Другие предметы \ Финансовый анализ

Genetic programs, data-snooping, and technical analysis, страница 8

Note. r is the average monthly return, sr is the standard error of r, t is Student’s t-statistic, and n  0 is the number of months in which r  0. Crude oil, unleaded, and heating oil have 156 monthly observations, all other commodities have 204 observations. * denotes rejection of the null hypothesis r  0 at the 1% level. Out-of sample performance is measured using transactions costs of $50 per round turn. Trades/month refers to round-trips.

were available for out-of-sample testing. Crude oil, unleaded gasoline, and heating oil began trading during 1983, so that data is only used from January 6, 1984, resulting in 156 observations. S&P 500 futures began trading during 1982, therefore only prices since January 3, 1983 were used, resulting in 168 monthly out-of-sample observations.

The first four columns of Table V report the mean monthly return, monthly return standard error, the Student’s t-statistic of the one-tailed

TABLE V

Out of Sample Returns to GP Technical Trading Rules

Trades/

% Long

% Short

Commodity                     r (%)

sr

t

n  0

month

correct

correct

Chicago Board of Trade

Treasury bonds                 2.82

10.45

0.27

100

1.21

51.11

46.08

Wheat

8.45

9.36

0.90

95

0.68

48.68

50.16

Corn

10.97

13.10

0.84

90

0.45

45.72

49.37

Soybeans

6.44

13.73

0.47

99

0.83

49.59

48.83

Soybean meal

8.97

14.90

0.60

98

0.54

48.00

50.06

Soybean oil

11.56

15.59

0.74

87

0.35

47.85

51.43

Chicago Mercantile Ex

S&P 500

change

7.26

4.04

1.80*

97

0.84

53.54

46.31

Japanese yen

2.37

1.37

1.72

83

0.12

49.02

52.30

Canadian dollar

1.23

0.81

1.51

74

0.08

49.17

47.16

British pound

1.29

3.85

0.34

78

0.43

50.82

48.36

Lean hogs

8.23

12.73

0.65

95

0.67

49.88

46.99

Pork bellies

11.95

6.44

1.86*

112

1.21

48.41

49.14

Live cattle

5.75

10.10

0.57

95

0.40

49.09

46.26

Feeder cattle

3.39

10.82

0.31

96

0.48

49.08

47.34

New York Mercantile Ex

Crude oil

change

1.09

5.57

0.20

59

0.68

48.58

49.06

Heating oil

1.45

5.66

0.26

66

0.49

52.48

48.82

Unleaded

3.44

7.38

0.47

59

0.64

52.07

49.54

Gold

3.21

5.96

0.54

110

0.39

46.38

53.59

Silver

4.48

11.57

0.39

104

1.56

47.83

49.49

Copper

13.39

13.22

1.01

86

0.82

50.25

49.35

New York Board of Trade

Coffee                             52.30

28.32

1.85

100

1.52

50.65

51.22

World sugar

8.62

12.28

0.70

108

0.45

49.49

47.65

Cocoa

7.92

6.63

1.20

99

0.61

45.66

48.89

Cotton

0.49

14.93

0.03

92

0.80

49.58

49.79

Futures portfolio

0.11

0.88

0.13

102

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
Скачать файл