Table 2.9: Bad significance: simple t-ratios. This table shows in contrast to table 2.8 the percentage of strategies for which the mean excess return net of 0.1% transaction costs is significantly negative for all trading rules sets and for all periods. The table also shows the percentage for which a significantly negative (positive) 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 negative. Finally the percentage of strategies for which the data series has a significantly negative mean return during buy days as well as a significantly positive 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 21.35 29.65 18.74 24.17 5.90 4.92 9.12 5.87 25.05 24.08 46.60 27.11 2 5.79 12.74 14.43 9.32 4.74 14.05 10.45 8.80 23.31 9.18 16.92 17.32 3 33.48 34.47 19.07 32.26 13.14 8.68 11.28 11.28 81.80 51.93 39.97 66.02 Full 29.64 41.55 26.20 33.72 5.94 7.58 13.76 7.40 80.67 40.89 48.76 62.32 tBuy<-tc 1 5.36 16.41 4.81 9.42 2.75 4.21 4.15 3.46 3.91 6.92 15.59 6.35 2 28.16 25.99 21.06 26.55 35.90 30.96 17.25 31.96 0.58 0.05 1.33 0.47 3 6.44 11.74 2.49 7.98 2.17 3.11 0.50 2.34 21.43 15.50 8.96 17.84 Full 31.81 36.83 17.74 32.13 4.56 4.21 7.79 4.76 0.72 3.01 4.15 1.96 tSell>tc 1 2.14 10.54 4.98 5.59 3.58 2.91 3.15 3.29 0.33 1.05 2.99 0.90 2 0.25 2.06 1.00 1.01 0.33 8.28 1.16 3.38 13.03 14.35 10.61 13.26 3 12.49 18.72 12.60 14.83 5.25 8.83 8.29 6.93 2.06 6.62 5.31 4.13 Full 0.76 9.03 4.15 4.22 0.80 4.47 2.16 2.32 0.72 4.16 4.15 2.39 tBuy-Sell<-tc 1 9.63 20.17 9.45 13.54 3.08 3.61 3.15 3.29 1.85 2.66 3.48 2.34 2 4.89 8.68 5.14 6.33 14.15 18.46 7.30 15.00 8.87 9.28 6.47 8.76 3 19.65 22.93 10.95 19.91 6.84 5.42 3.65 5.96 20.05 13.95 9.78 16.64 Full 9.59 25.09 7.13 15.09 2.39 2.66 4.81 2.76 1.16 3.81 2.99 2.35 tBuy<-tc ∧ 1 0.47 2.61 1.49 1.38 0.87 0.80 0.66 0.82 0.11 0.05 0.50 0.13 tSell>tc 2 0.11 0.50 0.33 0.28 0.14 3.06 0.50 1.27 0.40 0.05 0.83 0.32 3 3.62 3.31 1.00 3.21 0.47 0.15 0.17 0.32 0.54 2.11 0.50 1.12 Full 0.29 3.21 0.00 1.35 0.25 0.05 0.00 0.15 0.04 2.06 0.00 0.78
83