Table 2.4: Results of the best strategies applied to the LIFFE cocoa futures prices. Panel A shows the results of the best five technical trading strategies applied to the LIFFE 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.
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 [ MA 1,40 0.5% ] 0.1495 0.00055 1505 2168 0.728 0.816 0.00059 -0.00092 0.00151 2.60018 70 69 0.357 0.391 1.50434 -3.25995 3.13221 [ MA 10,75 7.5%] 0.148 0.00055 1102 1914 0.691 0.869 0.00057 -0.00104 0.00161 3.05696 33 32 0.424 0.625 1.32464 -3.59837 3.10298 [ MA 5,50 0.5% ] 0.1459 0.00054 1489 2184 0.666 0.748 0.00052 -0.00087 0.00139 2.55433 41 40 0.415 0.425 1.31265 -3.10160 2.85916 [ MA 1,30 7.5%] 0.1442 0.00053 1485 2170 0.692 0.796 0.00067 -0.00097 0.00164 2.50284 130 129 0.292 0.287 1.72202 -3.36952 3.38854 [ MA 1,30 0.1% ] 0.1422 0.00053 1510 2163 0.689 0.791 0.00063 -0.00096 0.00158 2.46005 118 117 0.297 0.308 1.61817 -3.34207 3.28657 Panel B: Subperiods, best strategy 1983-1987 [ MA 2,40 5%] 0.3547 0.00121 388 691 0.866 0.925 0.00211 -0.00146 0.00357 3.88278 19 19 0.526 0.579 2.79621 -3.19459 4.04603 1988-1992 [ FR 4% 5 50 ] 0.2517 0.00089 498 417 0.703 1 0.00078 -0.00218 0.00296 2.53028 10 9 0.7 1 1.16035 -2.72535 2.83447 1993-1997 [ FR 0.5% 2 50 ] 0.1923 0.00070 400 675 0.75 0.75 0.00128 -0.00069 0.00197 1.98085 8 13 0.75 0.769 1.92902 -1.46915 2.42358
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