"Technical Analysis in Financial Markets"

Table 5.3 continued.

Data set Strategy parameters r r^e S S^e ML # tr. %tr.>0 %d > 0 SDR

Japan Nikkei225 [ MA: 5, 10, 0.000, 4, 0, 0.000] 0.1563 0.1776 0.0184 0.0350 -0.6483 296 0.703 0.802 1.1137

Malaysia KLSE Composite [ MA: 1, 2, 0.001, 0, 0, 0.000] 0.9261 0.8537 0.0988 0.1016 -0.5149 1457 0.725 0.845 1.4378

New Zealand NZSE30 [ MA: 1, 2, 0.000, 0, 0, 0.000] 0.1580 0.1535 0.0269 0.0397 -0.4712 1315 0.687 0.806 1.3303

Pakistan Karachi100 [ FR: 0.005, 0, 0 ] 0.5733 0.6473 0.0676 0.0874 -0.3842 672 0.710 0.841 1.0956

Philippines PSE Composite [ MA: 1, 2, 0.001, 0, 0, 0.000] 0.9814 1.0536 0.1027 0.1214 -0.3457 1348 0.714 0.830 1.4767

Singapore Straits Times [ MA: 1, 2, 0.000, 0, 0, 0.000] 0.7293 0.6537 0.1005 0.1020 -0.4133 1757 0.714 0.833 1.6259

South-Korea Kospi200 [ FR: 0.005, 0, 0 ] 0.8663 0.9385 0.0660 0.0786 -0.4491 710 0.725 0.845 1.3776

Sri Lanka CSE All Share [ MA: 1, 2, 0.001, 0, 0, 0.000] 0.6559 0.7839 0.1287 0.1766 -0.2126 409 0.731 0.868 1.7512

Thailand SET [ MA: 1, 5, 0.000, 0, 0, 0.025] 0.6785 0.9181 0.0718 0.1053 -0.6064 525 0.710 0.844 1.1477

Taiwan TSE Composite [ MA: 1, 10, 0.000, 0, 0, 0.000] 0.3018 0.3928 0.0410 0.0658 -0.3560 242 0.682 0.856 1.4028

Austria ATX [ FR: 0.025, 0, 25 ] 0.1616 0.1582 0.0335 0.0472 -0.2883 151 0.689 0.824 1.0489

Belgium Bel20 [ SR: 10, 0.000, 0, 50, 0.000 ] 0.1525 0.0902 0.0282 0.0237 -0.2711 96 0.740 0.872 1.0449

Czech Republic PX50 [ FR: 0.005, 0, 0 ] 0.5962 0.6293 0.0900 0.1087 -0.3120 477 0.730 0.857 1.2415

Denmark KFX [ FR: 0.005, 0, 5 ] 0.2166 0.1470 0.0401 0.0349 -0.2979 642 0.646 0.701 1.0276

Finland HEX General [ SR: 25, 0.000, 4, 0, 0.000 ] 0.4692 0.2238 0.0524 0.0265 -0.4667 52 0.769 0.866 0.9368

France CAC40 [ MA: 1, 2, 0.000, 0, 0, 0.000] 0.2094 0.1391 0.0344 0.0289 -0.4030 1383 0.694 0.803 1.2673

Germany DAX30 [ MA: 1, 2, 0.000, 0, 10, 0.000] 0.2130 0.1227 0.0326 0.0223 -0.3935 303 0.680 0.821 1.0603

Greece ASE General [ FR: 0.005, 0, 0 ] 0.9309 0.7898 0.0962 0.0901 -0.4239 595 0.726 0.836 1.3280

Italy MIB30 [ MA: 1, 2, 0.000, 0, 50, 0.000] 0.3026 0.2161 0.0473 0.0414 -0.4097 45 0.711 0.854 1.2225

Netherlands AEX [ MA: 5, 25, 0.000, 0, 50, 0.000] 0.1572 0.0657 0.0264 0.0166 -0.5858 124 0.758 0.843 1.0739

Norway OSE All Share [ SR: 5, 0.000, 0, 0, 0.000 ] 0.3418 0.3435 0.0625 0.0771 -0.1751 144 0.757 0.860 1.2095

Portugal PSI General [ MA: 1, 5, 0.000, 0, 0, 0.025] 0.4210 0.3336 0.0817 0.0758 -0.3514 394 0.695 0.844 1.2825

Russia Moscow Times [ FR: 0.005, 0, 0 ] 2.6707 1.9746 0.1142 0.0950 -0.6517 590 0.741 0.859 1.1977

Slovakia SAX16 [ MA: 25, 200, 0.050, 0, 0, 0.000] 0.0857 0.2175 0.0095 0.0512 -0.4280 4 0.750 0.904 1.4098

Spain IGBM [ FR: 0.005, 0, 0 ] 0.2441 0.1473 0.0404 0.0286 -0.3333 793 0.702 0.809 1.2348

Sweden OMX [ FR: 0.010, 0, 0 ] 0.3569 0.2406 0.0466 0.0358 -0.5876 540 0.713 0.827 1.1050

Switzerland SMI [ MA: 1, 5, 0.000, 0, 50, 0.000] 0.2360 0.1127 0.0407 0.0219 -0.5320 111 0.694 0.855 0.8339

Turkey ISE100 [ FR: 0.005, 0, 0 ] 1.3096 1.1419 0.0673 0.0643 -0.8882 1307 0.719 0.832 1.1805

UK FTSE100 [ FR: 0.005, 0, 0 ] 0.1635 0.0895 0.0269 0.0216 -0.3811 1242 0.702 0.814 1.1872

Ireland ISEQ [ MA: 1, 25, 0.000, 0, 50, 0.000] 0.1608 0.1357 0.0284 0.0369 -0.4451 99 0.717 0.832 0.9301

Egypt CMA [ MA: 1, 2, 0.001, 0, 0, 0.000] 0.5158 0.3528 0.1423 0.1063 -0.2460 420 0.698 0.861 1.4805

Israel TA100 [ MA: 2, 5, 0.000, 0, 0, 0.050] 0.2567 0.1771 0.0354 0.0301 -0.4236 612 0.722 0.830 1.1227

216

Data set	Strategy parameters	r	r^e	S	S^e	ML	# tr.	%tr.>0	%d > 0	SDR
Japan Nikkei225	[ MA: 5, 10, 0.000, 4, 0, 0.000]	0.1563	0.1776	0.0184	0.0350	-0.6483	296	0.703	0.802	1.1137
Malaysia KLSE Composite	[ MA: 1, 2, 0.001, 0, 0, 0.000]	0.9261	0.8537	0.0988	0.1016	-0.5149	1457	0.725	0.845	1.4378
New Zealand NZSE30	[ MA: 1, 2, 0.000, 0, 0, 0.000]	0.1580	0.1535	0.0269	0.0397	-0.4712	1315	0.687	0.806	1.3303
Pakistan Karachi100	[ FR: 0.005, 0, 0 ]	0.5733	0.6473	0.0676	0.0874	-0.3842	672	0.710	0.841	1.0956
Philippines PSE Composite	[ MA: 1, 2, 0.001, 0, 0, 0.000]	0.9814	1.0536	0.1027	0.1214	-0.3457	1348	0.714	0.830	1.4767
Singapore Straits Times	[ MA: 1, 2, 0.000, 0, 0, 0.000]	0.7293	0.6537	0.1005	0.1020	-0.4133	1757	0.714	0.833	1.6259
South-Korea Kospi200	[ FR: 0.005, 0, 0 ]	0.8663	0.9385	0.0660	0.0786	-0.4491	710	0.725	0.845	1.3776
Sri Lanka CSE All Share	[ MA: 1, 2, 0.001, 0, 0, 0.000]	0.6559	0.7839	0.1287	0.1766	-0.2126	409	0.731	0.868	1.7512
Thailand SET	[ MA: 1, 5, 0.000, 0, 0, 0.025]	0.6785	0.9181	0.0718	0.1053	-0.6064	525	0.710	0.844	1.1477
Taiwan TSE Composite	[ MA: 1, 10, 0.000, 0, 0, 0.000]	0.3018	0.3928	0.0410	0.0658	-0.3560	242	0.682	0.856	1.4028
Austria ATX	[ FR: 0.025, 0, 25 ]	0.1616	0.1582	0.0335	0.0472	-0.2883	151	0.689	0.824	1.0489
Belgium Bel20	[ SR: 10, 0.000, 0, 50, 0.000 ]	0.1525	0.0902	0.0282	0.0237	-0.2711	96	0.740	0.872	1.0449
Czech Republic PX50	[ FR: 0.005, 0, 0 ]	0.5962	0.6293	0.0900	0.1087	-0.3120	477	0.730	0.857	1.2415
Denmark KFX	[ FR: 0.005, 0, 5 ]	0.2166	0.1470	0.0401	0.0349	-0.2979	642	0.646	0.701	1.0276
Finland HEX General	[ SR: 25, 0.000, 4, 0, 0.000 ]	0.4692	0.2238	0.0524	0.0265	-0.4667	52	0.769	0.866	0.9368
France CAC40	[ MA: 1, 2, 0.000, 0, 0, 0.000]	0.2094	0.1391	0.0344	0.0289	-0.4030	1383	0.694	0.803	1.2673
Germany DAX30	[ MA: 1, 2, 0.000, 0, 10, 0.000]	0.2130	0.1227	0.0326	0.0223	-0.3935	303	0.680	0.821	1.0603
Greece ASE General	[ FR: 0.005, 0, 0 ]	0.9309	0.7898	0.0962	0.0901	-0.4239	595	0.726	0.836	1.3280
Italy MIB30	[ MA: 1, 2, 0.000, 0, 50, 0.000]	0.3026	0.2161	0.0473	0.0414	-0.4097	45	0.711	0.854	1.2225
Netherlands AEX	[ MA: 5, 25, 0.000, 0, 50, 0.000]	0.1572	0.0657	0.0264	0.0166	-0.5858	124	0.758	0.843	1.0739
Norway OSE All Share	[ SR: 5, 0.000, 0, 0, 0.000 ]	0.3418	0.3435	0.0625	0.0771	-0.1751	144	0.757	0.860	1.2095
Portugal PSI General	[ MA: 1, 5, 0.000, 0, 0, 0.025]	0.4210	0.3336	0.0817	0.0758	-0.3514	394	0.695	0.844	1.2825
Russia Moscow Times	[ FR: 0.005, 0, 0 ]	2.6707	1.9746	0.1142	0.0950	-0.6517	590	0.741	0.859	1.1977
Slovakia SAX16	[ MA: 25, 200, 0.050, 0, 0, 0.000]	0.0857	0.2175	0.0095	0.0512	-0.4280	4	0.750	0.904	1.4098
Spain IGBM	[ FR: 0.005, 0, 0 ]	0.2441	0.1473	0.0404	0.0286	-0.3333	793	0.702	0.809	1.2348
Sweden OMX	[ FR: 0.010, 0, 0 ]	0.3569	0.2406	0.0466	0.0358	-0.5876	540	0.713	0.827	1.1050
Switzerland SMI	[ MA: 1, 5, 0.000, 0, 50, 0.000]	0.2360	0.1127	0.0407	0.0219	-0.5320	111	0.694	0.855	0.8339
Turkey ISE100	[ FR: 0.005, 0, 0 ]	1.3096	1.1419	0.0673	0.0643	-0.8882	1307	0.719	0.832	1.1805
UK FTSE100	[ FR: 0.005, 0, 0 ]	0.1635	0.0895	0.0269	0.0216	-0.3811	1242	0.702	0.814	1.1872
Ireland ISEQ	[ MA: 1, 25, 0.000, 0, 50, 0.000]	0.1608	0.1357	0.0284	0.0369	-0.4451	99	0.717	0.832	0.9301
Egypt CMA	[ MA: 1, 2, 0.001, 0, 0, 0.000]	0.5158	0.3528	0.1423	0.1063	-0.2460	420	0.698	0.861	1.4805
Israel TA100	[ MA: 2, 5, 0.000, 0, 0, 0.050]	0.2567	0.1771	0.0354	0.0301	-0.4236	612	0.722	0.830	1.1227