Table 4.5 continued.
Data set Strategy parameters r re S Se ML # tr. %tr.>0 %d > 0 SDR
VERSATEL [ FR: 0.120, 0, 0 ] 0.4777 16.8951 0.0174 0.1626 -0.5717 27 0.444 0.730 1.4834
VNU [ MA: 1, 2, 0.050, 0, 0, 0.000] 0.3448 0.1166 0.0420 0.0154 -0.5302 6 0.667 0.995 0.2966
WESSANEN [ MA: 1, 2, 0.025, 0, 0, 0.000] 0.2000 0.1263 0.0254 0.0232 -0.5345 29 0.552 0.963 0.4049
WOLTERS KLUWER [ MA: 2, 5, 0.050, 0, 0, 0.000] 0.2778 0.0564 0.0322 0.0022 -0.6267 13 0.538 0.917 0.5323

Table 4.6: Statistics best strategy: Sharpe ratio criterion, 0 and 0.25% costs. Statistics of the best strategy, selected by the Sharpe ratio criterion, if 0 and 0.25% costs per trade are implemented, for each data series listed in the first column. Column 2 shows the strategy parameters. Columns 3 and 4 show the mean return and excess mean return on a yearly basis in %/100 terms. Columns 5 and 6 show the Sharpe and excess Sharpe ratio. Column 7 shows the largest loss of the strategy in %/100 terms. Columns 8, 9 and 10 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. Results are only shown for those data series for which a different best strategy is selected by the Sharpe ratio criterion than by the mean return criterion.

0% costs per trade                    
Data set Strategy parameters r re S Se ML # tr. %tr.>0 %d > 0 SDR
AEX [ MA: 1, 25, 0.000, 0, 0, 0.000] 0.2475 0.1298 0.0454 0.0308 -0.4444 408 0.657 0.849 1.2064
BAAN [ MA: 1, 2, 0.000, 0, 50, 0.000] 0.4911 1.1534 0.0593 0.0923 -0.4425 27 0.741 0.990 1.6964
CMG [ MA: 25, 50, 0.050, 0, 0, 0.000] 0.9886 0.8456 0.0735 0.0693 -0.6322 8 0.875 0.989 0.7260
CORUS [ MA: 1, 2, 0.000, 0, 0, 0.000] 1.1930 0.6799 0.0813 0.0517 -0.4660 176 0.705 0.829 1.5341
DAF [ SR: 20, 0.050, 0, 0, 0.000 ] 0.0989 6.6563 0.0005 0.0833 -0.5781 9 0.778 0.782 3.8140
GIST BROCADES [ MA: 2, 25, 0.000, 0, 0, 0.000] 0.2547 0.1731 0.0289 0.0270 -0.5015 246 0.711 0.856 1.0282
GUCCI [ FR: 0.200, 0, 50 ] 0.4060 0.2455 0.0470 0.0340 -0.2944 19 0.842 0.701 1.2907
VAN DER MOOLEN [ MA: 1, 2, 0.000, 0, 0, 0.000] 0.8182 0.4282 0.0808 0.0462 -0.5137 1653 0.674 0.816 1.3728
NMB POSTBANK [ SR: 5, 0.001, 0, 0, 0.000 ] 0.4489 0.3012 0.0592 0.0479 -0.4275 201 0.731 0.873 1.4092
PAKHOED [ MA: 10, 25, 0.000, 0, 50, 0.000] 0.2739 0.1075 0.0392 0.0207 -0.4607 116 0.690 0.823 1.0159
STORK [ SR: 20, 0.010, 0, 0, 0.000 ] 0.3046 0.2054 0.0345 0.0297 -0.5606 83 0.819 0.908 0.9992
TPG [ SR: 5, 0.000, 0, 50, 0.000 ] 0.1531 0.1682 0.0251 0.0349 -0.2260 25 0.760 0.988 1.8030
UNILEVER [ MA: 10, 25, 0.000, 0, 5, 0.000] 0.2134 0.0348 0.0295 0.0047 -0.4496 342 0.705 0.663 0.8162
0.25% costs per trade                    
Data set Strategy parameters r re S Se ML # tr. %tr.>0 %d > 0 SDR
AEX [ FR: 0.120, 0, 50 ] 0.1572 0.0482 0.0345 0.0199 -0.2724 42 0.786 0.808 1.3628
ABN AMRO [ SR: 150, 0.000, 0, 0, 0.100 ] 0.2915 0.0754 0.0457 0.0136 -0.3828 13 0.615 0.924 0.7539
AEGON [ SR: 250, 0.010, 0, 0, 0.000 ] 0.2914 0.0733 0.0449 0.0146 -0.4530 4 1.000 1.000 NA
BAAN [ MA: 1, 2 0.000, 0, 50, 0.000] 0.4670 1.1197 0.0566 0.0897 -0.4425 27 0.741 0.990 1.6964
173