Table 2.17: Bad significance when LIFFE in Dollars and CSCE in Pounds: simple t-ratios. This table shows in contrast to table 2.16 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 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 shown. All results reported are for the CSCE futures prices recomputed to Pounds and the LIFFE futures prices recomputed to Dollars. The table only summarizes the results of one sided tests at the 10% significance level.
CSCE in Pounds LIFFE in Dollars Period MA TRB Filter All MA TRB Filter All tPerf<-tc 1 6.01 9.23 13.60 8.07 14.66 8.83 13.43 12.37 2 11.07 13.45 20.23 12.96 3.08 7.53 14.10 5.94 3 30.84 39.14 16.09 32.30 13.68 16.86 13.76 14.89 Full 13.46 28.70 24.71 20.42 8.61 10.59 20.90 10.74 tBuy<-tc 1 3.18 5.22 4.64 4.11 1.38 4.62 1.82 2.63 2 36.12 24.89 23.38 30.51 26.06 21.78 25.21 24.36 3 9.48 15.96 3.48 11.23 1.34 1.71 0.66 1.40 Full 13.54 22.98 15.09 17.24 7.82 7.23 13.60 8.26 tSell>tc 1 2.46 5.47 6.30 4.02 1.70 1.76 3.32 1.91 2 0.54 7.43 1.82 3.25 0.25 3.31 0.66 1.44 3 3.98 11.74 9.45 7.49 9.70 19.92 16.92 14.33 Full 1.16 4.67 4.98 2.90 0.40 3.66 2.16 1.81 tBuy-Sell<-tc 1 3.66 5.67 4.48 4.50 5.36 3.51 5.64 4.71 2 16.58 10.89 9.78 13.71 4.42 5.17 7.96 5.10 3 17.41 26.84 8.46 19.93 7.09 9.48 8.13 8.11 Full 5.79 13.60 10.12 9.19 1.81 2.81 5.47 2.60 tBuy<-tc ∧ 1 0.58 0.70 0.50 0.62 0.25 0.20 0.17 0.22 tSell>tc 2 0.14 0.40 0.33 0.26 0.04 0.05 0.00 0.04 3 2.28 5.17 1.82 3.31 0.22 0.25 0.50 0.26 Full 0.40 0.75 0.83 0.58 0.07 0.05 0.33 0.09
88