Table 2.8: Significance: simple t-ratios. The table shows for all groups of trading rules (MA, TRB, Filter, All) for the full sample and for each of the three subperiods (1, 2, and 3) the percentage for which a significantly positive mean excess return occurs net of 0.1% transaction costs. The table also shows the percentage for which a significantly positive (negative) mean return during buy (sell) days occurs. Further the table shows the percentage of strategies for which the difference in mean return of the data series during buy and sell days is significantly positive. Finally the percentage of strategies for which the data series has a significantly positive mean return during buy days as well as a significantly negative mean return during sell days is given. The table only summarizes the results of one sided tests at the 10% significance level.
CSCE LIFFE BPDo Period MA TRB Filter All MA TRB Filter All MA TRB Filter All tPerf>tc 1 0.54 1.05 2.16 0.92 38.11 34.22 18.74 34.52 0.36 0.45 0.00 0.35 2 2.75 0.40 2.82 1.85 6.99 4.42 9.45 6.31 2.03 8.88 3.81 4.78 3 0.33 0.45 1.00 0.45 1.23 3.16 2.82 2.13 0.07 0.15 0.00 0.09 Full 0.22 0.10 1.33 0.30 18.31 8.38 11.44 13.86 0.07 5.22 0.83 2.07 tBuy>tc 1 1.09 1.30 1.99 1.27 25.52 30.41 19.90 26.73 16.36 9.38 4.31 12.42 2 0.07 1.05 0.66 0.50 0.65 0.50 2.32 0.78 27.72 31.76 31.01 29.63 3 0.51 0.45 3.81 0.86 2.06 7.58 5.14 4.46 0.65 0.45 0.17 0.52 Full 0.14 1.15 1.00 0.62 4.56 8.03 13.43 6.86 11.65 16.41 8.46 13.08 tSell<-tc 1 0.43 0.80 2.16 0.77 50.81 29.65 19.57 39.47 59.03 29.35 25.70 44.29 2 60.55 26.14 32.17 44.57 67.46 40.04 43.78 54.62 9.81 5.77 4.64 7.73 3 0.65 0.30 1.00 0.56 1.19 0.50 1.00 0.92 0.69 3.01 4.48 1.98 Full 6.59 3.46 10.95 5.92 64.82 36.93 29.85 50.53 19.58 15.05 12.60 17.13 tBuy-Sell>tc 1 0.98 1.30 4.15 1.46 53.85 41.60 29.85 46.65 59.54 26.24 12.44 41.90 2 1.12 1.66 6.80 1.96 8.29 4.77 18.41 8.13 27.36 25.64 21.89 26.13 3 0.80 0.75 2.49 0.97 2.68 3.76 3.15 3.14 0.72 0.80 0.83 0.77 Full 1.01 0.50 5.97 1.38 31.52 20.92 22.39 26.58 31.27 27.85 14.93 28.19 tBuy>tc ∧ 1 0.07 0.00 0.00 0.04 18.64 11.99 5.47 14.70 11.91 4.92 4.15 8.44 tSell<-tc 2 0.00 0.05 0.00 0.02 0.47 0.25 1.33 0.49 5.32 3.11 1.82 4.11 3 0.00 0.00 0.17 0.02 0.07 0.20 0.33 0.15 0.00 0.20 0.00 0.07 Full 0.07 0.00 0.17 0.06 3.04 1.66 3.65 2.60 8.83 6.42 0.83 7.04
82