"Technical Analysis in Financial Markets"

Table 5.18: Summary of the results found in Chapters 3, 4 and 5. The table shows for different transaction costs cases the fraction of data series analyzed for which (1) at the 10% significance level a significantly positive estimate of α is found in the CAPMs (3.5), (4.1) and (5.1), if the best strategy is selected in sample, (2) White's (2000) RC p-value is smaller than 0.10, (3) Hansen's (2001) SPA-test p-value is smaller than 0.10, (4) at the 10% significance level a significantly positive estimate of α is found in the CAPMs (3.5), (4.1) and (5.1), if the best recursive out-of-sample testing procedure is applied. Panel A shows the results for the mean return selection criterion and Panel B shows the results for the Sharpe ratio selection criterion. In Chapters 3 and 5 the results are in US Dollars and in Chapter 4 the results are in Dutch Guilders. For entries marked with X no results are computed.

Panel A Panel B

selection criterion Mean return Sharpe ratio

costs per trade 0% 0.10% 0.25% 0.50% 0.75% 1% 0% 0.10% 0.25% 0.50% 0.75% 1%

Chapter 3 DJIA and stocks listed in the DJIA: 1973-2001 (35 data series)

(1) in-sample CAPM: α>0 0.83 0.49 0.29 0.2 0.2 0.23 0.83 0.51 0.37 0.26 0.26 0.26

(2) p_W < 0.10 0 0 0 0 0 0 0.11 0 0 0 0 0

(3) p_H < 0.10 0.23 0 0 0 0 0 0.46 0.09 0 0 0 0

(4) out-of-sample CAPM: α>0 0.34 0.09 0.03 0 X X 0.4 0.2 0.17 0.03 X X

Chapter 4 AEX-index and stocks listed in the AEX-index: 1983-2002 (51 data series)

(1) in-sample CAPM: α>0 0.73 0.73 0.63 0.61 0.51 0.47 0.76 0.75 0.69 0.63 0.57 0.49

(2) p_W < 0.10 0.04 0 0 0 0 0 0.20 0.08 0.08 0.08 0.04 0.04

(3) p_H < 0.10 0.27 0.04 0.04 0.04 0.02 0.02 0.59 0.33 0.25 0.29 0.29 0.29

(4) out-of-sample CAPM: α>0 0.61 0.41 0.20 0.08 0.06 0.04 0.65 0.47 0.22 0.04 0.04 0.04

Chapter 5 Local main stock market indices: 1981-2002 (51 data series)

(1) in-sample CAPM: α>0 1 0.88 0.86 0.73 0.63 0.53 1 0.88 0.82 0.73 0.65 0.55

(2) p_W < 0.10 0.16 0.12 0.04 0 0 0 0.47 0.33 0.14 0.06 0.06 0.02

(3) p_H < 0.10 0.53 0.29 0.12 0.04 0.02 0.02 0.69 0.55 0.45 0.31 0.29 0.25

(4) out-of-sample CAPM: α>0 0.61 0.47 0.35 0.14 0.08 0.02 0.65 0.47 0.33 0.16 0.04 0.04

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	Panel A						Panel B
selection criterion	Mean return						Sharpe ratio
costs per trade	0%	0.10%	0.25%	0.50%	0.75%	1%	0%	0.10%	0.25%	0.50%	0.75%	1%
Chapter 3	DJIA and stocks listed in the DJIA: 1973-2001 (35 data series)
(1) in-sample CAPM: α>0	0.83	0.49	0.29	0.2	0.2	0.23	0.83	0.51	0.37	0.26	0.26	0.26
(2) p_W < 0.10	0	0	0	0	0	0	0.11	0	0	0	0	0
(3) p_H < 0.10	0.23	0	0	0	0	0	0.46	0.09	0	0	0	0
(4) out-of-sample CAPM: α>0	0.34	0.09	0.03	0	X	X	0.4	0.2	0.17	0.03	X	X
Chapter 4	AEX-index and stocks listed in the AEX-index: 1983-2002 (51 data series)
(1) in-sample CAPM: α>0	0.73	0.73	0.63	0.61	0.51	0.47	0.76	0.75	0.69	0.63	0.57	0.49
(2) p_W < 0.10	0.04	0	0	0	0	0	0.20	0.08	0.08	0.08	0.04	0.04
(3) p_H < 0.10	0.27	0.04	0.04	0.04	0.02	0.02	0.59	0.33	0.25	0.29	0.29	0.29
(4) out-of-sample CAPM: α>0	0.61	0.41	0.20	0.08	0.06	0.04	0.65	0.47	0.22	0.04	0.04	0.04
Chapter 5	Local main stock market indices: 1981-2002 (51 data series)
(1) in-sample CAPM: α>0	1	0.88	0.86	0.73	0.63	0.53	1	0.88	0.82	0.73	0.65	0.55
(2) p_W < 0.10	0.16	0.12	0.04	0	0	0	0.47	0.33	0.14	0.06	0.06	0.02
(3) p_H < 0.10	0.53	0.29	0.12	0.04	0.02	0.02	0.69	0.55	0.45	0.31	0.29	0.25
(4) out-of-sample CAPM: α>0	0.61	0.47	0.35	0.14	0.08	0.02	0.65	0.47	0.33	0.16	0.04	0.04