"Technical Analysis in Financial Markets"

Table 5.13 continued.

Data set Period Parameters r r^e S S^e ML # tr %tr>0 %d>0 SDR

Thailand SET 12/23/93 - 6/28/02 [ 21, 1 ] 0.2291 0.4190 0.0224 0.0693 -0.7942 566 0.261 0.346 1.1670

Taiwan TSE Composite 7/17/96 - 6/28/02 [ 10, 5 ] 0.0399 0.1286 -0.0012 0.0284 -0.5981 240 0.300 0.486 0.9699

Austria ATX 5/26/93 - 6/28/02 [ 252, 126 ] 0.0617 0.0409 0.0047 0.0131 -0.4850 148 0.439 0.641 1.1216

Belgium Bel20 12/19/91 - 6/28/02 [ 126, 63 ] 0.0637 0.0044 0.0051 -0.0006 -0.5859 226 0.407 0.544 0.8259

Czech Republic PX50 11/26/96 - 6/28/02 [ 252, 1 ] 0.2286 0.2823 0.0314 0.0583 -0.4457 226 0.230 0.511 1.0208

Denmark KFX 11/20/91 - 6/28/02 [ 252, 63 ] 0.0027 -0.0592 -0.0099 -0.0160 -0.5036 170 0.435 0.619 0.9315

Finland HEX General 3/18/94 - 6/28/02 [ 21, 10 ] 0.2873 0.1521 0.0287 0.0140 -0.5073 291 0.357 0.503 0.9817

France CAC40 7/21/92 - 6/28/02 [ 126, 42 ] 0.0063 -0.0440 -0.0082 -0.0102 -0.5954 181 0.403 0.625 0.9856

Germany DAX30 10/20/92 - 6/28/02 [ 42, 21 ] 0.0500 -0.0338 0.0013 -0.0094 -0.6310 243 0.366 0.599 0.9495

Greece ASE General 3/27/96 - 6/28/02 [ 10, 1 ] 0.5593 0.4880 0.0622 0.0577 -0.3888 529 0.299 0.357 0.8994

Italy MIB30 10/02/96 - 6/28/02 [ 126, 10 ] 0.1264 0.0654 0.0149 0.0115 -0.4792 147 0.333 0.522 0.9747

Netherlands AEX 12/21/87 - 6/28/02 [ 126, 63 ] 0.0703 -0.0377 0.0043 -0.0129 -0.5241 315 0.416 0.658 0.8524

Norway OSE All Share 12/17/97 - 6/28/02 [ 63, 5 ] 0.1624 0.1925 0.0238 0.0463 -0.2813 135 0.311 0.569 0.9697

Portugal PSI General 9/18/96 - 6/28/02 [ 126, 5 ] 0.2733 0.2292 0.0481 0.0490 -0.3297 189 0.349 0.541 0.9301

Russia Moscow Times 8/19/96 - 6/28/02 [ 5, 1 ] 1.2044 1.0412 0.0674 0.0555 -0.7146 550 0.305 0.384 0.8085

Slovakia SAX16 9/26/95 - 6/28/02 [ 126, 63 ] 0.0244 0.1274 -0.0041 0.0353 -0.5690 86 0.465 0.625 0.9164

Spain IGBM 12/06/93 - 6/28/02 [ 63, 42 ] 0.1420 0.0604 0.0177 0.0076 -0.7088 201 0.363 0.551 1.0715

Sweden OMX 11/18/94 - 6/28/02 [ 42, 10 ] 0.0504 -0.0158 0.0005 -0.0037 -0.5889 247 0.332 0.503 1.0641

Switzerland SMI 6/19/90 - 6/28/02 [ 126, 21 ] 0.0933 -0.0047 0.0101 -0.0059 -0.5295 297 0.360 0.591 0.8487

Turkey ISE100 12/20/89 - 6/28/02 [ 10, 1 ] 0.4749 0.5022 0.0288 0.0371 -0.8799 1055 0.283 0.380 0.8919

UK FTSE100 12/21/87 - 6/28/02 [ 252, 63 ] 0.0224 -0.0337 -0.0073 -0.0091 -0.6128 264 0.432 0.585 1.0021

Ireland ISEQ 1/02/91 - 6/28/02 [ 21, 5 ] 0.0704 0.0217 0.0067 0.0051 -0.3324 429 0.298 0.452 0.9366

Egypt CMA 12/18/96 - 6/28/02 [ 252, 1 ] 0.3819 0.2974 0.0989 0.0808 -0.1773 156 0.301 0.588 1.1224

Israel TA100 12/24/91 - 6/28/02 [ 252, 21 ] 0.1428 0.0975 0.0168 0.0163 -0.6316 366 0.276 0.558 0.9378

227

Data set	Period	Parameters	r	r^e	S	S^e	ML	# tr	%tr>0	%d>0	SDR
Thailand SET	12/23/93 - 6/28/02	[ 21, 1 ]	0.2291	0.4190	0.0224	0.0693	-0.7942	566	0.261	0.346	1.1670
Taiwan TSE Composite	7/17/96 - 6/28/02	[ 10, 5 ]	0.0399	0.1286	-0.0012	0.0284	-0.5981	240	0.300	0.486	0.9699
Austria ATX	5/26/93 - 6/28/02	[ 252, 126 ]	0.0617	0.0409	0.0047	0.0131	-0.4850	148	0.439	0.641	1.1216
Belgium Bel20	12/19/91 - 6/28/02	[ 126, 63 ]	0.0637	0.0044	0.0051	-0.0006	-0.5859	226	0.407	0.544	0.8259
Czech Republic PX50	11/26/96 - 6/28/02	[ 252, 1 ]	0.2286	0.2823	0.0314	0.0583	-0.4457	226	0.230	0.511	1.0208
Denmark KFX	11/20/91 - 6/28/02	[ 252, 63 ]	0.0027	-0.0592	-0.0099	-0.0160	-0.5036	170	0.435	0.619	0.9315
Finland HEX General	3/18/94 - 6/28/02	[ 21, 10 ]	0.2873	0.1521	0.0287	0.0140	-0.5073	291	0.357	0.503	0.9817
France CAC40	7/21/92 - 6/28/02	[ 126, 42 ]	0.0063	-0.0440	-0.0082	-0.0102	-0.5954	181	0.403	0.625	0.9856
Germany DAX30	10/20/92 - 6/28/02	[ 42, 21 ]	0.0500	-0.0338	0.0013	-0.0094	-0.6310	243	0.366	0.599	0.9495
Greece ASE General	3/27/96 - 6/28/02	[ 10, 1 ]	0.5593	0.4880	0.0622	0.0577	-0.3888	529	0.299	0.357	0.8994
Italy MIB30	10/02/96 - 6/28/02	[ 126, 10 ]	0.1264	0.0654	0.0149	0.0115	-0.4792	147	0.333	0.522	0.9747
Netherlands AEX	12/21/87 - 6/28/02	[ 126, 63 ]	0.0703	-0.0377	0.0043	-0.0129	-0.5241	315	0.416	0.658	0.8524
Norway OSE All Share	12/17/97 - 6/28/02	[ 63, 5 ]	0.1624	0.1925	0.0238	0.0463	-0.2813	135	0.311	0.569	0.9697
Portugal PSI General	9/18/96 - 6/28/02	[ 126, 5 ]	0.2733	0.2292	0.0481	0.0490	-0.3297	189	0.349	0.541	0.9301
Russia Moscow Times	8/19/96 - 6/28/02	[ 5, 1 ]	1.2044	1.0412	0.0674	0.0555	-0.7146	550	0.305	0.384	0.8085
Slovakia SAX16	9/26/95 - 6/28/02	[ 126, 63 ]	0.0244	0.1274	-0.0041	0.0353	-0.5690	86	0.465	0.625	0.9164
Spain IGBM	12/06/93 - 6/28/02	[ 63, 42 ]	0.1420	0.0604	0.0177	0.0076	-0.7088	201	0.363	0.551	1.0715
Sweden OMX	11/18/94 - 6/28/02	[ 42, 10 ]	0.0504	-0.0158	0.0005	-0.0037	-0.5889	247	0.332	0.503	1.0641
Switzerland SMI	6/19/90 - 6/28/02	[ 126, 21 ]	0.0933	-0.0047	0.0101	-0.0059	-0.5295	297	0.360	0.591	0.8487
Turkey ISE100	12/20/89 - 6/28/02	[ 10, 1 ]	0.4749	0.5022	0.0288	0.0371	-0.8799	1055	0.283	0.380	0.8919
UK FTSE100	12/21/87 - 6/28/02	[ 252, 63 ]	0.0224	-0.0337	-0.0073	-0.0091	-0.6128	264	0.432	0.585	1.0021
Ireland ISEQ	1/02/91 - 6/28/02	[ 21, 5 ]	0.0704	0.0217	0.0067	0.0051	-0.3324	429	0.298	0.452	0.9366
Egypt CMA	12/18/96 - 6/28/02	[ 252, 1 ]	0.3819	0.2974	0.0989	0.0808	-0.1773	156	0.301	0.588	1.1224
Israel TA100	12/24/91 - 6/28/02	[ 252, 21 ]	0.1428	0.0975	0.0168	0.0163	-0.6316	366	0.276	0.558	0.9378