MPT Data ./20161219/

Rouwenhorst Sensitivity To js[25,35,45,65,130]/ks[25,35,41,65,130]

Table Header Description

Win - Time Window used in volatility calculation. "None" - Not used (Rouwnhorst). "0" used same value as "j". Other (e.g. "260") - 260 days

test1

Mon, May 17, 2010 at 12:58 AM - Show the greatest difference of winner-loser, that has t>2.4

t - T test value (must be > 2.4)
j - j value where winner-loser is greatest
k - k value (holding period)where winner-loser is greatest
l - loser monthly percentage gain (0.01 == 1%/month)
w - winner monthly percentage gain (0.01 == 1%/month)

test2

Mon, May 17, 2010 at 12:58 AM - Show the maximum quotient of return/standard deviation

Return - monthly return where return/standard deviation is greatest (0.01 == 1%/month)
StdDev - standard deviation where return/standard deviation is greatest (0.01 == 1%/month)
j - j value where return/standard deviation is greatest
k - k value where return/standard deviation is greatest
p - p (portfolio) where return/standard deviation is greatest (winnerPortfolioIdx = 0)

A#	Criterion	Js	Ks	MktIdx	Period	PipelineName	RisklessRetIdx	Runtime	Timeframe	TkrCnt	src	t_Rep	test1 j	test1 k	test1 loser avg	test1 t	test1 winner avg	test2 Return	test2 StdDev	test2 j	test2 k	test2 p
0	Amex	[25, 35, 45, 65, 130]	[25, 35, 41, 65, 130]	SPY	d	plR_m2	%5EH15_TB_M6	0:00:00.10	1 4 2015 12 15 2016	56	src	t_Rep	65	25	0.0461	-11.2784	-0.1142	0.0629	0.0921	130	130	1
1	Amex	[25, 35, 45, 65, 130]	[25, 35, 41, 65, 130]	SPY	d	plR_m3	%5EH15_TB_M6	0:00:00.09	1 4 2015 12 15 2016	56	src	t_Rep	65	25	0.0359	-10.4629	-0.0895	0.0552	0.0733	130	130	1
2	Amex	[25, 35, 45, 65, 130]	[25, 35, 41, 65, 130]	SPY	d	plR_m4	%5EH15_TB_M6	0:00:00.09	1 4 2015 12 15 2016	56	src	t_Rep	65	25	0.0261	-10.3840	-0.0789	0.0496	0.0618	130	130	1
3	Amex	[25, 35, 45, 65, 130]	[25, 35, 41, 65, 130]	SPY	d	plR_m5	%5EH15_TB_M6	0:00:00.09	1 4 2015 12 15 2016	56	src	t_Rep	65	25	0.0256	-10.4781	-0.0664	0.0465	0.0552	130	130	1
4	Amex	[25, 35, 45, 65, 130]	[25, 35, 41, 65, 130]	SPY	d	plR_m6	%5EH15_TB_M6	0:00:00.10	1 4 2015 12 15 2016	56	src	t_Rep	65	25	0.0210	-10.1361	-0.0573	0.0445	0.0518	130	130	1
5	Amex	[25, 35, 45, 65, 130]	[25, 35, 41, 65, 130]	SPY	d	plR_m7	%5EH15_TB_M6	0:00:00.11	1 4 2015 12 15 2016	56	src	t_Rep	65	25	0.0151	-9.3370	-0.0510	0.0429	0.0490	130	130	1
6	Amex	[25, 35, 45, 65, 130]	[25, 35, 41, 65, 130]	SPY	d	plR_m8	%5EH15_TB_M6	0:00:00.11	1 4 2015 12 15 2016	56	src	t_Rep	65	25	0.0112	-8.4399	-0.0445	0.0416	0.0477	130	130	1
7	Amex	[25, 35, 45, 65, 130]	[25, 35, 41, 65, 130]	SPY	d	plR_m9	%5EH15_TB_M6	0:00:00.10	1 4 2015 12 15 2016	56	src	t_Rep	65	25	0.0068	-7.2313	-0.0382	0.0400	0.0460	130	130	1
8	NYSE	[25, 35, 45, 65, 130]	[25, 35, 41, 65, 130]	%5EDJI	d	plR_m2	%5EH15_TB_M6	0:00:01.23	1 4 2015 12 15 2016	1701	src	t_Rep	130	65	0.0616	-11.6913	-0.0317	0.0693	0.1281	130	65	1
9	NYSE	[25, 35, 45, 65, 130]	[25, 35, 41, 65, 130]	%5EDJI	d	plR_m3	%5EH15_TB_M6	0:00:01.37	1 4 2015 12 15 2016	1701	src	t_Rep	130	25	0.0501	-7.5313	-0.0270	0.0556	0.1150	130	65	1
10	NYSE	[25, 35, 45, 65, 130]	[25, 35, 41, 65, 130]	%5EDJI	d	plR_m4	%5EH15_TB_M6	0:00:01.44	1 4 2015 12 15 2016	1701	src	t_Rep	130	41	0.0415	-7.4700	-0.0231	0.0467	0.1107	130	65	1
11	NYSE	[25, 35, 45, 65, 130]	[25, 35, 41, 65, 130]	%5EDJI	d	plR_m5	%5EH15_TB_M6	0:00:01.28	1 4 2015 12 15 2016	1701	src	t_Rep	130	41	0.0298	-5.8304	-0.0155	0.0348	0.1100	130	65	1
12	NYSE	[25, 35, 45, 65, 130]	[25, 35, 41, 65, 130]	%5EDJI	d	plR_m6	%5EH15_TB_M6	0:00:01.27	1 4 2015 12 15 2016	1701	src	t_Rep	35	25	-0.0260	3.4990	0.0149	0.0316	0.1011	130	65	1
13	NYSE	[25, 35, 45, 65, 130]	[25, 35, 41, 65, 130]	%5EDJI	d	plR_m7	%5EH15_TB_M6	0:00:01.26	1 4 2015 12 15 2016	1701	src	t_Rep	35	25	-0.0269	3.8870	0.0144	0.0176	0.0559	130	130	1
14	NYSE	[25, 35, 45, 65, 130]	[25, 35, 41, 65, 130]	%5EDJI	d	plR_m8	%5EH15_TB_M6	0:00:01.38	1 4 2015 12 15 2016	1701	src	t_Rep	35	25	-0.0262	3.6733	0.0113	0.0162	0.0544	130	130	1
15	NYSE	[25, 35, 45, 65, 130]	[25, 35, 41, 65, 130]	%5EDJI	d	plR_m9	%5EH15_TB_M6	0:00:01.28	1 4 2015 12 15 2016	1701	src	t_Rep	35	25	-0.0265	3.7161	0.0095	0.0169	0.0526	130	130	1
16	NASDAQ	[25, 35, 45, 65, 130]	[25, 35, 41, 65, 130]	%5EIXIC	d	plR_m2	%5EH15_TB_M6	0:00:01.01	1 4 2015 12 15 2016	1268	src	t_Rep	65	41	0.0663	-11.6417	-0.0559	0.0676	0.1359	65	65	1
17	NASDAQ	[25, 35, 45, 65, 130]	[25, 35, 41, 65, 130]	%5EIXIC	d	plR_m3	%5EH15_TB_M6	0:00:00.98	1 4 2015 12 15 2016	1268	src	t_Rep	65	25	0.0388	-9.1295	-0.0654	0.0381	0.1039	65	65	1
18	NASDAQ	[25, 35, 45, 65, 130]	[25, 35, 41, 65, 130]	%5EIXIC	d	plR_m4	%5EH15_TB_M6	0:00:00.97	1 4 2015 12 15 2016	1268	src	t_Rep	65	25	0.0345	-10.5814	-0.0660	0.0376	0.1261	65	41	1
A#	Criterion	Js	Ks	MktIdx	Period	PipelineName	RisklessRetIdx	Runtime	Timeframe	TkrCnt	src	t_Rep	test1 j	test1 k	test1 loser avg	test1 t	test1 winner avg	test2 Return	test2 StdDev	test2 j	test2 k	test2 p
19	NASDAQ	[25, 35, 45, 65, 130]	[25, 35, 41, 65, 130]	%5EIXIC	d	plR_m5	%5EH15_TB_M6	0:00:01.00	1 4 2015 12 15 2016	1268	src	t_Rep	65	25	0.0237	-10.3261	-0.0619	0.0250	0.1107	65	41	1
20	NASDAQ	[25, 35, 45, 65, 130]	[25, 35, 41, 65, 130]	%5EIXIC	d	plR_m6	%5EH15_TB_M6	0:00:01.02	1 4 2015 12 15 2016	1268	src	t_Rep	65	25	0.0194	-10.6786	-0.0593	0.0288	0.1404	65	25	1
21	NASDAQ	[25, 35, 45, 65, 130]	[25, 35, 41, 65, 130]	%5EIXIC	d	plR_m7	%5EH15_TB_M6	0:00:01.02	1 4 2015 12 15 2016	1268	src	t_Rep	65	25	0.0109	-10.1467	-0.0585	0.0192	0.1307	65	25	1
22	NASDAQ	[25, 35, 45, 65, 130]	[25, 35, 41, 65, 130]	%5EIXIC	d	plR_m8	%5EH15_TB_M6	0:00:00.98	1 4 2015 12 15 2016	1268	src	t_Rep	65	25	0.0027	-9.4200	-0.0575	0.0104	0.1252	65	25	1
23	NASDAQ	[25, 35, 45, 65, 130]	[25, 35, 41, 65, 130]	%5EIXIC	d	plR_m9	%5EH15_TB_M6	0:00:01.16	1 4 2015 12 15 2016	1268	src	t_Rep	65	25	-0.0046	-8.5263	-0.0558	0.0027	0.0890	35	41	1
24	OTC	[25, 35, 45, 65, 130]	[25, 35, 41, 65, 130]	%5ERUA	d	plR_m2	%5EH15_TB_M6	0:00:00.11	1 4 2015 12 15 2016	41	src	t_Rep	25	25	0.0085	-6.0531	-0.0266	0.0350	0.0426	130	130	1
25	OTC	[25, 35, 45, 65, 130]	[25, 35, 41, 65, 130]	%5ERUA	d	plR_m3	%5EH15_TB_M6	0:00:00.11	1 4 2015 12 15 2016	41	src	t_Rep	25	25	0.0080	-5.7002	-0.0162	0.0276	0.0347	130	130	1
26	OTC	[25, 35, 45, 65, 130]	[25, 35, 41, 65, 130]	%5ERUA	d	plR_m4	%5EH15_TB_M6	0:00:00.11	1 4 2015 12 15 2016	41	src	t_Rep	25	25	0.0039	-5.5395	-0.0138	0.0234	0.0298	130	130	1
27	OTC	[25, 35, 45, 65, 130]	[25, 35, 41, 65, 130]	%5ERUA	d	plR_m5	%5EH15_TB_M6	0:00:00.11	1 4 2015 12 15 2016	41	src	t_Rep	35	25	0.0013	-4.7204	-0.0125	0.0190	0.0265	130	130	1
28	OTC	[25, 35, 45, 65, 130]	[25, 35, 41, 65, 130]	%5ERUA	d	plR_m6	%5EH15_TB_M6	0:00:00.11	1 4 2015 12 15 2016	41	src	t_Rep	25	25	0.0019	-4.8035	-0.0097	0.0157	0.0235	130	130	1
29	OTC	[25, 35, 45, 65, 130]	[25, 35, 41, 65, 130]	%5ERUA	d	plR_m7	%5EH15_TB_M6	0:00:00.12	1 4 2015 12 15 2016	41	src	t_Rep	130	41	-0.0012	3.8560	0.0093	0.0142	0.0215	130	130	1
30	OTC	[25, 35, 45, 65, 130]	[25, 35, 41, 65, 130]	%5ERUA	d	plR_m8	%5EH15_TB_M6	0:00:00.12	1 4 2015 12 15 2016	41	src	t_Rep	130	41	-0.0024	4.4616	0.0086	0.0121	0.0208	130	130	1
31	OTC	[25, 35, 45, 65, 130]	[25, 35, 41, 65, 130]	%5ERUA	d	plR_m9	%5EH15_TB_M6	0:00:00.11	1 4 2015 12 15 2016	41	src	t_Rep	130	41	-0.0033	4.9451	0.0082	0.0106	0.0200	130	130	1