Table 2.6: Excess returns without transaction costs. Percentage of trading rules with a strictly positive mean excess return in the case of no transaction costs, when applied to the CSCE and LIFFE continuation series and the Pound-Dollar exchange rate, for the full sample 1983:1-1997:6 and the three subperiods 1983:1-1987:12, 1988:1-1992:12 and 1993:1-1997:6.
CSCE LIFFE BPDO Period MA TRB Filter All MA TRB Filter All MA TRB Filter All 1 16.36 18.72 33.33 19.13 80.64 75.46 69.15 77.47 12.63 14.00 3.65 12.14 2 65.94 45.56 52.74 56.90 71.77 49.22 57.21 61.78 29.57 46.36 51.41 38.32 3 15.82 19.87 36.48 19.63 36.70 36.38 42.79 37.27 2.75 3.91 3.32 3.25 Full 16.72 17.66 33.33 18.92 74.67 63.27 60.03 68.86 5.90 21.73 20.56 13.45
Table 2.7: Excess returns with 0.1% transaction costs. Percentage of trading rules with a strictly positive mean excess return in the case of 0.1% transaction costs, when applied to the CSCE and LIFFE continuation series and the Pound-Dollar exchange rate, for the full sample 1983:1-1997:6 and the three subperiods 1983:1-1987:12, 1988:1-1992:12 and 1993:1-1997:6.
CSCE LIFFE BPDo Period MA TRB Filter All MA TRB Filter All MA TRB Filter All 1 11.26 15.35 23.22 14.14 76.76 70.85 64.51 73.25 9.30 11.34 2.65 9.32 2 58.67 41.09 44.78 50.55 63.34 42.10 49.42 53.90 20.85 40.39 44.44 30.81 3 11.80 15.81 28.86 15.19 28.09 28.95 35.66 29.25 1.56 3.01 1.33 2.07 Full 9.19 12.24 25.70 12.18 64.17 52.78 49.59 58.34 2.75 18.57 16.09 10.14
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