"Technical Analysis in Financial Markets"

Table 4.14 continued.

Panel A Panel B

selection criterion Mean return Sharpe ratio

Data set 0% 0.10% 0.25% 0.50% 0.75% 1% 0% 0.10% 0.25% 0.50% 0.75% 1%

KON. PTT NED. 0.1292 0.1599 0.1350 0.0943 0.1270 0.0800 0.0086 -0.0056 -0.0269 -0.0373 -0.0482 -0.0484

KPN 1.0787 0.9829 0.9163 0.8445 0.5666 0.5991 0.1425 0.1185 0.1015 0.1068 0.0992 0.0841

KPNQWEST 0.4183 0.4129 0.4049 0.3920 0.6060 0.5880 0.1640 0.1622 0.1596 0.1550 0.1506 0.1221

VAN DER MOOLEN 0.3970 0.3502 0.2888 0.1832 0.1401 0.0841 0.0297 0.0193 0.0100 -0.0044 -0.0079 -0.0123

NAT. NEDERLANDEN 0.2439 0.2009 0.1045 0.0048 -0.0163 -0.0339 0.0567 0.0436 0.0289 0.0193 0.0014 -0.0036

NEDLLOYD 0.4392 0.3444 0.2632 0.0531 0.0285 -0.0165 0.0383 0.0321 0.0175 0.0093 0.0062 0.0002

NMB POSTBANK 0.4363 0.3660 0.1964 0.1044 0.1101 0.0271 0.0346 0.0330 0.0273 0.0213 0.0062 -0.0057

NUMICO 0.2212 0.1330 0.0904 0.0561 -0.0047 -0.0645 0.0275 0.0139 0.0036 -0.0032 -0.0078 -0.0159

OCE 0.3564 0.2763 0.1655 0.1684 0.0872 0.0875 0.0605 0.0434 0.0252 0.0054 0.0069 0.0046

PAKHOED 0.1123 0.0757 0.0582 0.0341 0.0176 -0.0403 0.0188 0.0109 0.0023 -0.0099 -0.0100 -0.0170

PHILIPS 0.3218 0.1933 0.1035 -0.0149 -0.0481 -0.0986 0.0166 0.0167 -0.0001 0.0001 -0.0056 -0.0113

POLYGRAM 0.2305 0.1006 -0.0283 -0.1426 -0.1913 -0.1345 0.0023 0.0061 0.0035 -0.0156 -0.0225 -0.0254

ROBECO 0.1745 0.0954 0.0293 0.0040 0.0043 -0.0169 0.0517 0.0301 0.0000 -0.0114 -0.0178 -0.0235

ROYAL DUTCH 0.0240 0.0118 -0.0237 -0.0225 -0.0615 -0.0810 0.0060 -0.0044 -0.0073 -0.0157 -0.0167 -0.0263

STORK 0.1774 0.1206 0.1702 -0.0440 -0.0074 -0.0077 0.0264 0.0224 0.0071 -0.0086 -0.0085 -0.0071

TPG 0.3160 0.3458 0.1942 0.0607 0.0126 -0.0601 0.0474 0.0419 0.0344 0.0239 0.0139 0.0169

UNILEVER -0.0213 -0.0429 -0.0775 -0.1083 -0.1045 -0.1347 -0.0076 -0.0108 -0.0212 -0.0239 -0.0296 -0.0341

UPC 0.5227 0.5098 0.4911 1.0538 1.0499 1.0460 0.1255 0.1421 0.1295 0.1165 0.1414 0.1312

VEDIOR -0.1383 -0.1671 -0.1786 -0.2218 -0.1493 -0.1302 0.0078 0.0074 0.0096 0.0073 0.0036 0.0093

VENDEX KBB 0.2894 0.2136 0.0585 0.0427 -0.0590 -0.0659 0.0346 0.0284 0.0210 0.0216 0.0113 0.0094

VERSATEL 1.2925 1.2756 1.2508 1.2103 1.1710 1.1329 0.1079 0.1071 0.1122 0.1060 0.1044 0.1029

VNU 0.3450 0.2892 0.1556 0.0298 -0.0018 0.0161 0.0232 0.0153 -0.0012 -0.0097 -0.0117 -0.0224

WESSANEN 0.2391 0.1542 0.0414 -0.0364 -0.0675 -0.0965 0.0333 0.0211 0.0048 0.0014 -0.0082 -0.0188

WOLTERS KLUWER 0.1809 0.0842 -0.0472 -0.1254 -0.1280 -0.1059 0.0170 0.0101 -0.0110 -0.0271 -0.0306 -0.0319

Average: out-of-sample 0.3223 0.2645 0.2085 0.1505 0.1043 0.0802 0.0377 0.0306 0.0213 0.0128 0.0082 0.0044

Average: in sample 6.8571 6.7184 6.6225 6.5136 6.4123 6.3151 0.0522 0.0431 0.0402 0.0380 0.0363 0.0350

181

	Panel A						Panel B
selection criterion	Mean return						Sharpe ratio
Data set	0%	0.10%	0.25%	0.50%	0.75%	1%	0%	0.10%	0.25%	0.50%	0.75%	1%
KON. PTT NED.	0.1292	0.1599	0.1350	0.0943	0.1270	0.0800	0.0086	-0.0056	-0.0269	-0.0373	-0.0482	-0.0484
KPN	1.0787	0.9829	0.9163	0.8445	0.5666	0.5991	0.1425	0.1185	0.1015	0.1068	0.0992	0.0841
KPNQWEST	0.4183	0.4129	0.4049	0.3920	0.6060	0.5880	0.1640	0.1622	0.1596	0.1550	0.1506	0.1221
VAN DER MOOLEN	0.3970	0.3502	0.2888	0.1832	0.1401	0.0841	0.0297	0.0193	0.0100	-0.0044	-0.0079	-0.0123
NAT. NEDERLANDEN	0.2439	0.2009	0.1045	0.0048	-0.0163	-0.0339	0.0567	0.0436	0.0289	0.0193	0.0014	-0.0036
NEDLLOYD	0.4392	0.3444	0.2632	0.0531	0.0285	-0.0165	0.0383	0.0321	0.0175	0.0093	0.0062	0.0002
NMB POSTBANK	0.4363	0.3660	0.1964	0.1044	0.1101	0.0271	0.0346	0.0330	0.0273	0.0213	0.0062	-0.0057
NUMICO	0.2212	0.1330	0.0904	0.0561	-0.0047	-0.0645	0.0275	0.0139	0.0036	-0.0032	-0.0078	-0.0159
OCE	0.3564	0.2763	0.1655	0.1684	0.0872	0.0875	0.0605	0.0434	0.0252	0.0054	0.0069	0.0046
PAKHOED	0.1123	0.0757	0.0582	0.0341	0.0176	-0.0403	0.0188	0.0109	0.0023	-0.0099	-0.0100	-0.0170
PHILIPS	0.3218	0.1933	0.1035	-0.0149	-0.0481	-0.0986	0.0166	0.0167	-0.0001	0.0001	-0.0056	-0.0113
POLYGRAM	0.2305	0.1006	-0.0283	-0.1426	-0.1913	-0.1345	0.0023	0.0061	0.0035	-0.0156	-0.0225	-0.0254
ROBECO	0.1745	0.0954	0.0293	0.0040	0.0043	-0.0169	0.0517	0.0301	0.0000	-0.0114	-0.0178	-0.0235
ROYAL DUTCH	0.0240	0.0118	-0.0237	-0.0225	-0.0615	-0.0810	0.0060	-0.0044	-0.0073	-0.0157	-0.0167	-0.0263
STORK	0.1774	0.1206	0.1702	-0.0440	-0.0074	-0.0077	0.0264	0.0224	0.0071	-0.0086	-0.0085	-0.0071
TPG	0.3160	0.3458	0.1942	0.0607	0.0126	-0.0601	0.0474	0.0419	0.0344	0.0239	0.0139	0.0169
UNILEVER	-0.0213	-0.0429	-0.0775	-0.1083	-0.1045	-0.1347	-0.0076	-0.0108	-0.0212	-0.0239	-0.0296	-0.0341
UPC	0.5227	0.5098	0.4911	1.0538	1.0499	1.0460	0.1255	0.1421	0.1295	0.1165	0.1414	0.1312
VEDIOR	-0.1383	-0.1671	-0.1786	-0.2218	-0.1493	-0.1302	0.0078	0.0074	0.0096	0.0073	0.0036	0.0093
VENDEX KBB	0.2894	0.2136	0.0585	0.0427	-0.0590	-0.0659	0.0346	0.0284	0.0210	0.0216	0.0113	0.0094
VERSATEL	1.2925	1.2756	1.2508	1.2103	1.1710	1.1329	0.1079	0.1071	0.1122	0.1060	0.1044	0.1029
VNU	0.3450	0.2892	0.1556	0.0298	-0.0018	0.0161	0.0232	0.0153	-0.0012	-0.0097	-0.0117	-0.0224
WESSANEN	0.2391	0.1542	0.0414	-0.0364	-0.0675	-0.0965	0.0333	0.0211	0.0048	0.0014	-0.0082	-0.0188
WOLTERS KLUWER	0.1809	0.0842	-0.0472	-0.1254	-0.1280	-0.1059	0.0170	0.0101	-0.0110	-0.0271	-0.0306	-0.0319
Average: out-of-sample	0.3223	0.2645	0.2085	0.1505	0.1043	0.0802	0.0377	0.0306	0.0213	0.0128	0.0082	0.0044
Average: in sample	6.8571	6.7184	6.6225	6.5136	6.4123	6.3151	0.0522	0.0431	0.0402	0.0380	0.0363	0.0350