"Technical Analysis in Financial Markets"

Table 5.5 continued.

0% costs per trade

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

Finland HEX General [ SR: 200, 0.000, 4, 0, 0.000 ] 0.3828 0.1518 0.0544 0.0285 -0.3823 3 1.000 1.000 NA

Netherlands AEX [ FR: 0.045, 0, 50 ] 0.1557 0.0643 0.0317 0.0220 -0.3998 113 0.735 0.884 1.0743

Portugal PSI General [ MA: 1, 2, 0.025, 0, 0, 0.000] 0.2202 0.1452 0.0835 0.0776 -0.1735 4 1.000 1.000 NA

Russia Moscow Times [ MA: 1, 5, 0.000, 0, 0, 0.000] 2.6618 1.9674 0.1168 0.0976 -0.7031 366 0.754 0.878 1.2155

Spain IGBM [ FR: 0.045, 0, 50 ] 0.2230 0.1279 0.0434 0.0317 -0.3896 73 0.712 0.809 1.0747

UK FTSE100 [ MA: 1, 25, 0.000, 0, 10, 0.000] 0.1457 0.0729 0.0269 0.0216 -0.3111 343 0.665 0.678 0.9716

0.25% costs per trade

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

World MSCI [ MA: 1, 10, 0.050, 0, 0, 0.000] 0.1252 0.0383 0.0345 0.0234 -0.2156 5 0.800 0.969 1.1816

US S&P500 [ SR: 50, 0.025, 0, 0, 0.000 ] 0.1466 0.0392 0.0289 0.0139 -0.2767 5 0.800 0.969 1.0532

US Nasdaq100 [ SR: 100, 0.025, 0, 0, 0.000 ] 0.2117 0.0878 0.0331 0.0213 -0.4633 5 0.800 0.919 1.3541

US Wilshire5000 [ FR: 0.100, 0, 50 ] 0.1357 0.0333 0.0338 0.0167 -0.2969 30 0.700 0.885 0.7503

Australia ASX All Ordinaries [ MA: 5, 10, 0.000, 0, 25, 0.000] 0.1439 0.1114 0.0268 0.0338 -0.3663 227 0.546 0.591 1.1789

Hong Kong Hang Seng [ MA: 1, 10, 0.000, 0, 0, 0.100] 0.3179 0.2067 0.0440 0.0358 -0.4383 526 0.202 0.443 1.0970

India BSE30 [ MA: 2, 100, 0.010, 0, 0, 0.000] 0.1596 0.1980 0.0214 0.0390 -0.5671 29 0.655 0.918 0.9743

Japan Nikkei225 [ SR: 100, 0.050, 0, 0, 0.000 ] 0.0781 0.0981 0.0165 0.0332 -0.1883 2 1.000 1.000 NA

Malaysia KLSE Composite [ MA: 5, 50, 0.001, 0, 0, 0.000] 0.3780 0.3264 0.0573 0.0602 -0.3697 87 0.552 0.885 1.6523

New Zealand NZSE30 [ MA: 2, 10, 0.050, 0, 0, 0.000] 0.1021 0.0981 0.0207 0.0336 -0.4231 4 1.000 1.000 NA

Singapore Straits Times [ SR: 15, 0.010, 0, 0, 0.000 ] 0.2570 0.2023 0.0430 0.0445 -0.5026 76 0.618 0.847 1.1832

Czech Republic PX50 [ MA: 1, 25, 0.010, 0, 0, 0.000] 0.2763 0.3033 0.0460 0.0649 -0.4318 61 0.426 0.776 1.1062

Finland HEX General [ SR: 200, 0.000, 4, 0, 0.000 ] 0.3815 0.1511 0.0542 0.0283 -0.3823 3 1.000 1.000 NA

France CAC40 [ MA: 10, 25, 0.000, 0, 50, 0.000] 0.1057 0.0417 0.0148 0.0094 -0.5647 86 0.674 0.816 0.9545

Germany DAX30 [ MA: 5, 50, 0.000, 0, 50, 0.000] 0.1354 0.0512 0.0242 0.0140 -0.4855 62 0.710 0.794 0.9216

Netherlands AEX [ FR: 0.045, 0, 50 ] 0.1358 0.0461 0.0258 0.0161 -0.4028 113 0.717 0.860 1.0887

Norway OSE All Share [ MA: 1, 2, 0.000, 4, 0, 0.000] 0.2392 0.2413 0.0450 0.0598 -0.3157 48 0.583 0.839 1.2401

Portugal PSI General [ MA: 1, 2, 0.025, 0, 0, 0.000] 0.2181 0.1436 0.0823 0.0766 -0.1777 4 0.750 0.999 NA

Russia Moscow Times [ SR: 10, 0.001, 0, 0, 0.000 ] 1.6640 1.1596 0.0957 0.0765 -0.4612 83 0.422 0.700 1.1650

Spain IGBM [ FR: 0.045, 0, 50 ] 0.2006 0.1075 0.0383 0.0266 -0.3927 73 0.671 0.764 1.0464

UK FTSE100 [ SR: 100, 0.025, 0, 0, 0.000 ] 0.1067 0.0365 0.0224 0.0171 -0.2905 4 1.000 1.000 NA

Egypt CMA [ SR: 25, 0.010, 0, 0, 0.000 ] 0.3285 0.1861 0.1138 0.0780 -0.1512 11 0.818 0.946 1.0548

219

0% costs per trade
Data set	Strategy parameters	r	r^e	S	S^e	ML	# tr.	%tr.>0	%d > 0	SDR
Finland HEX General	[ SR: 200, 0.000, 4, 0, 0.000 ]	0.3828	0.1518	0.0544	0.0285	-0.3823	3	1.000	1.000	NA
Netherlands AEX	[ FR: 0.045, 0, 50 ]	0.1557	0.0643	0.0317	0.0220	-0.3998	113	0.735	0.884	1.0743
Portugal PSI General	[ MA: 1, 2, 0.025, 0, 0, 0.000]	0.2202	0.1452	0.0835	0.0776	-0.1735	4	1.000	1.000	NA
Russia Moscow Times	[ MA: 1, 5, 0.000, 0, 0, 0.000]	2.6618	1.9674	0.1168	0.0976	-0.7031	366	0.754	0.878	1.2155
Spain IGBM	[ FR: 0.045, 0, 50 ]	0.2230	0.1279	0.0434	0.0317	-0.3896	73	0.712	0.809	1.0747
UK FTSE100	[ MA: 1, 25, 0.000, 0, 10, 0.000]	0.1457	0.0729	0.0269	0.0216	-0.3111	343	0.665	0.678	0.9716
0.25% costs per trade
Data set	Strategy parameters	r	r^e	S	S^e	ML	# tr.	%tr.>0	%d > 0	SDR
World MSCI	[ MA: 1, 10, 0.050, 0, 0, 0.000]	0.1252	0.0383	0.0345	0.0234	-0.2156	5	0.800	0.969	1.1816
US S&P500	[ SR: 50, 0.025, 0, 0, 0.000 ]	0.1466	0.0392	0.0289	0.0139	-0.2767	5	0.800	0.969	1.0532
US Nasdaq100	[ SR: 100, 0.025, 0, 0, 0.000 ]	0.2117	0.0878	0.0331	0.0213	-0.4633	5	0.800	0.919	1.3541
US Wilshire5000	[ FR: 0.100, 0, 50 ]	0.1357	0.0333	0.0338	0.0167	-0.2969	30	0.700	0.885	0.7503
Australia ASX All Ordinaries	[ MA: 5, 10, 0.000, 0, 25, 0.000]	0.1439	0.1114	0.0268	0.0338	-0.3663	227	0.546	0.591	1.1789
Hong Kong Hang Seng	[ MA: 1, 10, 0.000, 0, 0, 0.100]	0.3179	0.2067	0.0440	0.0358	-0.4383	526	0.202	0.443	1.0970
India BSE30	[ MA: 2, 100, 0.010, 0, 0, 0.000]	0.1596	0.1980	0.0214	0.0390	-0.5671	29	0.655	0.918	0.9743
Japan Nikkei225	[ SR: 100, 0.050, 0, 0, 0.000 ]	0.0781	0.0981	0.0165	0.0332	-0.1883	2	1.000	1.000	NA
Malaysia KLSE Composite	[ MA: 5, 50, 0.001, 0, 0, 0.000]	0.3780	0.3264	0.0573	0.0602	-0.3697	87	0.552	0.885	1.6523
New Zealand NZSE30	[ MA: 2, 10, 0.050, 0, 0, 0.000]	0.1021	0.0981	0.0207	0.0336	-0.4231	4	1.000	1.000	NA
Singapore Straits Times	[ SR: 15, 0.010, 0, 0, 0.000 ]	0.2570	0.2023	0.0430	0.0445	-0.5026	76	0.618	0.847	1.1832
Czech Republic PX50	[ MA: 1, 25, 0.010, 0, 0, 0.000]	0.2763	0.3033	0.0460	0.0649	-0.4318	61	0.426	0.776	1.1062
Finland HEX General	[ SR: 200, 0.000, 4, 0, 0.000 ]	0.3815	0.1511	0.0542	0.0283	-0.3823	3	1.000	1.000	NA
France CAC40	[ MA: 10, 25, 0.000, 0, 50, 0.000]	0.1057	0.0417	0.0148	0.0094	-0.5647	86	0.674	0.816	0.9545
Germany DAX30	[ MA: 5, 50, 0.000, 0, 50, 0.000]	0.1354	0.0512	0.0242	0.0140	-0.4855	62	0.710	0.794	0.9216
Netherlands AEX	[ FR: 0.045, 0, 50 ]	0.1358	0.0461	0.0258	0.0161	-0.4028	113	0.717	0.860	1.0887
Norway OSE All Share	[ MA: 1, 2, 0.000, 4, 0, 0.000]	0.2392	0.2413	0.0450	0.0598	-0.3157	48	0.583	0.839	1.2401
Portugal PSI General	[ MA: 1, 2, 0.025, 0, 0, 0.000]	0.2181	0.1436	0.0823	0.0766	-0.1777	4	0.750	0.999	NA
Russia Moscow Times	[ SR: 10, 0.001, 0, 0, 0.000 ]	1.6640	1.1596	0.0957	0.0765	-0.4612	83	0.422	0.700	1.1650
Spain IGBM	[ FR: 0.045, 0, 50 ]	0.2006	0.1075	0.0383	0.0266	-0.3927	73	0.671	0.764	1.0464
UK FTSE100	[ SR: 100, 0.025, 0, 0, 0.000 ]	0.1067	0.0365	0.0224	0.0171	-0.2905	4	1.000	1.000	NA
Egypt CMA	[ SR: 25, 0.010, 0, 0, 0.000 ]	0.3285	0.1861	0.1138	0.0780	-0.1512	11	0.818	0.946	1.0548