Table 5.4 continued.
Data set Strategy parameters r re S Se ML # tr. %tr.>0 %d > 0 SDR
France CAC40 [ FR: 0.300, 4, 0 ] 0.1111 0.0468 0.0129 0.0075 -0.4289 2 1.000 1.000 NA
Germany DAX30 [ FR: 0.180, 3, 0 ] 0.1550 0.0693 0.0218 0.0116 -0.3575 9 0.889 0.967 0.7431
Greece ASE General [ FR: 0.020, 0, 0 ] 0.4924 0.3839 0.0567 0.0507 -0.5695 255 0.212 0.330 0.9890
Italy MIB30 [ MA: 1, 2, 0.000, 0, 50, 0.000] 0.2771 0.1928 0.0430 0.0372 -0.4299 45 0.644 0.781 1.2051
Netherlands AEX [ SR: 25, 0.050, 0, 0, 0.000 ] 0.1440 0.0538 0.0233 0.0136 -0.3882 4 0.750 0.949 0.9584
Norway OSE All Share [ FR: 0.040, 3, 0 ] 0.2513 0.2534 0.0415 0.0562 -0.3115 52 0.519 0.768 0.9366
Portugal PSI General [ FR: 0.080, 3, 0 ] 0.3020 0.2224 0.0565 0.0507 -0.2312 20 0.650 0.906 1.1021
Russia Moscow Times [ MA: 1, 5, 0.000, 0, 0, 0.000] 1.9105 1.3593 0.0947 0.0755 -0.7254 366 0.249 0.433 0.8564
Slovakia SAX16 [ MA: 25, 200, 0.050, 0, 0, 0.000] 0.0839 0.2159 0.0090 0.0508 -0.4328 4 0.750 0.904 1.4098
Spain IGBM [ FR: 0.040, 0, 50 ] 0.2021 0.1089 0.0365 0.0249 -0.4048 69 0.696 0.725 0.9860
Sweden OMX [ MA: 25, 200, 0.050, 0, 0, 0.000] 0.2768 0.1677 0.0451 0.0344 -0.3288 4 1.000 1.000 NA
Switzerland SMI [ MA: 1, 5, 0.000, 0, 50, 0.000] 0.2094 0.0890 0.0353 0.0166 -0.5344 111 0.640 0.775 0.8875
Turkey ISE100 [ SR: 15, 0.000, 0, 0, 0.000 ] 0.7537 0.6267 0.0531 0.0501 -0.7020 113 0.522 0.746 1.2321
UK FTSE100 [ MA: 10, 25, 0.050, 0, 0, 0.000] 0.1152 0.0445 0.0133 0.0081 -0.5638 4 1.000 1.000 NA
Ireland ISEQ [ MA: 1, 25, 0.000, 0, 50, 0.000] 0.1384 0.1140 0.0231 0.0316 -0.4578 99 0.687 0.778 0.8604
Egypt CMA [ FR: 0.015, 0, 0 ] 0.3421 0.1983 0.0931 0.0573 -0.3240 99 0.263 0.543 1.0064
Israel TA100 [ MA: 10, 200, 0.001, 0, 0, 0.000] 0.2048 0.1288 0.0254 0.0201 -0.3815 21 0.619 0.887 1.4522

Table 5.5: 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 index listed in the first column. The results are computed for an US-based trader who applies the technical trading rule set to the local main stock market indices recomputed in US Dollars. Column 2 shows the parameters of the best strategy. 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 (here the daily interest rate on 1-month US certificates of deposits is used in the computations). Column 7 shows the largest cumulative 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 indices 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
Brazil Bovespa [ SR: 20, 0.001, 0, 0, 0.000 ] 0.4294 0.4657 0.0454 0.0558 -0.5075 41 0.829 0.916 1.3860
US DJIA [ FR: 0.005, 0, 0 ] 0.2014 0.0750 0.0357 0.0163 -0.3194 1459 0.714 0.815 1.2992
US Wilshire5000 [ FR: 0.005, 0, 0 ] 0.3188 0.1997 0.0722 0.0550 -0.2372 1039 0.736 0.840 1.2514
Belgium Bel20 [ MA: 2, 5, 0.000, 0, 10, 0.000] 0.1522 0.0899 0.0283 0.0239 -0.4269 393 0.634 0.717 1.0197
218