Table 5.13: Statistics best out-of-sample testing procedure: mean return criterion, 0.25% costs. Statistics of the best recursively optimizing and testing procedure applied to the local main stock market indices listed in the first column in the case of 0.25% costs per trade. The best strategy in the optimizing period is selected on the basis of the mean return criterion. Column 2 shows the sample period. Column 3 shows the parameters: [length optimizing period, length testing period]. Columns 4 and 5 show the mean return and excess mean return on a yearly basis in %/100 terms. Columns 6 and 7 show the Sharpe and excess Sharpe ratio. Column 8 shows the largest cumulative loss in %/100 terms. Columns 9, 10 and 11 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. 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.
Data set Period Parameters r re S Se ML # tr %tr>0 %d>0 SDR World MSCI 12/21/82 - 6/28/02 [ 252, 63 ] 0.50 0.1113 0.0493 0.0368 -0.2368 736 0.308 0.582 0.9429 Argentina Merval 7/19/95 - 6/28/02 [ 252, 21 ] 0.0095 0.2099 -0.0044 0.0350 -0.6802 211 0.308 0.518 0.9341 Brazil Bovespa 9/25/96 - 6/28/02 [ 5, 1 ] 0.2457 0.3229 0.0208 0.0383 -0.5796 594 0.279 0.356 0.7282 Canada TSX Composite 12/21/87 - 6/28/02 [ 252, 126 ] 0.1715 0.1262 0.0331 0.0355 -0.4191 443 0.307 0.693 1.0272 Chile IPSA 12/20/95 - 6/28/02 [ 252, 1 ] 0.3501 0.4332 0.0615 0.1017 -0.2851 300 0.253 0.488 1.1244 Mexico IPC 1/16/98 - 6/28/02 [ 252, 63 ] 0.5145 0.4800 0.0500 0.0521 -0.4411 300 0.197 0.377 1.0408 Peru Lima General 6/16/93 - 6/28/02 [ 252, 10 ] 0.4885 0.4786 0.0730 0.0827 -0.5448 383 0.261 0.517 1.0024 US S&P500 12/21/82 - 6/28/02 [ 126, 42 ] 0.0593 -0.0436 0.0003 -0.0157 -0.3877 426 0.392 0.565 1.0668 US DJIA 12/21/82 - 6/28/02 [ 252, 42 ] 0.1048 -0.0111 0.0124 -0.0076 -0.3744 358 0.466 0.678 1.1000 US Nasdaq100 12/19/84 - 6/28/02 [ 252, 126 ] 0.0811 -0.0524 0.0037 -0.0123 -0.9658 393 0.344 0.602 1.0298 US NYSE Composite 12/21/82 - 6/28/02 [ 126, 63 ] 0.0770 -0.0222 0.0059 -0.0105 -0.3294 390 0.405 0.604 0.8420 US Russel2000 12/20/89 - 6/28/02 [ 21, 1 ] 0.2418 0.1581 0.0541 0.0401 -0.3691 784 0.337 0.472 0.7052 US Wilshire5000 12/18/85 - 6/28/02 [ 63, 10 ] 0.0384 -0.0512 -0.0044 -0.0182 -0.6333 485 0.363 0.536 1.0589 Venezuela Industrial 12/19/95 - 6/28/02 [ 252, 5 ] 0.5495 0.5769 0.0437 0.0543 -0.4984 442 0.210 0.363 1.1968 Australia ASX 3/07/88 - 6/28/02 [ 252, 10 ] 0.1542 0.1105 0.0250 0.0276 -0.3613 293 0.433 0.667 0.9447 China Shanghai Composite 12/22/95 - 6/28/02 [ 21, 5 ] 0.3531 0.1818 0.0405 0.0159 -0.4810 252 0.329 0.506 1.1991 Hong Kong Hang Seng 12/21/87 - 6/28/02 [ 5, 1 ] 0.2936 0.1831 0.0394 0.0266 -0.5788 1409 0.310 0.379 0.7703 India BSE30 12/17/93 - 6/28/02 [ 10, 1 ] 0.1976 0.2544 0.0259 0.0506 -0.4002 698 0.269 0.344 0.8968 Indonesia Jakarta Composite 12/19/90 - 6/28/02 [ 5, 1 ] 0.7264 0.8291 0.0539 0.0760 -0.7819 958 0.310 0.398 0.7512 Japan Nikkei225 12/21/87 - 6/28/02 [ 252, 10 ] -0.0516 -0.0057 -0.0208 0.0029 -0.7133 294 0.381 0.623 0.9086 Malaysia KLSE Composite 12/02/86 - 6/28/02 [ 5, 1 ] 0.5185 0.4750 0.0584 0.0601 -0.6204 1378 0.319 0.399 0.9771 New Zealand NZSE30 12/17/92 - 6/28/02 [ 126, 5 ] 0.0380 0.0294 -0.0015 0.0099 -0.5436 272 0.338 0.502 0.9380 Pakistan Karachi100 2/03/94 - 6/28/02 [ 21, 1 ] 0.2568 0.3585 0.0297 0.0624 -0.4138 521 0.274 0.410 1.0583 Philippines PSE Composite 12/20/88 - 6/28/02 [ 5, 1 ] 0.6073 0.6445 0.0694 0.0880 -0.4182 1220 0.293 0.361 1.0754 Singapore Straits Times 3/17/88 - 6/28/02 [ 10, 1 ] 0.3079 0.2523 0.0489 0.0476 -0.4661 1169 0.297 0.382 0.8930 South-Korea Kospi200 11/17/94 - 6/28/02 [ 42, 1 ] 0.3682 0.4553 0.0308 0.0507 -0.7459 459 0.264 0.431 0.9370 Sri Lanka CSE All Share 9/24/96 - 6/28/02 [ 252, 21 ] 0.4593 0.5117 0.0853 0.1226 -0.1444 222 0.311 0.628 1.2987
226