"Technical Analysis in Financial Markets"

Table 5.15 continued.

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%

Thailand SET 0.5727 0.5007 0.4190 0.2913 0.2737 0.2951 0.0817 0.0710 0.0630 0.0586 0.0544 0.0476

Taiwan TSE Composite 0.2485 0.1528 0.1286 0.0690 0.0229 0.0111 0.0469 0.0431 0.0279 0.0161 0.0103 0.0112

Austria ATX 0.0530 0.0321 0.0409 0.0067 -0.0310 -0.0303 0.0276 0.0217 0.0097 -0.0075 -0.0131 -0.0137

Belgium Bel20 0.0671 0.0185 0.0044 -0.0622 -0.1210 -0.1306 0.0161 0.0068 0.0019 -0.0103 -0.0222 -0.0218

Czech Republic PX50 0.5005 0.5041 0.2823 0.2161 0.1508 0.1239 0.0963 0.0834 0.0641 0.0420 0.0313 0.0366

Denmark KFX 0.0998 0.0334 -0.0592 -0.0728 -0.0505 -0.0570 0.0186 0.0073 -0.0145 -0.0308 -0.0260 -0.0235

Finland HEX General 0.2917 0.1997 0.1521 0.0556 0.0446 0.0052 0.0288 0.0252 0.0217 0.0118 0.0095 0.0061

France CAC40 0.0204 -0.0452 -0.0440 -0.0402 -0.0620 -0.0928 0.0106 -0.0131 -0.0117 -0.0065 -0.0127 -0.0126

Germany DAX30 -0.0264 -0.0424 -0.0338 -0.0737 -0.0753 -0.0669 -0.0081 -0.0201 -0.0276 -0.0292 -0.0174 -0.0304

Greece ASE General 0.7763 0.6760 0.4880 0.2301 0.1079 0.0316 0.0718 0.0594 0.0430 0.0286 0.0101 0.0068

Italy MIB30 0.1368 0.1417 0.0654 0.0089 -0.0375 -0.0614 0.0378 0.0265 0.0164 0.0112 -0.0006 0.0060

Netherlands AEX 0.0149 -0.0056 -0.0377 -0.0532 -0.0608 -0.0678 0.0045 0.0017 -0.0086 -0.0118 -0.0252 -0.0325

Norway OSE All Share 0.2836 0.2749 0.1925 0.1707 0.1466 0.1277 0.0640 0.0591 0.0616 0.0580 0.0510 0.0552

Portugal PSI General 0.5386 0.3880 0.2292 0.1413 0.0663 0.0704 0.0808 0.0675 0.0560 0.0286 0.0177 0.0054

Russia MoscowTimes 1.7811 1.5672 1.0412 0.8313 0.4889 0.3705 0.0660 0.0631 0.0623 0.0536 0.0473 0.0359

Slovakia SAX16 0.2256 0.2392 0.1274 0.1179 0.1520 0.1414 0.0405 0.0456 0.0447 0.0322 0.0337 0.0246

Spain IGBM 0.0835 0.0281 0.0604 -0.0139 -0.0389 -0.0458 0.0313 -0.0013 -0.0162 -0.0264 -0.0260 -0.0305

Sweden OMX 0.0960 0.0476 -0.0158 -0.0231 -0.0655 -0.1019 0.0249 0.0205 0.0033 -0.0174 -0.0179 -0.0193

Switzerland SMI 0.0600 0.0171 -0.0047 -0.0069 -0.0351 -0.0400 0.0111 -0.0012 -0.0024 -0.0157 -0.0205 -0.0165

Turkey ISE100 0.7669 0.6091 0.5022 0.2757 0.1597 0.1328 0.0388 0.0396 0.0412 0.0327 0.0180 0.0113

UK FTSE100 0.0498 0.0221 -0.0337 -0.0466 -0.0422 -0.0318 0.0129 0.0055 -0.0038 -0.0037 -0.0114 -0.0081

Ireland ISEQ 0.0794 0.0430 0.0217 -0.0085 -0.0234 -0.0176 0.0151 0.0044 -0.0026 -0.0108 -0.0136 -0.0175

Egypt CMA 0.3987 0.3330 0.2974 0.2645 0.2545 0.1954 0.1016 0.0852 0.0717 0.0662 0.0405 0.0457

Israel TA100 0.2759 0.1419 0.0975 0.0088 0.0053 0.0023 0.0441 0.0274 0.0128 -0.0026 -0.0106 -0.0096

Average: out-of-sample 0.3772 0.3060 0.2141 0.1240 0.0705 0.0447 0.0544 0.0419 0.0298 0.0164 0.0086 0.0052

Average: in sample 0.4870 0.3684 0.2737 0.2186 0.1958 0.1798 0.0689 0.0546 0.0441 0.0387 0.0358 0.0335

231

	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%
Thailand SET	0.5727	0.5007	0.4190	0.2913	0.2737	0.2951	0.0817	0.0710	0.0630	0.0586	0.0544	0.0476
Taiwan TSE Composite	0.2485	0.1528	0.1286	0.0690	0.0229	0.0111	0.0469	0.0431	0.0279	0.0161	0.0103	0.0112
Austria ATX	0.0530	0.0321	0.0409	0.0067	-0.0310	-0.0303	0.0276	0.0217	0.0097	-0.0075	-0.0131	-0.0137
Belgium Bel20	0.0671	0.0185	0.0044	-0.0622	-0.1210	-0.1306	0.0161	0.0068	0.0019	-0.0103	-0.0222	-0.0218
Czech Republic PX50	0.5005	0.5041	0.2823	0.2161	0.1508	0.1239	0.0963	0.0834	0.0641	0.0420	0.0313	0.0366
Denmark KFX	0.0998	0.0334	-0.0592	-0.0728	-0.0505	-0.0570	0.0186	0.0073	-0.0145	-0.0308	-0.0260	-0.0235
Finland HEX General	0.2917	0.1997	0.1521	0.0556	0.0446	0.0052	0.0288	0.0252	0.0217	0.0118	0.0095	0.0061
France CAC40	0.0204	-0.0452	-0.0440	-0.0402	-0.0620	-0.0928	0.0106	-0.0131	-0.0117	-0.0065	-0.0127	-0.0126
Germany DAX30	-0.0264	-0.0424	-0.0338	-0.0737	-0.0753	-0.0669	-0.0081	-0.0201	-0.0276	-0.0292	-0.0174	-0.0304
Greece ASE General	0.7763	0.6760	0.4880	0.2301	0.1079	0.0316	0.0718	0.0594	0.0430	0.0286	0.0101	0.0068
Italy MIB30	0.1368	0.1417	0.0654	0.0089	-0.0375	-0.0614	0.0378	0.0265	0.0164	0.0112	-0.0006	0.0060
Netherlands AEX	0.0149	-0.0056	-0.0377	-0.0532	-0.0608	-0.0678	0.0045	0.0017	-0.0086	-0.0118	-0.0252	-0.0325
Norway OSE All Share	0.2836	0.2749	0.1925	0.1707	0.1466	0.1277	0.0640	0.0591	0.0616	0.0580	0.0510	0.0552
Portugal PSI General	0.5386	0.3880	0.2292	0.1413	0.0663	0.0704	0.0808	0.0675	0.0560	0.0286	0.0177	0.0054
Russia MoscowTimes	1.7811	1.5672	1.0412	0.8313	0.4889	0.3705	0.0660	0.0631	0.0623	0.0536	0.0473	0.0359
Slovakia SAX16	0.2256	0.2392	0.1274	0.1179	0.1520	0.1414	0.0405	0.0456	0.0447	0.0322	0.0337	0.0246
Spain IGBM	0.0835	0.0281	0.0604	-0.0139	-0.0389	-0.0458	0.0313	-0.0013	-0.0162	-0.0264	-0.0260	-0.0305
Sweden OMX	0.0960	0.0476	-0.0158	-0.0231	-0.0655	-0.1019	0.0249	0.0205	0.0033	-0.0174	-0.0179	-0.0193
Switzerland SMI	0.0600	0.0171	-0.0047	-0.0069	-0.0351	-0.0400	0.0111	-0.0012	-0.0024	-0.0157	-0.0205	-0.0165
Turkey ISE100	0.7669	0.6091	0.5022	0.2757	0.1597	0.1328	0.0388	0.0396	0.0412	0.0327	0.0180	0.0113
UK FTSE100	0.0498	0.0221	-0.0337	-0.0466	-0.0422	-0.0318	0.0129	0.0055	-0.0038	-0.0037	-0.0114	-0.0081
Ireland ISEQ	0.0794	0.0430	0.0217	-0.0085	-0.0234	-0.0176	0.0151	0.0044	-0.0026	-0.0108	-0.0136	-0.0175
Egypt CMA	0.3987	0.3330	0.2974	0.2645	0.2545	0.1954	0.1016	0.0852	0.0717	0.0662	0.0405	0.0457
Israel TA100	0.2759	0.1419	0.0975	0.0088	0.0053	0.0023	0.0441	0.0274	0.0128	-0.0026	-0.0106	-0.0096
Average: out-of-sample	0.3772	0.3060	0.2141	0.1240	0.0705	0.0447	0.0544	0.0419	0.0298	0.0164	0.0086	0.0052
Average: in sample	0.4870	0.3684	0.2737	0.2186	0.1958	0.1798	0.0689	0.0546	0.0441	0.0387	0.0358	0.0335