"Technical Analysis in Financial Markets"

Table 5.2 continued.

Data set N Yearly Mean Std.Dev. Skew. Kurt. t-ratio Sharpe Max.loss Q20 Adj Q20 Q20 r2

Mexico IPC 1413 0.0593 0.000229 0.021103 -0.243 10.526 0.41 0.002199 -0.6114 58.90a 33.41b 234.74a

Peru Lima General 2610 0.1128 0.000424 0.015438 0.145 8.876 1.4 0.016531 -0.6236 203.03a 81.99a 875.43a

Venezuela Industrial 1956 -0.0517 -0.000211 0.030961 -5.855 159.591 -0.3 -0.012783 -0.8263 42.49a 40.97a 2.82

Australia ASX All Ordinaries 3987 0.0294 0.000115 0.012157 -4.24 98.862 0.6 -0.006986 -0.539 97.51a 24.97 148.46a

China Shanghai Composite 1953 0.1401 0.00052 0.019893 0.885 27.243 1.16 0.016854 -0.426 34.57b 21.39 305.56a

Hong Kong Hang Seng 4042 0.0923 0.00035 0.018291 -3.457 77.541 1.22 0.008195 -0.601 63.24a 19.67 76.36a

India BSE30 2478 -0.0318 -0.000128 0.017095 -0.443 9.872 -0.37 -0.017557 -0.6359 35.01b 24.75 74.24a

Indonesia Jakarta Composite 3260 -0.0991 -0.000414 0.026494 -1.664 43.393 -0.89 -0.022479 -0.9389 236.50a 27.63 2588.78a

Japan Nikkei225 4042 -0.0181 -0.000073 0.016386 0.036 10.151 -0.28 -0.016662 -0.7425 42.46a 28.51c 325.02a

Malaysia KLSE Composite 4316 0.039 0.000152 0.018434 0.086 31.573 0.54 -0.002808 -0.8727 142.66a 22.57 2285.44a

New Zealand NZSE30 2739 0.0039 0.000015 0.011854 -0.539 11.848 0.07 -0.012825 -0.5987 21.81 17.31 264.54a

Pakistan Karachi100 2444 -0.0449 -0.000182 0.017969 -0.357 10.202 -0.5 -0.019761 -0.8156 37.78a 17.29 711.36a

Philippines PSE Composite 3781 -0.0351 -0.000142 0.018152 0.526 14.497 -0.48 -0.018701 -0.8558 220.38a 91.24a 340.05a

Singapore Straits Times 3979 0.0457 0.000177 0.015387 -1.809 49.482 0.73 -0.001464 -0.6997 148.37a 25.72 779.97a

South-Korea Kospi200 2239 -0.0372 -0.000151 0.026226 -0.037 12.275 -0.27 -0.012584 -0.878 251.77a 53.39a 3674.31a

Sri Lanka CSE All Share 1756 -0.0717 -0.000295 0.009984 3.652 70.937 -1.24 -0.047927 -0.7114 203.66a 40.36a 44.29a

Thailand SET 2474 -0.1249 -0.00053 0.020911 0.402 8.034 -1.26 -0.033558 -0.9262 117.09a 49.78a 1308.61a

Taiwan TSE Composite 1805 -0.0654 -0.000268 0.018188 -0.117 5.583 -0.63 -0.024837 -0.7058 35.12b 26.24 258.45a

Austria ATX 2625 0.0029 0.000012 0.011465 -0.321 5.263 0.05 -0.013702 -0.5183 21.67 14.91 478.74a

Belgium Bel20 2999 0.0571 0.000221 0.011007 0.043 8.093 1.1 0.004447 -0.5094 28.66c 19.44 290.86a

Czech Republic PX50 1711 -0.0203 -0.000082 0.014104 -0.197 4.689 -0.24 -0.018733 -0.6139 70.91a 50.41a 371.22a

Denmark KFX 3020 0.0607 0.000234 0.011782 -0.217 6.152 1.09 0.005221 -0.338 32.21b 22.48 359.91a

Finland HEX General 2413 0.2005 0.000725 0.021293 -0.387 9.573 1.67c 0.025897 -0.7049 20.42 12.27 342.88a

France CAC40 2846 0.0617 0.000238 0.012632 -0.13 6.179 1 0.005495 -0.4744 43.08a 30.62c 186.66a

Germany DAX30 2781 0.0804 0.000307 0.013576 -0.221 5.297 1.19 0.010269 -0.5532 39.86a 24.86 955.12a

Greece ASE General 1885 0.0788 0.000301 0.019219 -0.111 6.084 0.68 0.006072 -0.7236 46.67a 25.67 382.96a

Italy MIB30 1750 0.0711 0.000273 0.015151 -0.024 5.122 0.75 0.005911 -0.548 34.61b 23.06 642.86a

Netherlands AEX 4042 0.0858 0.000327 0.012963 -0.319 10.562 1.6 0.009747 -0.4775 59.95a 18.51 3156.92a

Norway OSE All Share 1435 -0.0013 -0.000005 0.012838 -0.345 5.55 -0.01 -0.014581 -0.4642 31.10c 16.51 926.37a

Portugal PSI General 1760 0.0655 0.000252 0.01169 -0.175 6.81 0.9 0.005878 -0.5601 39.29a 24.24 289.77a

Russia Moscow Times 1782 0.234 0.000834 0.033932 -0.288 7.915 1.04 0.01919 -0.9426 51.56a 23.27 912.28a

Slovakia SAX16 2016 -0.1082 -0.000455 0.015344 -0.525 9.145 -1.33 -0.041685 -0.7907 26.54 22.68 41.61a

Spain IGBM 2487 0.0843 0.000321 0.012772 -0.097 5.286 1.25 0.01171 -0.4622 29.22c 19.26 641.92a

Sweden OMX 2238 0.0938 0.000356 0.016323 0.023 5.806 1.03 0.01079 -0.6578 39.19a 25.64 658.19a

Switzerland SMI 3391 0.1108 0.000417 0.012252 -0.172 7.71 1.98b 0.018825 -0.4199 21.67 14.7 421.85a

Turkey ISE100 3520 0.0783 0.000299 0.034929 -0.288 7.319 0.51 0.003063 -0.8704 82.85a 43.08a 895.86a

214

Data set	N	Yearly	Mean	Std.Dev.	Skew.	Kurt.	t-ratio	Sharpe	Max.loss	Q20	Adj Q20	Q20 r2
Mexico IPC	1413	0.0593	0.000229	0.021103	-0.243	10.526	0.41	0.002199	-0.6114	58.90a	33.41b	234.74a
Peru Lima General	2610	0.1128	0.000424	0.015438	0.145	8.876	1.4	0.016531	-0.6236	203.03a	81.99a	875.43a
Venezuela Industrial	1956	-0.0517	-0.000211	0.030961	-5.855	159.591	-0.3	-0.012783	-0.8263	42.49a	40.97a	2.82
Australia ASX All Ordinaries	3987	0.0294	0.000115	0.012157	-4.24	98.862	0.6	-0.006986	-0.539	97.51a	24.97	148.46a
China Shanghai Composite	1953	0.1401	0.00052	0.019893	0.885	27.243	1.16	0.016854	-0.426	34.57b	21.39	305.56a
Hong Kong Hang Seng	4042	0.0923	0.00035	0.018291	-3.457	77.541	1.22	0.008195	-0.601	63.24a	19.67	76.36a
India BSE30	2478	-0.0318	-0.000128	0.017095	-0.443	9.872	-0.37	-0.017557	-0.6359	35.01b	24.75	74.24a
Indonesia Jakarta Composite	3260	-0.0991	-0.000414	0.026494	-1.664	43.393	-0.89	-0.022479	-0.9389	236.50a	27.63	2588.78a
Japan Nikkei225	4042	-0.0181	-0.000073	0.016386	0.036	10.151	-0.28	-0.016662	-0.7425	42.46a	28.51c	325.02a
Malaysia KLSE Composite	4316	0.039	0.000152	0.018434	0.086	31.573	0.54	-0.002808	-0.8727	142.66a	22.57	2285.44a
New Zealand NZSE30	2739	0.0039	0.000015	0.011854	-0.539	11.848	0.07	-0.012825	-0.5987	21.81	17.31	264.54a
Pakistan Karachi100	2444	-0.0449	-0.000182	0.017969	-0.357	10.202	-0.5	-0.019761	-0.8156	37.78a	17.29	711.36a
Philippines PSE Composite	3781	-0.0351	-0.000142	0.018152	0.526	14.497	-0.48	-0.018701	-0.8558	220.38a	91.24a	340.05a
Singapore Straits Times	3979	0.0457	0.000177	0.015387	-1.809	49.482	0.73	-0.001464	-0.6997	148.37a	25.72	779.97a
South-Korea Kospi200	2239	-0.0372	-0.000151	0.026226	-0.037	12.275	-0.27	-0.012584	-0.878	251.77a	53.39a	3674.31a
Sri Lanka CSE All Share	1756	-0.0717	-0.000295	0.009984	3.652	70.937	-1.24	-0.047927	-0.7114	203.66a	40.36a	44.29a
Thailand SET	2474	-0.1249	-0.00053	0.020911	0.402	8.034	-1.26	-0.033558	-0.9262	117.09a	49.78a	1308.61a
Taiwan TSE Composite	1805	-0.0654	-0.000268	0.018188	-0.117	5.583	-0.63	-0.024837	-0.7058	35.12b	26.24	258.45a
Austria ATX	2625	0.0029	0.000012	0.011465	-0.321	5.263	0.05	-0.013702	-0.5183	21.67	14.91	478.74a
Belgium Bel20	2999	0.0571	0.000221	0.011007	0.043	8.093	1.1	0.004447	-0.5094	28.66c	19.44	290.86a
Czech Republic PX50	1711	-0.0203	-0.000082	0.014104	-0.197	4.689	-0.24	-0.018733	-0.6139	70.91a	50.41a	371.22a
Denmark KFX	3020	0.0607	0.000234	0.011782	-0.217	6.152	1.09	0.005221	-0.338	32.21b	22.48	359.91a
Finland HEX General	2413	0.2005	0.000725	0.021293	-0.387	9.573	1.67c	0.025897	-0.7049	20.42	12.27	342.88a
France CAC40	2846	0.0617	0.000238	0.012632	-0.13	6.179	1	0.005495	-0.4744	43.08a	30.62c	186.66a
Germany DAX30	2781	0.0804	0.000307	0.013576	-0.221	5.297	1.19	0.010269	-0.5532	39.86a	24.86	955.12a
Greece ASE General	1885	0.0788	0.000301	0.019219	-0.111	6.084	0.68	0.006072	-0.7236	46.67a	25.67	382.96a
Italy MIB30	1750	0.0711	0.000273	0.015151	-0.024	5.122	0.75	0.005911	-0.548	34.61b	23.06	642.86a
Netherlands AEX	4042	0.0858	0.000327	0.012963	-0.319	10.562	1.6	0.009747	-0.4775	59.95a	18.51	3156.92a
Norway OSE All Share	1435	-0.0013	-0.000005	0.012838	-0.345	5.55	-0.01	-0.014581	-0.4642	31.10c	16.51	926.37a
Portugal PSI General	1760	0.0655	0.000252	0.01169	-0.175	6.81	0.9	0.005878	-0.5601	39.29a	24.24	289.77a
Russia Moscow Times	1782	0.234	0.000834	0.033932	-0.288	7.915	1.04	0.01919	-0.9426	51.56a	23.27	912.28a
Slovakia SAX16	2016	-0.1082	-0.000455	0.015344	-0.525	9.145	-1.33	-0.041685	-0.7907	26.54	22.68	41.61a
Spain IGBM	2487	0.0843	0.000321	0.012772	-0.097	5.286	1.25	0.01171	-0.4622	29.22c	19.26	641.92a
Sweden OMX	2238	0.0938	0.000356	0.016323	0.023	5.806	1.03	0.01079	-0.6578	39.19a	25.64	658.19a
Switzerland SMI	3391	0.1108	0.000417	0.012252	-0.172	7.71	1.98b	0.018825	-0.4199	21.67	14.7	421.85a
Turkey ISE100	3520	0.0783	0.000299	0.034929	-0.288	7.319	0.51	0.003063	-0.8704	82.85a	43.08a	895.86a