Table 3.18: Statistics best out-of-sample testing procedure: mean return criterion, 0.25% costs. Statistics of the best recursively optimizing and testing procedure applied to each data series listed in the first column in the case of 0.25% costs per trade. The best strategy in the optimizing period is selected on the basis of the mean return criterion. Column 2 shows the sample period. Column 3 shows the parameters: [length optimizing period, length testing period]. Columns 4 and 5 show the mean return and excess mean return on a yearly basis in %/100 terms. Columns 6 and 7 show the Sharpe and excess Sharpe ratio. Column 8 shows the largest cumulative loss in %/100 terms. Columns 9, 10 and 11 show the number of trades, the percentage of profitable trades and the percentage of days these profitable trades lasted. The last column shows the standard deviation of returns during profitable trades divided by the standard deviation of returns during non-profitable trades.
Data set Period Parameters r re S Se ML # tr %tr>0 %d>0 SDR DJIA 10/31/78-6/29/01 [ 1008, 252 ] 0.1349 0.0198 0.0146 0.0018 -0.4311 164 0.494 0.881 1.0635 ALCOA 10/31/78-6/29/01 [ 1260, 126 ] 0.2044 0.0881 0.0172 0.0102 -0.6114 1278 0.292 0.541 1.1771 AMERICAN EXPRESS 10/31/78-6/29/01 [ 756, 126 ] 0.1247 0.0011 0.0059 -0.0018 -0.7433 378 0.526 0.693 1.0498 AT&T 10/31/78-6/29/01 [ 1260, 252 ] 0.0145 -0.0359 -0.0097 -0.0035 -0.9082 182 0.626 0.738 0.9071 BETHLEHEM STEEL 10/31/78-6/29/01 [ 1008, 252 ] 0.1782 0.2726 0.0107 0.0350 -0.7102 917 0.266 0.610 1.1660 BOEING 10/31/78-6/29/01 [ 126, 10 ] 0.1240 0.0054 0.0063 -0.0012 -0.6747 678 0.409 0.629 0.9991 CATERPILLAR 10/31/78-6/29/01 [ 1260, 252 ] 0.2062 0.1502 0.0168 0.0213 -0.5878 1473 0.249 0.501 1.0641 CHEVRON - TEXACO 10/31/78-6/29/01 [ 1008, 126 ] 0.1195 0.0251 0.0070 0.0036 -0.5047 736 0.327 0.641 1.1284 CITIGROUP 8/26/92-6/29/01 [ 42, 10 ] 0.4220 0.0727 0.0369 -0.0068 -0.5172 321 0.371 0.541 1.1087 COCA - COLA 10/31/78-6/29/01 [ 252, 126 ] 0.1577 0.0080 0.0123 -0.0028 -0.7893 555 0.404 0.658 1.0912 E.I. DU PONT DE NEMOURS 10/31/78-6/29/01 [ 1260, 126 ] 0.0293 -0.0563 -0.0081 -0.0096 -0.7602 598 0.426 0.568 0.9584 EASTMAN KODAK 10/31/78-6/29/01 [ 1260, 252 ] 0.0055 -0.0297 -0.0130 -0.0039 -0.7596 288 0.462 0.731 0.9212 EXXON MOBIL 10/31/78-6/29/01 [ 1260, 126 ] 0.1135 -0.0060 0.0057 -0.0046 -0.6069 219 0.516 0.733 1.1681 GENERAL ELECTRIC 10/31/78-6/29/01 [ 756, 252 ] 0.1743 -0.0052 0.0142 -0.0087 -0.6596 187 0.588 0.811 0.8271 GENERAL MOTORS 10/31/78-6/29/01 [ 504, 252 ] 0.0700 0.0252 -0.0013 0.0058 -0.6637 353 0.439 0.676 0.8982 GOODYEAR TIRE 10/31/78-6/29/01 [ 252, 126 ] 0.1014 0.0463 0.0031 0.0076 -0.8122 503 0.408 0.636 1.0959 HEWLETT - PACKARD 10/31/78-6/29/01 [ 504, 252 ] 0.1656 0.0101 0.0096 -0.0019 -0.8086 467 0.493 0.637 1.0680 HOME DEPOT 10/30/89-6/29/01 [ 126, 42 ] 0.4145 0.0964 0.0403 0.0002 -0.4604 346 0.376 0.620 0.8692 HONEYWELL INTL. 7/18/91-6/29/01 [ 1260, 252 ] 0.1958 0.0609 0.0166 0.0020 -0.6052 87 0.494 0.806 0.6487 INTEL 10/29/84-6/29/01 [ 252, 126 ] 0.3172 0.0611 0.0236 0.0001 -0.6988 419 0.372 0.672 1.1498 INTL. BUS. MACH. 10/31/78-6/29/01 [ 1260, 126 ] 0.0348 -0.0490 -0.0061 -0.0071 -0.8511 154 0.571 0.753 0.9488 INTERNATIONAL PAPER 10/31/78-6/29/01 [ 1260, 126 ] 0.0871 0.0327 0.0011 0.0060 -0.7551 884 0.309 0.561 0.9877 J.P. MORGAN CHASE & CO. 10/31/78-6/29/01 [ 756, 252 ] 0.2001 0.1104 0.0145 0.0126 -0.7584 441 0.358 0.673 1.0335 JOHNSON & JOHNSON 10/31/78-6/29/01 [ 1008, 252 ] 0.1089 -0.0505 0.0042 -0.0135 -0.6874 291 0.495 0.803 0.9719 MCDONALDS 10/31/78-6/29/01 [ 252, 126 ] 0.1173 -0.0246 0.0063 -0.0074 -0.5120 463 0.445 0.630 1.0525 MERCK 10/31/78-6/29/01 [ 252, 126 ] 0.1658 -0.0036 0.0136 -0.0065 -0.8547 469 0.458 0.748 0.9708 MICROSOFT 1/09/92-6/29/01 [ 21, 10 ] 0.4215 0.1123 0.0385 0.0009 -0.5474 306 0.366 0.538 0.9815 MINNESOTA MNG. & MNFG. 10/31/78-6/29/01 [ 126, 63 ] 0.0758 -0.0172 -0.0006 -0.0041 -0.6431 517 0.435 0.600 1.1240 PHILIP MORRIS 10/31/78-6/29/01 [ 252, 10 ] 0.1660 0.0026 0.0128 -0.0040 -0.6785 450 0.411 0.661 0.9167 PROCTER & GAMBLE 10/31/78-6/29/01 [ 756, 126 ] 0.0629 -0.0491 -0.0027 -0.0101 -0.5250 302 0.520 0.716 0.9495
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