- 1
- Separate ACFs of the returns are computed for each data series, but not presented here to save space. The tables are available upon request from the author.
- 2
- The number of technical trading strategies is confined to 787 mainly because of computer power limitations.
- 3
- A short position means borrowing an asset and selling it in the market. The proceeds can be invested against the risk-free interest rate, but dividends should be paid. At a later time the asset should be bought back in the market to redeem the loan. A trading strategy intends to buy back at a lower price than the asset is borrowed and sold for.
- 4
- Blocks with geometric length are drawn from the original data series by first selecting at random a starting point in the original data series. With probability 1-q the block is expanded with the next data point in the original data series and with probability q the resampling is ended and a new starting point for the next block is chosen at random. The mean block length is then equal to 1/q. We follow Sullivan et al. (1999) by choosing q=0.10.
- 5
- Results for the 0.50 and 1% costs per trade cases are not presented here to save space.
- 6
- Computations are also done for the 0.25 and 0.50% transaction cost cases, but not presented here to save space.
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