Table 3.18 continued.
Data set Period Parameters r re S Se ML # tr %tr>0 %d>0 SDR
SBC COMMUNICATIONS 9/18/89-6/29/01 [ 252, 42 ] 0.1027 0.0106 0.0071 -0.0007 -0.6655 260 0.442 0.624 0.8597
SEARS, ROEBUCK & CO. 10/31/78-6/29/01 [ 1008, 252 ] 0.0683 -0.0066 -0.0014 -0.0006 -0.7466 685 0.236 0.617 1.0365
UNITED TECHNOLOGIES 10/31/78-6/29/01 [ 1260, 252 ] 0.1123 -0.0112 0.0054 -0.0042 -0.5593 663 0.330 0.710 0.9482
WAL - MART STORES 10/30/86-6/29/01 [ 252, 21 ] 0.2833 0.0778 0.0275 0.0024 -0.7779 315 0.432 0.655 1.0760
WALT DISNEY 10/31/78-6/29/01 [ 1008, 126 ] 0.1964 0.0301 0.0163 0.0005 -0.6901 291 0.509 0.786 1.0927

Table 3.19: Statistics best out-of-sample testing procedure: Sharpe ratio 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 Sharpe ratio 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 [ 1260, 252 ] 0.1661 0.0510 0.0252 0.0124 -0.3494 85 0.471 0.854 0.6790
ALCOA 10/31/78-6/29/01 [ 1008, 252 ] 0.2202 0.1039 0.0190 0.0120 -0.5396 468 0.177 0.626 1.2539
AMERICAN EXPRESS 10/31/78-6/29/01 [ 756, 126 ] 0.1276 0.0040 0.0063 -0.0014 -0.7372 118 0.644 0.702 1.0477
AT&T 10/31/78-6/29/01 [ 1260, 252 ] -0.0243 -0.0747 -0.0156 -0.0094 -0.9082 62 0.790 0.602 1.0126
BETHLEHEM STEEL 10/31/78-6/29/01 [ 1008, 252 ] 0.1649 0.2593 0.0092 0.0335 -0.6966 422 0.156 0.587 1.1778
BOEING 10/31/78-6/29/01 [ 1260, 252 ] 0.1380 0.0194 0.0079 0.0004 -0.7835 204 0.152 0.664 0.9487
CATERPILLAR 10/31/78-6/29/01 [ 1260, 252 ] 0.2547 0.1987 0.0224 0.0269 -0.5878 593 0.132 0.527 1.0262
CHEVRON - TEXACO 10/31/78-6/29/01 [ 42, 21 ] 0.1111 0.0167 0.0055 0.0021 -0.6538 235 0.251 0.578 1.1345
CITIGROUP 8/26/92-6/29/01 [ 504, 126 ] 0.4496 0.1003 0.0436 -0.0001 -0.6200 66 0.212 0.702 1.0065
COCA - COLA 10/31/78-6/29/01 [ 504, 126 ] 0.1230 -0.0267 0.0077 -0.0074 -0.7367 161 0.248 0.620 1.0784
E.I. DU PONT DE NEMOURS 10/31/78-6/29/01 [ 126, 63 ] 0.1034 0.0178 0.0041 0.0026 -0.5379 149 0.349 0.613 1.0074
EASTMAN KODAK 10/31/78-6/29/01 [ 1008, 252 ] -0.0010 -0.0362 -0.0129 -0.0038 -0.8146 62 0.629 0.705 0.9497
EXXON MOBIL 10/31/78-6/29/01 [ 1260, 126 ] 0.0987 -0.0208 0.0042 -0.0061 -0.4136 57 0.754 0.750 0.8258
GENERAL ELECTRIC 10/31/78-6/29/01 [ 1260, 252 ] 0.1691 -0.0104 0.0159 -0.0070 -0.6553 75 0.853 0.834 0.7889
GENERAL MOTORS 10/31/78-6/29/01 [ 1008, 126 ] 0.0981 0.0533 0.0029 0.0100 -0.6946 90 0.533 0.745 0.9067
GOODYEAR TIRE 10/31/78-6/29/01 [ 63, 1 ] 0.1330 0.0779 0.0082 0.0127 -0.7492 531 0.115 0.477 1.1916
HEWLETT - PACKARD 10/31/78-6/29/01 [ 504, 252 ] 0.1818 0.0263 0.0120 0.0005 -0.8192 152 0.296 0.630 0.9360
HOME DEPOT 10/30/89-6/29/01 [ 252, 42 ] 0.3923 0.0742 0.0426 0.0025 -0.5015 86 0.267 0.653 1.0607
HONEYWELL INTL. 7/18/91-6/29/01 [ 756, 126 ] 0.2393 0.1044 0.0253 0.0107 -0.5554 51 0.314 0.751 0.7963
INTEL 10/29/84-6/29/01 [ 504, 126 ] 0.3872 0.1311 0.0317 0.0082 -0.6771 97 0.423 0.742 0.9992
138