Table 5.4: Statistics best strategy: mean return criterion, 0.25% costs. Columns as in table 5.3.
Data set Strategy parameters r re S Se ML # tr. %tr.>0 %d > 0 SDR World MSCI [ MA: 1, 200, 0.025, 0, 0, 0.000] 0.1492 0.0604 0.0332 0.0221 -0.2591 19 0.842 0.955 1.0955 Argentina Merval [ FR: 0.010, 0, 50 ] 0.2456 0.5501 0.0240 0.0623 -0.6142 61 0.639 0.850 1.4653 Brazil Bovespa [ SR: 20, 0.001, 0, 0, 0.000 ] 0.3899 0.4257 0.0413 0.0517 -0.5308 41 0.659 0.855 1.3801 Canada TSX Composite [ MA: 1, 25, 0.005, 0, 0, 0.000] 0.1578 0.1049 0.0327 0.0342 -0.3146 176 0.341 0.656 1.0849 Chile IPSA [ FR: 0.020, 0, 0 ] 0.2694 0.3680 0.0431 0.0782 -0.4024 188 0.277 0.506 0.9045 Mexico IPC [ MA: 1, 5, 0.000, 0, 0, 0.050] 0.5489 0.4629 0.0606 0.0585 -0.3213 321 0.227 0.384 0.8530 Peru Lima General [ FR: 0.010, 0, 0 ] 0.7477 0.5709 0.0957 0.0793 -0.4778 420 0.224 0.346 1.0951 US S&P500 [ MA: 1, 200, 0.050, 0, 0, 0.000] 0.1617 0.0529 0.0268 0.0118 -0.3268 11 1.000 1.000 NA US DJIA [ SR: 50, 0.025, 0, 0, 0.000 ] 0.1533 0.0321 0.0311 0.0117 -0.2942 5 0.800 0.969 1.1554 US Nasdaq100 [ MA: 1, 100, 0.025, 0, 0, 0.000] 0.2163 0.0920 0.0286 0.0168 -0.5527 51 0.627 0.875 1.1226 US NYSE Composite [ MA: 2, 5, 0.025, 0, 0, 0.000] 0.1405 0.0373 0.0271 0.0120 -0.2683 11 0.727 0.964 0.7816 US Russel2000 [ SR: 5, 0.010, 0, 0, 0.000 ] 0.2219 0.1261 0.0529 0.0390 -0.3048 88 0.511 0.874 0.6334 US Wilshire5000 [ FR: 0.120, 2, 0 ] 0.1438 0.0406 0.0241 0.0070 -0.5276 14 0.643 0.917 0.8450 Venezuela Industrial [ FR: 0.005, 0, 0 ] 0.4879 0.5696 0.0395 0.0523 -0.6257 581 0.210 0.316 0.7833 Australia ASX All Ordinaries [ FR: 0.020, 0, 50 ] 0.1586 0.1257 0.0245 0.0315 -0.4966 129 0.682 0.729 1.1199 China Shanghai Composite [ FR: 0.005, 3, 0 ] 0.4222 0.2478 0.0424 0.0256 -0.3520 146 0.295 0.567 1.2350 Hong Kong Hang Seng [ MA: 1, 5, 0.005, 0, 0, 0.000] 0.3228 0.2112 0.0434 0.0352 -0.5703 560 0.236 0.442 1.0851 India BSE30 [ SR: 5, 0.000, 0, 50, 0.000 ] 0.1711 0.2099 0.0203 0.0379 -0.6945 83 0.554 0.660 1.0689 Indonesia Jakarta Composite [ FR: 0.005, 0, 0 ] 0.7656 0.9602 0.0594 0.0819 -0.7517 739 0.235 0.395 0.7857 Japan Nikkei225 [ SR: 100, 0.025, 0, 0, 0.000 ] 0.1041 0.1246 0.0140 0.0307 -0.3604 7 1.000 1.000 NA Malaysia KLSE Composite [ FR: 0.010, 0, 0 ] 0.4358 0.3821 0.0496 0.0524 -0.5651 760 0.249 0.421 0.9173 New Zealand NZSE30 [ MA: 10, 25, 0.050, 0, 0, 0.000] 0.1077 0.1036 0.0161 0.0290 -0.4231 4 1.000 1.000 NA Pakistan Karachi100 [ SR: 5, 0.010, 0, 0, 0.000 ] 0.3336 0.3967 0.0421 0.0619 -0.4130 128 0.406 0.623 1.0918 Philippines PSE Composite [ FR: 0.010, 0, 0 ] 0.4644 0.5180 0.0535 0.0723 -0.4586 760 0.224 0.372 1.0759 Singapore Straits Times [ FR: 0.025, 0, 0 ] 0.2639 0.2089 0.0374 0.0389 -0.5301 312 0.282 0.521 0.7085 South-Korea Kospi200 [ MA: 1, 25, 0.000, 0, 0, 0.000] 0.3863 0.4403 0.0402 0.0528 -0.5323 164 0.262 0.660 1.3717 Sri Lanka CSE All Share [ FR: 0.015, 0, 0 ] 0.3138 0.4158 0.0621 0.1102 -0.2045 133 0.338 0.564 1.1930 Thailand SET [ SR: 25, 0.000, 0, 0, 0.000 ] 0.3706 0.5666 0.0482 0.0819 -0.4167 41 0.659 0.866 1.4849 Taiwan TSE Composite [ MA: 1, 25, 0.000, 0, 0, 0.075] 0.1783 0.2611 0.0224 0.0473 -0.5332 151 0.245 0.608 0.9980 Austria ATX [ FR: 0.025, 0, 25 ] 0.1209 0.1179 0.0224 0.0362 -0.2883 151 0.464 0.503 1.1183 Belgium Bel20 [ SR: 10, 0.000, 0, 50, 0.000 ] 0.1292 0.0684 0.0224 0.0180 -0.2831 96 0.708 0.830 1.0036 Czech Republic PX50 [ FR: 0.030, 0, 0 ] 0.2908 0.3181 0.0445 0.0634 -0.4742 124 0.331 0.611 0.8085 Denmark KFX [ SR: 150, 0.025, 0, 0, 0.000 ] 0.1107 0.0474 0.0213 0.0161 -0.3159 3 1.000 1.000 NA Finland HEX General [ SR: 25, 0.000, 4, 0, 0.000 ] 0.4302 0.1916 0.0482 0.0224 -0.4821 52 0.500 0.750 1.1126
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