rules generating a significantly positive mean excess return. The table also shows the percentage of trading rules generating a significantly positive (negative) mean return during buy (sell) days. Further the table shows the percentage of trading rules for which the mean Buy-Sell difference of the data series is significantly positive and for which buy and sell days at the same time generate significantly positive respectively negative returns. The table summarizes only the results of one sided tests at the 10% significance level. The results of table 2.16 should be compared to the corresponding results of table 2.8.
For the full sample, the statistical properties of the trading rules applied to the CSCE cocoa series in Pounds are only slightly better than for the CSCE cocoa series in Dollars. For example, only 2.73% (versus 1.38%) of all rules yields a significantly positive difference between Buy-Sell returns. The sell days are predicted better, with 14.25% (versus 5.92% of the trading rules showing significantly negative mean return during sell days. For the LIFFE series in Dollars the statistical results of the trading rules are poorer than for to the LIFFE series in Pounds. Now only 1.31% of the strategies generate a significantly positive mean excess return, while this percentage is 13.86% for the LIFFE series in Pounds. The mean Buy-Sell difference is significantly positive only for 5.10% (versus 26.58%) of all trading rules. The trading rules still forecast the sell days well, with 25.97% of the trading rules having significantly negative mean return during sell days, but not nearly as good as for the LIFFE cocoa series in Pounds for which 50.53% of all rules has significantly negative mean return during sell days.
For the first subperiod the trading rules showed no statistically significant forecasting power on the CSCE series in Dollars. When applied to the CSCE series in Pounds the results are much better. For example 8.33% (versus 0.92%) of the strategies has a significantly positive mean excess return. 19.65% (versus 0.77%) of all trading rules has a significantly negative mean return during sell days. For the buy days most t-ratios stay within the critical values and only 6.13% (versus 1.27%) has significantly positive returns. For 19.41% (versus 1.46%) of all strategies the mean Buy-Sell difference is significant. The strongly significant forecasting power of the strategies applied to the LIFFE series in Pounds totally vanishes when applied to the LIFFE series in Dollars. The percentage of trading rules which generates a significantly mean excess return decreases from 34.52% to 1.03%. For most trading rules the t-ratios of the mean return of the data series during buy or sell days stay within the critical values. Only 1.18% (versus 39.47%) of all trading rules has a significantly negative mean return during sell days and only 1.70% (versus 26.73%) has significantly positive returns during buy days. The percentage of strategies for which the mean Buy-Sell difference is significant drops from 46.65% to 2.13%.
We conclude that, especially in the first subperiod, the Pound-Dollar exchange rate