"Technical Analysis in Financial Markets"

Table 5.14 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 [ 63, 5 ] 0.1703 0.3602 0.0161 0.0630 -0.7485 312 0.301 0.467 1.1553

Taiwan TSE Composite 7/17/96 - 6/28/02 [ 21, 10 ] 0.0382 0.1269 -0.0017 0.0279 -0.6458 194 0.330 0.491 0.9601

Austria ATX 5/26/93 - 6/28/02 [ 126, 1 ] 0.0498 0.0290 0.0013 0.0097 -0.4206 347 0.323 0.530 1.0148

Belgium Bel20 12/19/91 - 6/28/02 [ 252, 63 ] 0.0695 0.0102 0.0076 0.0019 -0.5068 196 0.408 0.597 0.9877

Czech Republic PX50 11/26/96 - 6/28/02 [ 252, 10 ] 0.2726 0.3263 0.0372 0.0641 -0.5573 177 0.288 0.610 0.9209

Denmark KFX 11/20/91 - 6/28/02 [ 21, 10 ] 0.0106 -0.0513 -0.0084 -0.0145 -0.4764 381 0.333 0.456 0.8865

Finland HEX General 3/18/94 - 6/28/02 [ 42, 10 ] 0.3293 0.1941 0.0364 0.0217 -0.4799 245 0.359 0.517 1.0787

France CAC40 7/21/92 - 6/28/02 [ 252, 63 ] -0.0012 -0.0515 -0.0097 -0.0117 -0.6428 210 0.414 0.593 0.9638

Germany DAX30 10/20/92 - 6/28/02 [ 126, 63 ] -0.0305 -0.1143 -0.0169 -0.0276 -0.6148 154 0.474 0.679 0.9333

Greece ASE General 3/27/96 - 6/28/02 [ 42, 1 ] 0.3930 0.3217 0.0475 0.0430 -0.5344 395 0.278 0.429 0.9537

Italy MIB30 10/02/96 - 6/28/02 [ 21, 5 ] 0.1522 0.0912 0.0198 0.0164 -0.4994 209 0.340 0.475 1.0810

Netherlands AEX 12/21/87 - 6/28/02 [ 252, 10 ] 0.0844 -0.0236 0.0086 -0.0086 -0.4538 302 0.434 0.617 0.8951

Norway OSE All Share 12/17/97 - 6/28/02 [ 252, 42 ] 0.2266 0.2567 0.0391 0.0616 -0.2573 60 0.450 0.735 0.9775

Portugal PSI General 9/18/96 - 6/28/02 [ 63, 5 ] 0.2626 0.2185 0.0551 0.0560 -0.3628 227 0.344 0.520 1.0275

Russia Moscow Times 8/19/96 - 6/28/02 [ 126, 63 ] 1.1498 0.9866 0.0742 0.0623 -0.6347 149 0.456 0.668 1.1245

Slovakia SAX16 9/26/95 - 6/28/02 [ 126, 63 ] 0.0735 0.1765 0.0054 0.0447 -0.5512 84 0.500 0.699 1.0657

Spain IGBM 12/06/93 - 6/28/02 [ 63, 5 ] 0.0201 -0.0615 -0.0061 -0.0162 -0.6451 310 0.326 0.460 1.0523

Sweden OMX 11/18/94 - 6/28/02 [ 63, 1 ] 0.0864 0.0202 0.0075 0.0033 -0.5023 420 0.317 0.458 0.9048

Switzerland SMI 6/19/90 - 6/28/02 [ 252, 10 ] 0.1002 0.0022 0.0136 -0.0024 -0.3344 282 0.418 0.526 0.8583

Turkey ISE100 12/20/89 - 6/28/02 [ 252, 1 ] 0.5291 0.5564 0.0329 0.0412 -0.7598 445 0.335 0.573 1.0130

UK FTSE100 12/21/87 - 6/28/02 [ 63, 10 ] 0.0435 -0.0126 -0.0020 -0.0038 -0.5442 452 0.316 0.484 1.0903

Ireland ISEQ 1/02/91 - 6/28/02 [ 63, 42 ] 0.0402 -0.0085 -0.0010 -0.0026 -0.6260 228 0.399 0.601 0.9129

Egypt CMA 12/18/96 - 6/28/02 [ 126, 10 ] 0.3100 0.2255 0.0898 0.0717 -0.3523 149 0.342 0.622 1.3125

Israel TA100 12/24/91 - 6/28/02 [ 252, 126 ] 0.1146 0.0693 0.0133 0.0128 -0.5281 278 0.313 0.574 1.0276

229

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	[ 63, 5 ]	0.1703	0.3602	0.0161	0.0630	-0.7485	312	0.301	0.467	1.1553
Taiwan TSE Composite	7/17/96 - 6/28/02	[ 21, 10 ]	0.0382	0.1269	-0.0017	0.0279	-0.6458	194	0.330	0.491	0.9601
Austria ATX	5/26/93 - 6/28/02	[ 126, 1 ]	0.0498	0.0290	0.0013	0.0097	-0.4206	347	0.323	0.530	1.0148
Belgium Bel20	12/19/91 - 6/28/02	[ 252, 63 ]	0.0695	0.0102	0.0076	0.0019	-0.5068	196	0.408	0.597	0.9877
Czech Republic PX50	11/26/96 - 6/28/02	[ 252, 10 ]	0.2726	0.3263	0.0372	0.0641	-0.5573	177	0.288	0.610	0.9209
Denmark KFX	11/20/91 - 6/28/02	[ 21, 10 ]	0.0106	-0.0513	-0.0084	-0.0145	-0.4764	381	0.333	0.456	0.8865
Finland HEX General	3/18/94 - 6/28/02	[ 42, 10 ]	0.3293	0.1941	0.0364	0.0217	-0.4799	245	0.359	0.517	1.0787
France CAC40	7/21/92 - 6/28/02	[ 252, 63 ]	-0.0012	-0.0515	-0.0097	-0.0117	-0.6428	210	0.414	0.593	0.9638
Germany DAX30	10/20/92 - 6/28/02	[ 126, 63 ]	-0.0305	-0.1143	-0.0169	-0.0276	-0.6148	154	0.474	0.679	0.9333
Greece ASE General	3/27/96 - 6/28/02	[ 42, 1 ]	0.3930	0.3217	0.0475	0.0430	-0.5344	395	0.278	0.429	0.9537
Italy MIB30	10/02/96 - 6/28/02	[ 21, 5 ]	0.1522	0.0912	0.0198	0.0164	-0.4994	209	0.340	0.475	1.0810
Netherlands AEX	12/21/87 - 6/28/02	[ 252, 10 ]	0.0844	-0.0236	0.0086	-0.0086	-0.4538	302	0.434	0.617	0.8951
Norway OSE All Share	12/17/97 - 6/28/02	[ 252, 42 ]	0.2266	0.2567	0.0391	0.0616	-0.2573	60	0.450	0.735	0.9775
Portugal PSI General	9/18/96 - 6/28/02	[ 63, 5 ]	0.2626	0.2185	0.0551	0.0560	-0.3628	227	0.344	0.520	1.0275
Russia Moscow Times	8/19/96 - 6/28/02	[ 126, 63 ]	1.1498	0.9866	0.0742	0.0623	-0.6347	149	0.456	0.668	1.1245
Slovakia SAX16	9/26/95 - 6/28/02	[ 126, 63 ]	0.0735	0.1765	0.0054	0.0447	-0.5512	84	0.500	0.699	1.0657
Spain IGBM	12/06/93 - 6/28/02	[ 63, 5 ]	0.0201	-0.0615	-0.0061	-0.0162	-0.6451	310	0.326	0.460	1.0523
Sweden OMX	11/18/94 - 6/28/02	[ 63, 1 ]	0.0864	0.0202	0.0075	0.0033	-0.5023	420	0.317	0.458	0.9048
Switzerland SMI	6/19/90 - 6/28/02	[ 252, 10 ]	0.1002	0.0022	0.0136	-0.0024	-0.3344	282	0.418	0.526	0.8583
Turkey ISE100	12/20/89 - 6/28/02	[ 252, 1 ]	0.5291	0.5564	0.0329	0.0412	-0.7598	445	0.335	0.573	1.0130
UK FTSE100	12/21/87 - 6/28/02	[ 63, 10 ]	0.0435	-0.0126	-0.0020	-0.0038	-0.5442	452	0.316	0.484	1.0903
Ireland ISEQ	1/02/91 - 6/28/02	[ 63, 42 ]	0.0402	-0.0085	-0.0010	-0.0026	-0.6260	228	0.399	0.601	0.9129
Egypt CMA	12/18/96 - 6/28/02	[ 126, 10 ]	0.3100	0.2255	0.0898	0.0717	-0.3523	149	0.342	0.622	1.3125
Israel TA100	12/24/91 - 6/28/02	[ 252, 126 ]	0.1146	0.0693	0.0133	0.0128	-0.5281	278	0.313	0.574	1.0276