Genetic programs, data-snooping, and technical analysis, страница 7

Trades/

% Long

% Short

Commodity                    r (%)

s_r

t

n  0

month

correct

correct

Chicago Board of Trade

Treasure Bonds            36.32

8.39

4.33

137

1.74

44.05

45.21

Wheat

33.50

9.27

3.62

131

1.13

46.25

47.47

Corn

44.03

11.80

3.73

109

0.55

44.57

46.60

Soybeans

35.98

10.48

3.43

125

1.76

48.03

47.95

Soybean meal

30.86

11.76

2.62

120

1.03

45.24

48.13

Soybean oil

30.46

11.59

2.63

131

0.68

46.71

48.90

Chicago Mercantile Exc

S&P 500

hange

12.01

3.07

3.91

127

1.99

42.24

43.60

Japanese yen

1.03

1.26

0.81

106

0.20

47.46

49.93

Canadian dollar

0.62

0.63

0.98

107

0.07

45.47

44.01

British pound

8.01

2.89

2.77

115

0.60

46.71

45.65

Lean hogs

33.02

11.90

2.77

118

1.25

46.75

46.90

Pork bellies

26.66

6.37

4.19

148

2.05

47.22

45.38

Live cattle

19.73

8.58

2.30

118

0.91

48.84

45.54

Feeder cattle

25.63

9.50

2.70

117

0.95

47.29

45.73

New York Mercantile Ex

Crude oil

change

12.56

5.00

2.51

78

1.50

48.04

46.78

Heating oil

15.33

6.31

2.43

106

1.25

46.34

47.46

Unleaded

14.36

6.52

2.20

97

1.18

49.24

48.29

Gold

24.67

6.40

3.86

130

0.96

45.49

47.77

Silver

62.57

15.89

2.94

142

2.71

46.60

45.17

Copper

26.88

8.71

3.09

128

1.48

47.75

47.00

New York Board of Trad

Coffee

e

96.65

21.29

4.54

137

2.25

48.27

46.99

World sugar

37.03

11.58

3.20

127

0.58

45.38

47.28

Cocoa

27.50

5.02

5.47

135

1.19

44.78

44.85

Cotton

59.22

11.72

5.05

127

1.19

47.35

47.86

Futures portfolio

9.74

0.77

12.58

179

Equity Index Returns

Russell 2000

0.42

0.39

1.08

121

S&P 500

0.93

0.32

2.92*

132

Dow Jones

1.02

0.33

3.13*

133