem. The Edge Ware Internet Web site (www.edge-ware.com) always has the latest version for download.
7.0 FastBreak Pro Operation We recommend that you read this manual in the order it was written; however, if you have experience with Standard FastBreak or just can’t wait to see the program in operation, go to the Examples chapter. Note: The way FastBreak Pro looks on your computer may appear slightly different than the views in this manual. This is the result of screen resolution differences or you may have a newer version of the software.
To switch back to the “Standard” FastBreak screens described in the standard manual use the icon on the far right of the icon tool bar: The following icons are used to control the standard FastBreak options.
To prevent over-optimization of the trading family, enter a Minimum Family size value: This option will keep a reasonable number of funds in your trading family and prevent finding a final optimized trading family that has too few funds to work well in the future. The minimum family size is the lower limit on your trading family. For example, you may have a trading family of 40 funds, and you may want to keep at least 20 funds in the family.
Systems has results from a study that reversed the typical date range order. Note: If you reverse the IS and OS date orders, be aware that FastBreak Pro only performs error checking on the IS Start Date to be certain enough data exists to do the initial ranking and other calculations. For guidance on how to set the OS Start Date if you reverse the order, try the traditional date order and see how early FastBreak Pro allows the IS Start Date to be set.
First, the GA will converge much faster, thus reducing run time. The other advantage is that FastBreak Pro tries a fixed number of different values between the minimum and maximum range. The technical reason for this has to do with the way GA’s work, but the effect is that to properly sample the range looking for optimum parameters, keep the range as small as practical. For example, if the ranking range is 6 to 50 days, FastBreak may only try 32 different values between 6 and 50 days.
Options Screen To bring up the next group of parameters screen use this icon: This screen is mostly self-explanatory with the parameter choices discussed fully in the standard manual.
If you check the Correlation box, FastBreak Pro will try a maximum correlation, between funds to hold, for some strategies: The optimizer will try to find an optimum maximum correlation value along with an optimum period to calculate the correlation values. The best strategies that are found may or may not have the correlation option activated.
up-trend than would be captured by standard ranking methods. Note: The BOOM option will not work with all the ranking methods. See the Standard manual for a full description. You can force FastBreak Pro not to use the option, to use the option, or allow FastBreak Pro to optimize whether to use the option. This option is very effective, and we recommend that you check the Yes box to always use the option. The Signal File is not an optimized option. If you select a signal file it is always used.
Note: When optimizing for maximum return, the optimizer will often find strategies that hold only one fund, or the minimum number of funds you allow. This may not be the most robust system. See the Chapter on Building better Systems for more advice. The optimizer will determine the Top% value for your strategy using the range of values in the following boxes: In this example, a value between 10% and 50% will be optimized.
Note: If you are using one or more of the curve fit ranking methods, a minimum of two or three market days are required to calculate the curve fit. If the adjustment factor to the Buy or Sell ranking period results in values less than three days, FastBreak Pro will internally default to a minimum of three market days. For example, if the Buy ranking period is four days but the adjustment factor is 0.25 this would result in only one day to calculate the curve fit.
Stop Loss Click this icon to bring up the stop parameters page: Individual stop loss options can be chosen for consideration along with their ranges. Two-period stop losses can be used. The assumption is that the first period always starts on the first day a position is purchased. FastBreak Pro can optimize the day the switch is made to a second period. The Day Range columns are used to specify a range for FastBreak Pro to try for the switch to the second set of parameters.
used, is available until the position is exited. This two time period option can be very useful if your mutual fund trading company charges you a fee for short term trades. For example, many users trade the Fidelity Select funds which have a trading fee of 0.75% if traded in less than 30 days. FastBreak Pro may determine that a loose stop works best during the first 30 days a fund is held, and the stop tightened after the initial 30 days. You are not required to use the second period.
Buy Filters Screen Click on this icon to bring up the Buy Filters screen: Buy filters are checks that can be applied to a fund prior to purchase. See the Standard manual for a complete description of all the available options. To consider a Rate of Return (ROR) Filter on any fund purchased use the following: In this example, annualized rates of return from 4% per year to 10% per year will be tested. The rates of return will be calculated using day ranges from 20 to 40 days.
purchased should be increasing at the rate of at least 8% per year measured over the most recent 31 days. To consider a Parabolic Buy Filter use the following: The guidance for this option is the same as the ROR buy filter. To consider an Exponential Moving Average Buy Filter use the following: In this example, EMA buy filter values between 25 and 100 market days will be considered.
every strategy that the optimizer tries use this option. If the Force Use box is checked, it does not matter if the Correlation Buy Filter box is checked or not. The user may want to force the use of this option if the strategy developed is to have a maximum correlation with a particular market index (See the Genetic Algorithm Screen options soon to be covered).
Genetic Algorithm Screen Note: To better understand the following discussion you may want to go to Appendix A and read the discussion on Genetic Algorithms (GA). To bring up the Genetic Algorithm and investment criteria screen, click the following icon: This screen is used to select the nature of the strategy to be optimized and customize the GA parameters.
Only one of these three parameters can be selected for optimization using the radio buttons. If a parameter is not selected for optimization, FastBreak Pro will try to build a strategy that is acceptable to the user for the other two criteria. You must put a value other than zero into the text box for the non-optimized criteria if you want FastBreak Pro to recognize it.
to result in improved system performance using the 50% Survivor Selection Percentage (see below). It may be that the Survivor Selection Percentage needs to be made substantially smaller, e.g., 25%, to prevent “dilution” of the gene pool. This is an area for future study. 2. You can specify population sizes by entering a value in the Population # field. We suggest using 100 as the first generation size and 50 for subsequent generations. We do not recommend using values less than 50.
described in the Appendix. Note: Activation of the Maximize Robustness option will triple run time; however, we believe it is critical to building good trading systems. If robustness is not activated, the optimized trading systems are very susceptible to overoptimization. We have found that, under some circumstances, strategies with more stop loss and buy filters options activated can lead to non-robust strategies.
database can be used. Note: If using the Minimize Beta option, the Beta Buy Filter should also be used on the Buy Filter screen. For example, if a user wants a strategy that has a maximum beta of 1.5, then a range of 1.0 to 2.0 could be used in the Beta Buy Filter range. The reason that a range can be used rather than just forcing a Beta buy filter of 1.5 is that if the strategy holds many funds, individual funds may have beta values greater than 1.
ADJ % ANN % 7.66 19.95 6.74 21.67 3.45 19.03 7.41 19.91 UPI 1.4 3 2.1 3.1 MDD 28.73 17.21 16.83 15.38 S/ Y Gen# Rob St rat egy 32 1 1 MAM 64 1 0.9 MAM 110 1 0.9 MAM 58 1 1 MAM Bet a 1.55 1.69 1.1 1.53 Corr Alpha 0.94 15.8 0.95 18 0.91 16.7 0.9 17 CAHPB LPKDESBR NNYNYNNNNNNNNN NNNNYNYYNYNYNN NNNNYYYNYYYNYN NNNNYNYYYYYYNN CB NN NN NN NN LE OEPR BE YNNYNNN NN NNNNNYN NN YNNNNNN NN YNNYNNN NN The information in this file will be covered later when the optimizer is covered.
8.0 Running FastBreak Pro Optimization The GA optimizer works interactively with a special version of Standard FastBreak. Standard FastBreak provides the evaluation of strategies that are built by the GA part of the software. The following information will be clearer after you have run the examples.
The top half of the screen contains statistics about the top 10 best strategies that FastBreak Pro has found during the optimization run. The bottom half of the screen contains the best strategies of the current GA population. The list order for both lists are based on “Adjusted” performance (Adj %). This performance will be based on the option for optimization that the user has selected, i.e., annual return, UPI, or MDD.
C B X Correlation Buy Filter Beta Buy Filter EMA Crossover Buy Filter When you see a “Y” in a column, this means an option was activated for this strategy and “N” indicates the option was not activated. If you are interested, you can observe the current parameters being evaluated by clicking on this icon and jump to the standard FastBreak screens: You can then click on each of the tabs to see the values being evaluated in each of the text boxes.
Notice that there are two lines on each graph.
line is the 10th best strategy. You may see the two lines cross over, depending on the options selected. You can continue or stop a paused run by clicking on the buttons at the bottom of the Best Results screen: Note: The graph information is not saved in the restart file. If you reload and restart an optimization run, the graph data will start with the data from each new generation.
The Out-of-Sample (OS) Results screen adds a new line at the end of each generation. When we refer to “Average” values, we are referring to a simple average of the ten best systems that have been found. Note: A common misunderstanding is that the ten best systems were all found in the current generation. This is not the case. For example, at the end of generation 8, there are ten “best” systems found and saved. These best systems could have been found in any of the eight generations evaluated.
If at a later time you want to reload the results, use the Load FB Pro Restart File option and select the desired restart file. FastBreak Pro will load the data and continue execution. This is true even if the maximum number of generations was reached during the original execution. If you want to extend the number of generations, first use the Pause icon to halt the execution. Next, change the maximum number of generations box (found on the GA setup screen).
If you turned on the option to optimize the trading family, FastBreak will create 10 unique families in the FastTrack User Defined folder. The family names will be TEST (0-9).fam. If you decide to keep a trading system that uses an optimized family, we suggest you rename the family name to one that will not get overwritten the next time you save optimized families.
9.0 Examples We have included example files on the final installation disk. You can use the files directly from the disk, but we recommend copying the files to your FastBreak Pro installation folder to prevent “wear and tear” on the installation disks. You may need to reset the path to the FastTrack trading family. We use the default paths of C:\ft\ftdef (Trading families defined by FastTrack) and C:\ft\Userdef (Trading families created by you the user).
Look through all the various FastBreak Pro screens and note how we set the options and parameter ranges. Notice that this optimization uses only MAM for ranking, and it will hold three funds because we set the minimum and maximum range for # funds held to 3. We are optimizing on Annual return, but have specified an MDD goal of 15%. The optimization will have 100 members in the first generation and 50 for subsequent generations. We will optimize for 15 generations.
After at lest one generation has completed, go to the Out-of-Sample Results screen (shown when the Light Bulb tool bar button is clicked). The GA will continue to look for combinations of parameters that gave good historical performance. However, at some point, the trading systems will become over-optimized and not be good systems under future market conditions. The reason we reserve some recent out-of-sample market data is to test the optimized parameters.
show a drop in OS performance for a couple of generations, but then new solutions will be found which start to improve OS results. Therefore, you should not stop the optimization at the first sign of a decrease in OS performance. The OS MDD is a little disappointing because we optimized with a 15% MDD, and we see that the OS MDD is typically in the 17-22% range. There are some very good reasons for this to happen. First, we are trading sector funds which can be very volatile.
After you choose the generation number you will be asked to provide a name. We will use the name Exp and FastBreak will provide the extensions (Exp0.DFT, Exp1.DFT … Exp9.DFT) to identify each of the top ten systems. We can now load and execute each of the DFT files in FastBreak Pro and look at specific trading parameters, MDD, S/Y etc. We do this because the Out-of-Sample screen only provides the average values for these parameters for all ten systems.
In this example, we chose system # 10 in generation 9 because it was the best in the Outof-Sample screen. Should we always automatically choose the trading system that was best in the OS time period? Not necessarily. See the next chapter for suggestions on how to choose among the top ten best systems. Note: Here is a shortcut for evaluation of the top 10 best systems. Create a Batch run file (see Standard manual for information on running in Batch mode).
and evaluate them separately, but we will use the FastBreak Pro family optimization option to determine the best combination of funds. We build a trading family in FastTrack that contains all four funds – FSAIX, FSENX, FSESX, and FSRFX. This family has been built and can be found on the installation disk (file name is Myentr.fam). Copy this file from the disk to your FastTrack Userdef folder. This folder contains all the user defined families. Note: You must copy the Myentr.
This trading strategy has very good performance in the OS period. The results are even more impressive compared to the major market indexes during the time period. Again, it is not an exact process to choose the best generation. We chose generation number 19 because it had a good combination of IS, OS and UPI values. We proceed by creating DFT files for the ten best strategies in this generation using the Create Best Results DFT Files icon. We provide the name ET.
We see that all 10 new families (ET0 through ET9) are now available in the Families selection table. At this point we execute the strategy just like any FastBreak strategy. We could use the Output tab to write out detail and FNU files for additional information. One item we want to see is what funds FastBreak Pro used from our original family – remember that we used the Optimize Family option. We could use FastTrack to examine the new custom ET3.
Example 3 – Trading Stocks One of the most exciting and aggressive uses of FastBreak Pro is developing stock trading systems. Note: Trading individual stocks is by its very nature not diversified when compared to trading mutual funds. Stock trading systems are subject to very substantial draw downs. We have found that, in strong markets, stock trading systems can, in general, significantly outperform mutual funds trading systems on a return basis.
a very short trading period. For this reason, it is important to have an OS period of reasonable length. Also, the problem can be exacerbated if the strategy holds a few stocks. Our example holds five stocks which will help mitigate the problem, i.e., a few big trades are less likely to give an unreasonable indication of performance. This optimization can take a long time (overnight on a Pentium 2.4 GHz) because the family is large.
Annual return 89.6 MDD 18.8 UPI 9.9 Beta 1.5 Alpha 97.8 The S&P lost 12% and the OTC lost 45% over this same period. Note: You should not expect to see actual trading results that outperform the general market as much as this example because this is the best system of the best generation. However, if you look at the worst OS performance on the Summary screen you will see that, except for the first generation, the results are significantly above the market indexes.
Example 4 – Building Market Timing Signal Files Read the chapter on building market timing signals in the Standard FastBreak manual. That chapter will provide background on the logic of how FastBreak builds signal files. FastBreak Pro can be used to optimize and build market timing signals. This example will demonstrate how to build a multi-market timing signal. The object of this example is to build a market timing signal that can be used for stock and mutual fund trading systems.
Each day you can load this DFT file and execute it just as you would any trading system. If there is a market buy or sell, the signal file will be updated. Of course if you use this signal in a FastBreak trading strategy you will need to run the signal DFT each day prior to loading and executing the trading system DFT.
10.0 Suggestions for Building Better Systems The optimization parameter defaults in FastBreak Pro will give you good results. In this chapter we show you the sensitivity to some of the optimization options and give you ideas for doing your own studies. We also provide results from our studies that may help you build better systems. General Suggestions • Select only one ranking method per optimization run. preference for ranking methods is: MAM, UPI, and Rank.
Keeping Track of Optimization Runs It is useful to keep a simple record of optimization runs. Although it is a simple matter to reload the restart file or optimization parameters file to check parameter choices and ranges, we find it useful to keep a simple spreadsheet record of runs. The spreadsheet can be filled out in less than a minute when an optimization run completes.
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 12th generation for further study. We like to see the best systems found, based on OS performance, between generations 512. If the best system is found early, try increasing or decreasing the mutation rate.
The single fund system has the system with the best OS result but is also the system with the worst OS result. What is interesting is that the “hold 3” systems actually has the best average performance, 32% on average, and the worst system had a very respectable 24%/year return. OS Testing Period How much data should be reserved for Out-of-Sample (OS) testing, and how often should a system be re-optimized? There is not a good general rule.
0 6 18 37.7 40.7 41.8 These results are very encouraging because all systems are comparable and the “older” systems actually have slightly better performance. The results would encourage us to trade systems for a year or more prior to re-optimization. See the Frequently Asked Questions chapter for additional comments on this subject. Are Sector Funds Getting Harder to Trade? While doing studies with Fidelity Select funds, we noticed that it has become more difficult in recent years to trade these funds.
Trade Return/B&H 5.0 4.0 3.0 2.0 1.0 0.0 19 19 19 19 19 19 19 19 19 19 20 90 91 92 93 94 95 96 97 98 99 00 End Date What is very clear is that in the early to mid 90’s, it appears that your chance for outperformance was much better. The ratio hit a low in the June 1996 – June 1997 time period where the optimum systems actually under performed B&H. The tide seems to have turned in recent years. There are several theories as to why this change would have happened.
Trading International Funds We built a family of 34 international funds that can be traded with either no, or low transaction fees. We examined the impact of restricting the number of switches per year on trading performance. An investor may want to constrain trading because the brokerage company may have a limitation on trades allowed per year. The strategies were optimized with an IS period of 1/4/1993 to 12/31/1997, OS period of 1/2/1998 to 9/19/1999.
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.
It can be argued which of the ten systems would have been chosen to be traded. The outof-sample MDD was very similar in all cases. In this particular instance, the best OS strategy, system 9, also happened to be the best Post period case at 45.8%/year. We would like to say this always happens, but that is not the case. The second best case, system 10, had a significantly lower but still impressive return, and the worst OS case, system 3, had a very respectable Post period performance of 32.
System Number 1 2 3 4 5 6 7 8 9 10 Average S&P Family Avg. OS Return FNU OS Post OS FNU Post Annual, % Annual,% Annual, % Annual, % 38.5 44.6 17.7 20 28.7 37.7 23.3 21.1 5.8 33 32.2 32.1 41.7 8.7 23.3 24 27.4 40.9 21.8 31.2 22.8 24.9 24.8 29.7 33.8 19.1 19.9 12.4 29.2 26 37.3 38.2 51.7 34.3 45.8 48.7 45.5 50 24.4 26.9 32.5 37.2 32.6 31.9 37.2 32.6 27 14.7 11.3 28.4 14.7 11.3 On average, using the FNU equity curve to measure performance shows a slight improvement in both the OS and Post OS Period.
Generation 8 was selected for detailed analysis. Here are the results (using FNU equity curves): System Number 1 2 3 4 5 6 7 8 9 10 Average S&P Family Avg. OS Return Post OS Annual, % Annual, % 27.8 51.4 27.8 54.6 12.5 46.1 22.9 58.6 30.7 67.2 36.1 54.8 32.5 58.4 38.6 40.9 36.3 31.2 38.7 51.4 31.5 37.2 11.6 52.1 14.7 6.3 These are outstanding results, especially considering less than four years of data was used for optimization.
Reversing the In-Sample and Out-of-Sample Data Periods FastBreak Pro allows the OS data period to be earlier than the IS data period. The more traditional method is to allow the GA to derive parameters then perform walk-forward testing on the most recent market data. The advantage to the traditional order is to look at the predictive capability of systems on the most recent history.
The Effect of MDD Objectives on Performance All investors want trading systems with a small MDD. Here are the results of a study that looked at how MDD performance objectives affected both IS and OS performance. Annual performance was optimized, but MDD constraints of 10%, 15%, and 20% were also applied. The study used the Select trading family and held three funds. The IS period was 5/12/1989 to 12/31/1996 and the OS period 1/2/1997 to 9/15/1999. The optimization was made with three funds.
a 10% MDD goal was rerun with this penalty activated. The IS, OS and OS MDD results are shown using an X in the above chart. We see that all three measures of performance were improved using this option.
11.0 Frequently Asked Questions and Common Problems Q) I crashed my hard drive (got a new computer, new laptop etc.) and I need to reinstall FastBreak Pro. A) This is our most common tech support call. You MUST use the installation CD to reinstall. We have had a number of users just try to copy files to the new computer or hard drive. This will not work.
a temporary family file to use. This will create confusion if multiple executions are trying to read and write to this family file. Q) I created a new custom trading family but FastBreak does not show the family as being available? A) When you launch FastBreak, it copies the FastTrack families, fund names, and FNU names into memory. You must shut down FastBreak Pro and re-launch it to make this new data available.
Q) Should I ever “over-ride” the trading system? A) Usually the answer is no. One very good reason to stop trading a system is if the system starts to experience an MDD that is greater than the historical maximum value. This is an indication that the market conditions are not favorable with your system. It may be time to either reoptimize the trading system or wait until market conditions improve.
Appendix A -- Technical Discussion What are Genetic Algorithms? Genetic Algorithms are a mathematical method used to solve hard optimization problems. The method simulates the biological processes of “evolution”, “natural selection” and “survival of the fittest.
Adjusted Performance = 20% x 15/18 x 10/14 = 11.9% This calculation is made for all systems (chromosomes) in a generation. All the adjusted performance values are put in order, from best to worst. At this point, only the best systems are allowed to “survive.” The percentage to survive is controlled by the user, but a good starting point is 50%. The next step is to combine system parameters to produce hybrid offspring.
In this example, the parameter values are all increased by 5%. The strategy performance from this run is saved. Then a second evaluation is made, but this time the trading parameter values are reduced by 5%. The performance results are also saved. At this point FastBreak Pro evaluates robustness in one of two ways.
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.
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 usually results in a reduction to the variable being optimized (constraints such as MDD, or switches per year have the same effect). We are willing to pay a small price in IS performance if it results in a system that has better OS performance, i.e., better predictive ability.