Table 5.15: Excess performance best out-of-sample testing procedure. Panel A shows the yearly mean return of the best recursive out-of-sample testing procedure, selected by the mean return criterion, in excess of the yearly mean return of the buy-and-hold. Panel B shows the Sharpe ratio of the best recursive out-of-sample testing procedure, selected by the Sharpe ratio criterion, in excess of the Sharpe ratio of the buy-and-hold. Results are presented for the 0, 0.10, 0.25, 0.50, 0.75 and 1% transaction costs cases. The row labeled ``Average: out-of-sample'' shows the average over the results as presented in the table. The row labeled ``Average: in sample'' shows the average over the results of the best strategy selected in sample for each index. 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.
Panel A Panel B selection criterion Mean return Sharpe ratio Data set 0% 0.10% 0.25% 0.50% 0.75% 1% 0% 0.10% 0.25% 0.50% 0.75% 1% World MSCI 0.3919 0.2675 0.1113 -0.0068 -0.0013 -0.0071 0.1155 0.0693 0.0345 0.0027 -0.0055 -0.0166 Argentina Merval 0.4352 0.3242 0.2099 0.1261 0.0750 0.0488 0.0559 0.0445 0.0315 0.0343 0.0329 0.0270 Brazil Bovespa 0.4400 0.4362 0.3229 0.2278 0.0671 0.0380 0.0492 0.0413 0.0266 0.0262 0.0168 0.0184 Canada TSX Composite 0.3056 0.1908 0.1262 0.0343 -0.0125 0.0030 0.0681 0.0483 0.0264 0.0149 0.0048 -0.0008 Chile IPSA 0.6686 0.5342 0.4332 0.3034 0.2695 0.1649 0.1308 0.1091 0.1087 0.0861 0.0653 0.0544 Mexico IPC 0.6690 0.5766 0.4800 0.3090 0.1214 0.0703 0.0808 0.0625 0.0384 0.0151 0.0010 -0.0061 Peru Lima General 0.6644 0.5859 0.4786 0.4118 0.2540 0.1739 0.1044 0.0977 0.0770 0.0607 0.0458 0.0373 US S&P500 0.0372 -0.0151 -0.0436 -0.0842 -0.0604 -0.0833 0.0118 -0.0011 -0.0116 -0.0146 -0.0165 -0.0171 US DJIA 0.0493 -0.0015 -0.0111 -0.0415 -0.0526 -0.0679 0.0032 -0.0052 -0.0076 -0.0214 -0.0263 -0.0238 US Nasdaq100 0.1531 0.0452 -0.0524 -0.1164 -0.1287 -0.1380 0.0259 0.0080 0.0042 -0.0095 -0.0099 -0.0119 US NYSE Composite 0.1030 0.0121 -0.0222 -0.0447 -0.0717 -0.0540 0.0352 -0.0043 -0.0163 -0.0241 -0.0279 -0.0258 US Russel2000 0.4399 0.3460 0.1581 0.0333 -0.0093 -0.0358 0.0978 0.0733 0.0397 0.0161 0.0071 -0.0015 US Wilshire5000 0.1353 0.0421 -0.0512 -0.0846 -0.0468 -0.0467 0.0446 0.0120 -0.0127 -0.0284 -0.0312 -0.0398 Venezuela Industrial 0.8696 0.8050 0.5769 0.2384 0.0692 0.0242 0.0653 0.0568 0.0373 0.0280 0.0159 0.0088 Australia ASX All Ordinaries 0.1558 0.1242 0.1105 0.0508 0.0364 0.0171 0.0444 0.0335 0.0283 0.0164 0.0091 0.0068 China Shanghai Composite 0.2973 0.2659 0.1818 0.0918 0.0652 0.1339 0.0465 0.0456 0.0458 0.0341 0.0233 0.0185 Hong Kong Hang Seng 0.3698 0.3260 0.1831 0.0554 0.0593 0.0520 0.0563 0.0458 0.0213 0.0032 -0.0036 -0.0013 India BSE30 0.4842 0.3855 0.2544 0.1347 0.0557 -0.0093 0.0810 0.0687 0.0502 0.0241 0.0076 -0.0033 Indonesia Jakarta Composite 1.1893 0.9802 0.8291 0.6649 0.5068 0.4426 0.0884 0.0834 0.0705 0.0551 0.0409 0.0309 Japan Nikkei225 0.0541 0.0282 -0.0057 -0.0361 -0.0211 -0.0436 0.0163 0.0116 0.0106 0.0041 0.0009 -0.0045 Malaysia KLSE Composite 0.7683 0.6175 0.4750 0.2818 0.1799 0.0864 0.0757 0.0692 0.0527 0.0257 0.0182 0.0146 New Zealand NZSE30 0.0986 0.0711 0.0294 -0.0184 -0.0875 -0.0878 0.0438 0.0339 0.0227 -0.0092 -0.0173 -0.0168 Pakistan Karachi100 0.4970 0.4012 0.3585 0.2602 0.2245 0.2112 0.0704 0.0629 0.0470 0.0372 0.0358 0.0355 Philippines PSE Composite 0.8376 0.8145 0.6445 0.4390 0.3094 0.1979 0.0987 0.0892 0.0733 0.0488 0.0314 0.0286 Singapore Straits Times 0.4749 0.4138 0.2523 0.1106 0.0232 0.0266 0.0719 0.0568 0.0365 0.0154 0.0053 0.0084 South-Korea Kospi200 0.5053 0.5061 0.4553 0.3071 0.1777 0.1224 0.0610 0.0482 0.0399 0.0326 0.0301 0.0256 SriLanka CSE All Share 0.7466 0.6436 0.5117 0.3879 0.3617 0.2747 0.1669 0.1494 0.1316 0.0978 0.0787 0.0647
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