davidsomseb
New Member
To test the robustness of results, we divide the entire sample into four sub-periods and
provide the estimated BECs for Strategies 1 and 3 for MA-100, MA-150, and MA-200 in
Table 6. Table 6 presents the risk and BECs of our best three rules for four sub-periods.
The risks (standard deviation of returns) of the B&H strategy are 0.761 %, 0.856 %, 1.795%
and 1.332 % for four sub-periods respectively. The BECs are estimated the same way, by
dividing total excess return over the B&H strategy into the total number of trades in each
sub-period.
provide the estimated BECs for Strategies 1 and 3 for MA-100, MA-150, and MA-200 in
Table 6. Table 6 presents the risk and BECs of our best three rules for four sub-periods.
The risks (standard deviation of returns) of the B&H strategy are 0.761 %, 0.856 %, 1.795%
and 1.332 % for four sub-periods respectively. The BECs are estimated the same way, by
dividing total excess return over the B&H strategy into the total number of trades in each
sub-period.
