Table 2.3: Results of the best strategies applied to the CSCE cocoa futures prices. Panel A shows the results of the best five technical trading strategies applied to the CSCE cocoa futures prices for the period 1983:1-1997:6. Panel B shows the results of the best technical trading strategy in each of the three subperiods: 1983:1-1987:12, 1988:1-1992:12 and 1993:1-1997:6. The first column lists the strategy parameters. %b, td, fhp, and stl are abbreviations for the %band filter, the time delay filter, the fixed holding period and the stop-loss respectively. The second column lists the mean daily excess returns rYe on a yearly basis, that is the mean daily return times the number of trading days in a year, which is set to 252. The third column lists the mean daily excess returns of the trading rules net of 0.1% transaction costs, with the t-ratios beneath these numbers. The fourth and fifth column list the number of days classified as a buy or sell day. The number of buy and sell trades are listed beneath these numbers. The sixth and seventh column list the total number of days buy (sell) trades with a strictly positive excess return last, as a fraction of the total number of buy (sell) days. The fraction of buy and sell trades with a strictly positive excess return are listed beneath these numbers. The eight and ninth column list the mean daily return of the data series itself during buy and sell days, t-ratios are listed beneath these numbers. The last column lists the differences between the mean daily buy and sell returns and the corresponding t-ratios are listed beneath these numbers.
Panel A: Full sample, best five strategies Strategy [ %b td fhp stl] rYe re NB NS Buy>0 Sell>0 Buy Sell Buy-Sell 1983-1997 [ TRB 5 2% 50 ] 0.1038 0.00039 1450 950 0.517 0.737 0.00056 -0.00101 0.00158 1.71767 28 19 0.5 0.737 1.20175 -1.96037 2.25978 [ FR 1% 3 10 ] 0.0935 0.00036 1150 1001 0.478 0.649 0.00068 -0.00118 0.00187 1.63535 111 97 0.477 0.649 1.33110 -2.23745 2.53246 [ TRB 15 2% 50 ] 0.0832 0.00032 1000 750 0.65 0.733 0.00046 -0.00126 0.00172 1.60974 20 15 0.65 0.733 0.85819 -1.93654 2.03745 [ FR 1.5% 5 25 ] 0.0782 0.00030 1117 1050 0.62 0.69 0.00041 -0.00105 0.00146 1.37787 46 40 0.63 0.7 0.81153 -2.04345 2.02312 [ FR 8% 3 50 ] 0.0755 0.00029 1270 752 0.567 0.801 0.00034 -0.00117 0.00151 1.36795 26 16 0.577 0.813 0.71020 -1.80930 1.87465 Panel B: Subperiods, best strategy 1983-1987 [ FR 0.5% 3 50 ] 0.2016 0.00073 429 630 0.767 0.635 0.00158 -0.00057 0.00215 1.82085 9 13 0.778 0.615 1.99680 -0.94078 2.15951 1988-1992 [ MA 1, 2 25 ] 0.2156 0.00078 652 560 0.617 0.732 0.00022 -0.00221 0.00243 1.45504 21 21 0.524 0.762 0.29297 -2.76492 2.22314 1993-1997 [ FR 1% 3 10 ] 0.2105 0.00076 385 311 0.481 0.74 0.00157 -0.00145 0.00302 2.12162 38 30 0.5 0.7 2.01350 -1.66264 2.58211
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