series. Thus the random walk model seems to explain the significantly negative mean sell return. For 46.7% of the strategies the buy-sell difference is significantly positive, but the fraction in the row tBuy-Sell>tc shows that for none of the random walk bootstraps the percentage of trading rules with a significantly positive mean buy-sell return is larger than this number. 14.7% of the strategies have a significantly positive mean buy return as well as a significantly negative mean sell return. The number in the row tBuy>tc ∧ tSell<-tc, which is 0.006, shows that in only 0.6% of the simulations this percentage is larger than the 14.7% found in the original data series.
Table 2.9 showed the percentage of strategies with a bad significance when applied to the original data series. For the LIFFE cocoa futures series in the first subperiod the strategies as a group show no real signs of bad significance. For 5.9% of the strategies the mean excess return is significantly negative, for 3.5% of the strategies the mean buy return is significantly negative, for 3.3% of the strategies the mean sell return is significantly positive, for 3.3% of the strategies the mean buy-sell difference is significantly negative and for 0.82% of the strategies the mean buy return is significantly negative and also the mean sell return is significantly positive. Panel B of table 2.13 shows that under the null of a random walk the strategies as a group perform even much worse. The number in the row tPerf<-tc shows that for 96.4% of the simulations the percentage of strategies with a significantly negative mean excess return is larger than the 5.9% found in the original data series. For 87% of the simulations the percentage of strategies with a significantly negative mean buy return is larger than the 3.5% found on the original data series. For 57.2% (96.8%, 34.2%) of the simulations the percentage of strategies with a significantly positive mean sell (significantly negative mean buy-sell difference, a significantly negative mean buy as well as a significantly positive mean sell return) is larger than the 3.3% (3.3%,0.82%) found in the original data series.
From the results reported above we can conclude that the good results found when the technical trading strategies are applied to the LIFFE cocoa futures prices in the period 1983:1-1997:6 cannot be explained by a random walk model.