Success and Failure of Technical Success and Failure of ... - Description

TI 2001-016/1 Tinbergen Institute Discussion Paper

Success and Failure of Technical Trading Strategies in the Cocoa Futures Market

Peter Boswijk Gerwin Griffioen Cars Hommes

Tinbergen Institute The Tinbergen Institute is the institute for economic research of the Erasmus Universiteit Rotterdam, Universiteit van Amsterdam and Vrije Universiteit Amsterdam.

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Rule ma trb filter all

R ule ma trb filter all

B uy and Sell Period 1 12.40 6.69 5.94 9.95


B uy and Sell Period 1 17.93 12.34 5.54 14.57


2 5.55 4.02 2.09 4.67

2 0.48 0.28 1.66 0.55

2 0 0.05 0 0.02

3 0 0.28 0 0.09

3 0.07 0.22 0.36 0.16

3 0 0 0.17 0.02

Full 8.89 7.85 0.87 7.59

Full 2.74 1.53 3.50 2.39

Full 0.07 0 0.17 0.06

B uy and Sell Period 1 0.07 0 0 0.04

LIFFE M ean B uy: % t-ratio's>t crit (10% ) Period Full 3 2 1 24.46 0.66 2.20 4.25 26.61 0.56 8.04 6.95 20.36 2.67 5.19 13.40 24.77 0.86 4.58 6.25

M ean Sell: % t-ratio'st crit (10% ) Period Full 3 2 1 1.25 0.07 0.52 0.15 1.62 1.15 0.52 1.25 2.09 0.67 3.97 1.05 1.49 5.23 0.92 0.65


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R ule B u y D um m y

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8 3 :1 - 9 7 :6 Co rr L IFF E CS C E B P DO

8 3 :1 - 8 7 :1 2 L IF FE 1.0 0 0.9 8 0.6 6

CS C E

BP D O

1.0 0 0.5 1

1.0 0

L IF FE 1.0 0 0.9 7 0.0 8

CS C E

BP D O

1.0 0 -0.1 3

1.0 0

8 8 :1 -9 2 :1 2 Co rr L IFF E CS C E B P DO

C orr L IFF E CS C E BPDO

L IF FE 1.0 0 0.8 7 0.8 8

CS C E

BP D O

1.0 0 0.5 8

1.0 0

L IF FE 1.0 0 0.9 3 0.2 6

CS C E

BP D O

1.0 0 0.1 6

1.0 0

9 3 :1 -9 7 :6 C orr L IFF E CS C E BPDO

A@M*i VWG 5}?U@?Ui ?_ih _ hi|h?tc ULUL@ tihit ? L|ih Uhhi?U)

The table shows for all periods (1, 2, 3, full) the percentage of strategies (ma, trb, filter, all) for which the LIFFE cocoa series expressed in Dollars and the CSCE cocoa series expressed in Pounds have a significant positive (negative) mean return during buy (sell) days. The table also shows the percentage of strategies for which the difference in mean return of the dataseries during buy and sell days is significant positive. Further is shown the percentage of strategies for which the dataseries has a significant positive mean return during buy days and a significant negative mean return during sell days. The table summarizes the results of one sided tests with a 10% significance level. This table should be compared with table III.


R u le ma trb filter all

M ean B uy -S ell: % t-ratio's> t crit (10% ) P erio d F ull 3 2 1 1.76 14.86 2.27 5.47 2.45 13.82 2.17 3.32 3.24 23.17 6.13 9.83 2.17 15.48 2.66 5.22

R u le ma trb filter all


B uy and S ell P eriod 1 0.15 0 0.36 0.12


2 0.0 7 2.0 8 0.8 3 0.8 6

2 0.11 0.0 6 0 0.0 8

3 0.18 0 0.72 0.18

3 0.04 0 0.55 0.08

F ull 0 .2 2 0 .2 7 1 .1 7 0 .3 5

F ull 0 .11 0 .0 5 0 .1 7 0 .1 0

B uy and S ell P eriod 1 1.00 0.23 0.18 0.64

M ean S ell: % t-ratio 's< -t crit (1 0% ) P eriod F ull 3 2 1 1.0 7 81.23 0.73 3 2.74 1.3 1 55.00 0.11 2 1.21 2.1 6 46.67 1.08 1 8.83 1.2 7 68.13 0.56 2 7.04

M ean B uy -S ell: % t-ratio's> t crit (10% ) P erio d F ull 3 2 1 27.90 3.00 0.77 2.85 13.80 2.51 0.27 1.63 12.50 6.00 5.89 6.17 21.28 3.18 1.13 2.78



M ean S ell: % t-ratio 's< -t crit (1 0% ) P eriod F ull 3 2 1 29.04 20.80 1.14 1 8.45 12.60 16.00 0.27 8 .72 4.8 2 19.83 2.66 1 3.17 20.62 19.00 0.99 1 4.30

L IF F E in D ollars M ean B uy: % t-ratio's> t crit (10% ) P eriod F ull 3 2 1 1.3 6 0.47 2 .82 0 .84 1.8 3 3.31 5 .25 1 .36 1.8 0 4.67 8 .47 4 .83 1.5 7 1.94 4 .29 1 .49

C SC E in P ou n d s M ean B uy: % t-ratio's> t crit (10% ) P eriod F ull 3 2 1 5.8 2 0.62 0 .37 0 .62 6.9 9 0.50 0 .44 0 .53 12 .32 1.00 3 .23 5 .67 6.9 5 0.62 0 .69 1 .16
