Table 5.14: Statistics best out-of-sample testing procedure: Sharpe ratio 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 Sharpe ratio 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 ] 0.1772 0.0935 0.0470 0.0345 -0.3409 600 0.355 0.623 0.9476
Argentina Merval 7/19/95 - 6/28/02 [ 252, 5 ] -0.0183 0.1821 -0.0079 0.0315 -0.7451 231 0.255 0.463 0.8697
Brazil Bovespa 9/25/96 - 6/28/02 [ 126, 1 ] 0.1213 0.1985 0.0091 0.0266 -0.6559 223 0.309 0.503 0.9222
Canada TSX Composite 12/21/87 - 6/28/02 [ 252, 21 ] 0.1266 0.0813 0.0240 0.0264 -0.4496 356 0.371 0.622 0.8949
Chile IPSA 12/20/95 - 6/28/02 [ 63, 1 ] 0.3566 0.4397 0.0685 0.1087 -0.2042 293 0.331 0.539 0.9860
Mexico IPC 1/16/98 - 6/28/02 [ 252, 63 ] 0.3561 0.3216 0.0363 0.0384 -0.5057 252 0.183 0.493 1.0082
Peru Lima General 6/16/93 - 6/28/02 [ 252, 126 ] 0.4452 0.4353 0.0673 0.0770 -0.6088 368 0.277 0.486 0.9316
US S&P500 12/21/82 - 6/28/02 [ 252, 63 ] 0.0733 -0.0296 0.0044 -0.0116 -0.4291 349 0.430 0.605 1.0756
US DJIA 12/21/82 - 6/28/02 [ 126, 63 ] 0.1019 -0.0140 0.0124 -0.0076 -0.4244 374 0.468 0.577 1.0549
US Nasdaq100 12/19/84 - 6/28/02 [ 63, 21 ] 0.1778 0.0443 0.0202 0.0042 -0.7823 549 0.344 0.491 1.1590
US NYSE Composite 12/21/82 - 6/28/02 [ 252, 63 ] 0.0585 -0.0407 0.0001 -0.0163 -0.4517 344 0.430 0.596 0.7990
US Russel2000 12/20/89 - 6/28/02 [ 63, 1 ] 0.2231 0.1394 0.0537 0.0397 -0.3659 573 0.339 0.562 0.7307
US Wilshire5000 12/18/85 - 6/28/02 [ 63, 10 ] 0.0561 -0.0335 0.0011 -0.0127 -0.6567 509 0.411 0.548 0.9887
Venezuela Industrial 12/19/95 - 6/28/02 [ 252, 5 ] 0.3535 0.3809 0.0267 0.0373 -0.5929 388 0.247 0.388 1.0575
Australia ASX 3/07/88 - 6/28/02 [ 252, 5 ] 0.1473 0.1036 0.0257 0.0283 -0.3421 339 0.381 0.624 1.0518
China Shanghai Composite 12/22/95 - 6/28/02 [ 126, 5 ] 0.5150 0.3437 0.0704 0.0458 -0.3331 157 0.427 0.648 1.0809
Hong Kong Hang Seng 12/21/87 - 6/28/02 [ 5, 1 ] 0.2352 0.1247 0.0341 0.0213 -0.5250 1547 0.337 0.375 0.7756
India BSE30 12/17/93 - 6/28/02 [ 21, 1 ] 0.1838 0.2406 0.0255 0.0502 -0.4230 622 0.265 0.362 0.8613
Indonesia Jakarta Composite 12/19/90 - 6/28/02 [ 5, 1 ] 0.5526 0.6553 0.0484 0.0705 -0.6310 1081 0.337 0.371 0.8210
Japan Nikkei225 12/21/87 - 6/28/02 [ 126, 63 ] -0.0165 0.0294 -0.0131 0.0106 -0.6752 229 0.415 0.608 1.0573
Malaysia KLSE Composite 12/02/86 - 6/28/02 [ 5, 1 ] 0.4141 0.3706 0.0510 0.0527 -0.4796 1568 0.349 0.376 0.9594
New Zealand NZSE30 12/17/92 - 6/28/02 [ 21, 5 ] 0.0885 0.0799 0.0113 0.0227 -0.4270 388 0.322 0.424 0.9576
Pakistan Karachi100 2/03/94 - 6/28/02 [ 42, 1 ] 0.1390 0.2407 0.0143 0.0470 -0.5913 521 0.313 0.418 0.9061
Philippines PSE Composite 12/20/88 - 6/28/02 [ 5, 1 ] 0.4247 0.4619 0.0547 0.0733 -0.3502 1334 0.301 0.337 1.0882
Singapore Straits Times 3/17/88 - 6/28/02 [ 63, 1 ] 0.2326 0.1770 0.0378 0.0365 -0.3679 791 0.291 0.470 1.0758
South-Korea Kospi200 11/17/94 - 6/28/02 [ 21, 1 ] 0.2399 0.3270 0.0200 0.0399 -0.6106 589 0.299 0.387 0.9735
Sri Lanka CSE All Share 9/24/96 - 6/28/02 [ 252, 21 ] 0.4948 0.5472 0.0943 0.1316 -0.1606 200 0.320 0.596 1.5490
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