An Improved Moving Average Technical Trading Rule II

Can we obtain performance improvements with short sales?

Fotis Papailias &

Dimitrios D. Thomakos

This version: November 12, 2011

Abstract
In this paper we extend the methodology of our earlier work (Papailias and Thomakos, 2011) on a
modified moving average technical trading rule by allowing short sales. We show how short sales
change the trading rule which now acts as a dynamic trailing stop-and-reverse, instead of a dynamic
trailing stop as in the context of long-only trades. Then we empirically examine the performance of
our modification in the context of a long/short trading approach and discuss the differentiation and
implications in strategy performance. We compare both the modified version of our trading rule with
the standard moving average approach and also compare the long/short approach with the long-only
approach of the earlier paper.
JEL Classification: C00; C10; C50; G00; G11; G14; G15; G17.
Keywords: ETF; Exchange Rate; Moving average; Price cross-over; S&P500; Short Sales; Stop and
Reverse; Threshold; Trailing stop; Technical analysis; Technical Trading; Trading strategies.

Please do not quote without permission. Any errors are ours. Computations performed in R. All tables presented in

this paper and in the previous one are also available online at http://www.quantf.com

Corresponding Author. School of Economics and Finance, Queen Mary, University of London, UK. E-mail:
f.papailias@qmul.ac.uk and papailias@quantf.com; Tel: +44-2078-828844.

Professor, Department of Economics, University of Peloponnese, Greece and Senior Fellow, Rimini Center for Economic
Analysis, Italy. Email: thomakos@uop.gr, thomakos@gmail.com and thomakos@quantf.com; Tel: +30-2710-230132; Fax:
+30-2710-230139.

Electronic copy available at: http://ssrn.com/abstract=1958906

Introduction

In a recent paper ((Papailias and Thomakos, 2011), henceforth PT) we proposed a modification to the
standard price and moving average cross-over trading rules in the context of long-only trades. Our
analysis showed that the proposed modification offers significant performance gains over the standard
approach1 , both in terms higher average reward and lower average risk (including lower maximum
drawdowns and lower durations). In the context of long-only trades our proposed modification acts
as a dynamic trailing stop while in the current context with short sales the modification acts as a
dynamic trailing stop-and-reverse, and the investor is always on the market. To avoid repetitions from
the first part of our work we offer no literature review2 below and the interested reader can browse
our introduction in the PT (2011). The methodology is, however, repeated since it is now changed to
accomodate the presence of short sales.
For our empirical analysis we use a total of eleven (11) series to experiment and present comparative
results on the performance of the modified strategy: four (4) ETFs and seven (7) currency pairs. Our
approach and discussion here is divided in two parts: (a) we analyze the impact that the modified
criterion has in the performance of the trade when short sales are allowed compared to the standard
approach and (b) we examine, in the context of our modified approach, whether the long-only approach
or the long/short approach gives us a better average performance.
To preview our results we find that the proposed modification works very well in reducing risk
whether in long-only or in long/short mode. However, it offers differential performance in terms of
returns: if higher average returns are wanted then the proposal is to go with the long-only approach; if
higher cumulative returns are wanted then the long-only approach would be the conservative strategy
and the long/short approach would be the aggressive strategy to use, with the latter being more sensitive
to the choice of parameters and the asset being traded. Finally, for the investor that wishes to agressively
trade currencies a carefully backtested modified long/short strategy is recommended.
The rest of the paper is organized as follows: in section 2 we present our methodology; in section 3
we discuss our data; in section 4 we have the discussion of our empirical results and section 5 has some
concluding remarks and prospects for further work. A total of seventeen (17) tables, discussed in the
main text, are found at the end of the paper. An addendum is also provided with tables that are not
discussed in the main text. All results are available also from our website at http://www.quantf.com.
1

We call the moving average cross-overs standard strategies while we call them modified strategies when they incor-

porate our proposed changes.

2
We however maintain the reference list from our first paper.

Electronic copy available at: http://ssrn.com/abstract=1958906

Methodology

2.1

Trading strategies

This section has considerable overlap with our previous work, to which the reader is referred for certain
additional details. Consider then the (closing) price {Pt }tN+ of an asset and let Mt (k) denote the k th
period3 backward moving average, that is:
k1
1X
Ptj
Mt (k) =
k
def

(1)

j=0

As in PT (2011) we consider two trading rules, a price-based cross over rule and a moving-average based
cross over rule. The first rule issues a buy signal when the price of the asset crosses above the moving
average while the second rule issues a buy signal when a faster moving average crosses above a slower
moving average; sell signals are defined in the opposite direction. The signal variable based on a price
cross-over is defined as follows:

+1 while
def
P
St+
(k) =
1 while

Pt1+
Pt1+

Mt1+ (k)
<M
(k)

(2)

t1+

for = 0, 1, . . . , where we note the one period transaction-delay in buying the asset - this is what will
actually happen if one was implementing the strategy in real time. The total return of the strategy over
a sequence of holding periods, for a sample of size n, is given by:
( n
)
Y
def
T RnP =
(1 + RP ) 1

(3)

=t1 +1
def

where RP = S 1 (k)R is the sequence of the strategys returns and t1 stands for the period where the
first signal is given.
Similarly, we may define the signal variable for the moving averages cross-over as follows:

+1 while M

(k
)

M
(k
)
t1+ 1
t1+ 2
def
M
St+
(k1 , k2 ) =
1 while M

t1+ (k1 ) < Mt1+ (k2 )

(4)

where = 0, 1, . . . and k1 < k2 . The strategys returns and total return are defined in an analogous
fashion to the price cross-over case and we denote them by RM and T RnM respectively.
Our modification to the above strategies is the one, with a direct extension to short sales, presented
in our earlier work: in order to stay in the market (the initial buy or sell signal always being provided
by a standard moving average strategy) we require that the current price is greater or equal (for a long
trade) or less than or equal (for a short trade) than the entry price. We omit here all discussion on the
3

Sometimes called the look-back period.

justification and probabilistic workings of this modification, which appears in PT (2011), and proceed
directly to the the representation of the modified strategy.
To present our strategy we require tracking of the periods where the standard cross over strategies
issue signals. Using the price cross-over strategy for illustration, consider the following indicator variable:

def

d(ti , k) =


1 P
Sti (k) StPi 1 (k)
2

(5)

which takes, at period ti the value of +1 when the standard variable switches from the short to a long
position, the value of 1 in the opposite case of switching from a long to a short position and the value
of 0 otherwise. Now, consider the times of such switches formally defined as:
def

ti (k) ti = {t N+ : d(ti , k) 6= 0}

(6)
def

for the definition of the moving average-based entry times and let t` = max ti denote the latest entry
i

time for all ti t. Then, the modified signal variable is defined as:

+1 while P

t1+ Pt`
def
P
Ct+
(k, t` ) =
1 while P
<P
t1+

(7)

t`

for = 0, 1, . . . , and note that this modified signal becomes a function of the cross-over entry time t` and
the entry price Pt` but is independent of the type of trade initiated (long or short), i.e. by d(t` , k). This
last statement is important for the workings of our modified criterion: switching from a long-to-short
position (and vice versa) is determined solely by the position of the current price relative to the entry
price, irrespective of the type of trade initiated by the standard criterion. We can now summarize the
main aspects of our modified strategy as follows:
1. The initial entry time t1 is determined by the cross-over signal variable StP (k).
2. Once we enter into a trade the switching condition is determined by the modified signal variable
CtP (k, t` ) and not the cross-over signal variable StP (k). We are always into the market, either in
a long or a short position.
3. During the duration of a trade the reference entry time and reference entry price will change if
the standard cross-over signal variable issues a switching signal while the modified signal variable
does note change value. This makes the latest entry price Pt` to act as a dynamic trailing stopand-reverse.
4. The modified strategys switching times do not coincide with the standard cross-over strategys
switching times.

A similar expression to equation (7) applies to the case where instead of a price cross-over we have
M (k, t ). As with the plain cross-over signals a one-period delay applies
moving averages cross-over Ct+
`

for these modified signals as well. For future reference we denote the modified strategies returns by
RP,C = CP1 (k, ` )R and by RM,C = CM1 (k1 , k2 , ` )R and the total returns by T RnP,C and by T RnM,C
def

def

respectively.

2.2

Strategy evaluation

To evaluate our proposed modification4 on the moving average trading rules we use a variety of averages,
as used by practitioners and trading platforms, as well as a number of practical trading evaluation
measures. Besides the plain moving average we also employ the exponential moving average and the
weighted moving average.5 For all of these averages we used a number of combinations for k and
(k1 , k2 ) conforming to the most popular choices for daily data: 5, 20, 50, 100 and 200-period averages
were used. Specifically, the following pairs (k1 , k2 ) were considered: (5,20), (10,20), (20,50), (20,100)
and (50,200) - the more relevant of those being the last three pairs which we discuss more extensively.
To perform our exercise in a real-time fashion we split the sample into two parts n0 + n1 = n, where n1
is the evaluation period - we use a variety of evaluation periods (see discussion of data and results) to
account for different market periods. For each of the averages and for of the four strategies (price crossover, modified price cross-over, moving averages cross-over and modified moving averages cross-over)
we compute the following evaluation measures (Rts denotes the returns of any of the four strategies):

n
Y

def
The total return, as in equation(3), T Rs =
(1 + Rs ) 1.
s

=t1 +1

def

The average return ARs =

n
1 X s
R , where ts1 denotes the first trading period for the sth
Ns t=n t
s

def

strategy, ns = n0 +

ts1

def

+ 1 denotes the first evaluation period and Ns = n ns + 1 denotes the

evaluation observations. The average return is reported annualized.

v
u
n
u 1 X
def
s
(Rts ARs )2 , annualized.
The standard deviation of the return SD = t
Ns t=n
s

def
s /s , annualized.
The Sharpe ratio SRs = R

The maximum drawdown M Ds . Let T Rts denote the running total return of a strategy up to
def

time t > ns and let Mst = max T Rts denote the running maximum return. Then the maximum
t
s
def 1 + Mt
s
drawdown is defined as M D =
1.
1 + T Rts
4
5

This section is taken verbatim from PT (2011).

Results also available on request (or online) for the modified exponential moving average of J. Wells Wilder (1978),

the originator of the relative strength index (RSI) of technical analysis.

 The maximum drawdown duration, denoted M DDs .

We choose as our benchmark the standard moving average strategies as detailed above and we report
the above measures as differences with respect to that benchmark. So, again using the price cross-over
strategy, s = P , as an illustration, the final statistics are given in a form like:
def

1. The difference in total returns T R = T RP,C T RP .

def

2. The difference in average returns AR = ARP,C ARP .

def

3. The difference in standard deviations SD = SDP,C SDP .

def

4. The difference in the Sharpe ratios SR = SRP,C SRP .

def

5. The difference in maximum drawdowns M D = M DP,C M DP .

def

6. The difference in maximum drawdown durations M DD = M DDP,C M DDP .

and similarly for s = M . Detailed results are also available on the comparative performance of these
strategies with respect to the buy & hold strategy and we comment on their differences in the coming
discussion. However, our main focus is to compare two active strategies and not an active versus a
passive strategy. Finally, we note that later we will be comparing the performance between the longonly modified approach of our previous paper and the long/short modified approach of this paper: in
that case the above differences will be defined appropriately between the long-only performance measures
minus the long/short performance measures.

Data

We apply the methodology described in the previous section to representative series from two asset
classes, these series being a subset of the series we examined in PT (2011). In particular, we consider
less ETFs and more currencies for our analysis - the idea here being that it is easier for the average
investor to sort currencies rather than equities. However, the full results for all series of the first paper
are posted on our website. We consider six ETFs and seven exchange rate series. From the the ETF
tickers we examine SPY, QQQQ, XLE and EWJ while for the currency pairs we examine EUR/USD,
USD/JPY, USD/CHF, GBP/USD, EUR/GBP, EUR/JPY and EUR/CHF. For the ETFs we aligned all
series to start with the inception of the euro at 01/04/1999 for a total of 2986 days ending in 12/11/2010.
The data for the currency pairs are from 01/03/2000 until 04/13/2011 for a total of 2943 observations.
In evaluating our trading strategies we split our sample into training and evaluation periods and let
the sample roll forward based on the length of the largest moving average. We have selected different
6

splitting dates so as to provide results that are (as much as possible) free from bias due to the starting
date of the evaluation period. We have selected several splitting dates so as to include periods of different
characteristics, such as rising and falling prices, and we summarize them in the Table A. Figures 1 and
2 give a general picture of how the sample is splitted, using the relevant evaluation periods, for some of
the series we considered.
Table A. Data sample splits as strategy evaluation periods
ETFs

Currencies

Date

n1

Date

n1

S1

10/01/2001

2297

06/21/2001

2558

S2

03/03/2003

1941

11/25/2002

2187

S3

10/01/2007

787

02/03/2006

1353

S4

02/03/2009

431

03/19/2009

539

Discussion of results

All our results are reported in tables that have a common format. Because of the large amount of
information presented in these tables, and to conform to the discussion in our previous work PT (2011),
we dicuss average performance across the results of each table. We do so as follows. Each table has
three panels corresponding to 3 different evaluation periods. In each panel there are 9 price and moving
average cross-over strategies which means that, for each strategy evaluation criterion, a total of 27
relevant cells that can be compared across the three different evaluation periods. Let sij denote the
cell value for strategy i and evaluation measure j (for example i = M A1 the simple price cross-over
based on k1 and j = T R be the total return.) The average difference among the winning strategies
P
def
def
1 P
is 27
(k1 ,k2 )
i sij Iij where Iij = I(sij > 0) for j = T R, AR, SD, SR and Iij = I(sij < 0) for
P
1 P
j = M D, M DD. The average difference among all strategies is 27
(k1 ,k2 )
i sij . We henceforth
discuss these types of averages rather than discuss the performance for individual evaluation periods or
individual moving average methods.

4.1

Detailed results on SPY

For the longest evaluation period (S1) using the long/short strategy results in performance improvements, compared to our earlier results based on the long-only approach. These new results are given
in Table 1. Based on differences of total return we find that the modified strategy is better 67% of the
time with an average gain of 58% across the winning combinations and of 33% across all combinations.
The corresponding numbers for the long-only strategy were 74%, 38% and 24% so that the slight drop
in the percentage of winning combinations is more than compensated by the increase in total return.
7

Similar results hold for the differences in average annualized return, i.e. the numbers are higher for the
long/short strategy than the long-only one. For the Sharpe ratio differences we have a slight underperformance to the long-only strategy, where the Sharpe ratio difference fell from 28% to 23% (across the
winning combinations) and from 16% to 13% (across all combinations). We do, however, find a dramatic
improvement on the maximum drawdown and its duration: 56% of the time the maximum drawdown is
better for the modified strategy (compared to 78% in the long-only case) with the average gain now being -38% and -12%, across the winning and across all combinations respectively: these numbers are way
better than the corresponding ones for the long-only strategy of -15% and -4% respectively, although
they corresponded to a success rate of 78%. Similarly, for the maximum drawdown duration we find a
substantial improvement at the cost of a lower success rate: 52% of the time we find that the modified
strategy is better with average gain -684 days and -131 days respectively - the corresponding numbers
for the long-only scenario were -146 and -66 days.
Its is important to interpret appropriatelly the above results and put them in a practical perspective,
as this will allow us to better understand the performance of the modified strategy across the different
assets we consider. First, the long/short approach that we use in the current context is clearly more
aggressive than the long-only strategy of our previous paper: this implies higher uncertainty and more
trades. The higher uncertainty is manifested in the lowest success rates, i.e. in the proportion of times
that the modified strategy is better than the plain moving average strategy. This higher uncertainty
and increased number of trades is, on the other hand, compensated by the increased total return and
reduced maximum drawdown and its duration. Second, it is interesting to note that now there are larger
disparities in the performance among moving average type and look-back combinations, than in the case
of the long-only strategy: this implies that the choice of parameters now matters more than before and
more careful consideration has to be given to them in designing a successful trading system. Finally,
we remind the reader that the comparisons are not between the long-only and long/short approaches
directly but rather indirectly, through the comparison first of the modified to the standard moving
average strategy: later on we do compare the performance between the long-only and the long/short
approaches and returns to these comments.
The results from the smallest evaluation samples (S3 and S1) are also supporting what we have
already seen above, certainly in terms of the outperformance of our modified strategy to the standard
moving average strategy. That is, we again find that, on average, the modified strategy is a better
approach than the standard strategy. Keeping in mind the comments made in the previous paragraph,
we next turn to the discussion of the actual numbers. For the next to the smallest evaluation sample
(S3) we find that 59% of the time the modified strategy is better than the standard one when looking
at differences in total return. The average gain is 21% and 6%, across the winning combinations and
across all combinations respectively. These numbers are just a bit better than the ones in the long-only

scenario (they were 13% and 5% respectively) but they accord with the findings on the larger evaluation
sample. Looking at the differences in harpe ratios we still find that the modified strategy is on average
better than the standard one but the corresponding gain is less than in the case of the long-only scenario.
Here we find that 59% of the time the Sharpe ratio was better for the modified strategy with average
gains of 20% and 5% respectively, which are lower than the corresponding numbers for the long-only
case (40% and 18% respectively). The results for the maximum drawdown are similar to those for the
Sharpe ratio and, as in the case of the long-only strategy, we continue to find substantial improvements
in drawdown duration. Specifically, 44% of the time the modified strategy has lower duration (compared
to 78% of the time for the long-only strategy) with an average gain of -161 and -45 days, across the
winning and across all combinations. These numbers are better than those of the long-only strategy (-81
and -31 days respectively). The results from this smaller evaluation sample have the same qualitative
characteristics as the results from the largest evaluation sample.
Finally, if we look at the performance across all evaluation samples we get results that are similar
to the ones presented above, and are supporting the modified strategy. The pattern of lower success
rates remains and the modified strategy is again on average bettern than the standard one, with the
long/short approach to provide better overall performance than the long-only approache. Specifically,
for the difference in total return we find that 78% of the time the modified strategy provides higher
total return, with an average gain of 33% and 24%, across the winning and across all combinations
respectively. These numbers are better than the corresponding ones for the long-only strategy. The
results for the difference in the average return and the Sharpe ratio are similar to those for total return.
However, we find a substantial improvement in the difference in maximum drawdown and its duration
and, here, the success rates are about the same: 56% of the time the modified strategy gives smaller
average drawdown with a gain of -18% and -5% respectively; the corresponding numbers were -10% and
-2% for the long-only case. Finally, the average improvement in drawdown duration amounted to -246
and -151 days, across he winning and across all combinations respectively, with the modified strategy
providing lower duration 70% of the time.

4.2

Results on other ETFs and on currencies

The results on the other three ETFs that we have examined (QQQQ, XLE and EWJ) are mixed. In
some cases we find results similar to SPY while in others in find that the long/short modified approach
has not fared well compared to the long/short standard strategy. The ETFs results are given in Tables
2 through 4 and the relevant currencies results are in Tables 5 through 11. Considering first QQQQ we
find that the number of times that the modified long/sort strategy is better that the standard long/short
strategy is smaller than the corresponding number in the long-only scenario. However, as in the case of
SPY, we also find that the performance gains when the modified long/short strategy is better that the
9

standard one to be larger than the gains of the long-only scenario. This is manifested in the differences
in total return and maximum drawdown and its duration: compared to the standard strategy we find
both higher difference in total return and lower drawdown and its duration - but again we reminder
the reader that these comparisons are not between long-only and long/short approaches but between
the standard and modified strategies in each separate strategy scenario. These results for QQQQ hold
for all evaluation samples that we have considered. Turning next to XLE we find that the number of
times the modified strategy is better than the standard one is about the same in the long/short and
long-only scenarios; a similar parity of performance we find in terms of differences in total returns. For
the maximum drawdown and its duration we consistently see that they are smaller for the modified
strategy compared to the standard one, a result that persists and for EWJ for the longer evaluation
sample.
All in all, for the four ETFs we can summarize our findings as follows: (a) the modified strategy
continues to work well and to outperform the standard strategy in the context of the long/short approach
(b) the performance gains of the modified strategy compared to the standard strategy are higher for
the long/short approach rather than the long-only approach, both across all parameter combinations
but mostly when considering the number of times where the modified strategy is better: specifically, we
have that the modified strategy now wins fewer times but when it does it is by a larger margin than the
standard strategy (c) the previous result indicates that the modified long/short approach is, compared
to the modified long-only approach, riskier and more sensitive to the exact specification with which it
is applied (type of moving average and choice of look-back periods).
Finally, we turn to the performance of the modified long/short approach in the context of the foreign
exchange rates. Here the results are more coherent across all currency pairs. While there are some
differences across parameter combinations over the pairs we find that, on average, the number of times
that the modified long/short strategy is better than the standard long/short strategy is considerably
smaller than the corresponding number in the long-only scenario. This implies that in currencies the
modified long/short strategy is not as useful as the modified long-only strategy. Furthermore, and
contrary to the results on the ETFs, we find that the performance gains of the modified long/short
approach over the standard approach, when it wins, are smaller than those of the modified long-only
approach over the standard long-only approach. However, and we return to this point in the next
section, these results cannot be interpreted in favor or against the long/short strategy compared to
the long-only strategy. They only show that the modified long/short approach may not be needed
when trading currencies. As noted though, these results hold on average: we still can (a) find several
cases across all pairs and parameter combinations and evaluation samples that the modified long/short
approach is better than the standard one (b) the three euro pairs EUR/GBP, EUR/JPY and EUR/CHF
all have performance of the modified long/short approach that is quite on par with the performance

10

of the standard long/short approach and (c) for those cases that the modified long/short approach is
better than the standard approach we find a considerably lower drawdown and corresponding duration.
This last result is important because it consistently comes forward in our discussion and relates to the
essential nature of the modified approach: it acts as a dynamic trailing stop-and-reverse, which reduces
either the drawdown or the duration or both, with all the side effects this may have (e.g. one may exit
the market faster than the standard approach and thus observe a lower total return). Overall then the
performance of the modified long/short strategy can still be considered viable for practical purposes.
This brings us to the next section that deals with the comparison between the long/short and long-only
approaches in the context of our modified strategy.

4.3

Which modified strategy to use: Long-only or Long/Short?

Our results so far have been supporting of the modified strategy in the long/short context. However, an
important practical aspect that cannot be easily discerned from these results is whether an investor would
be better off, on average, with the modified long-only or the long/short approach. We have already seen
above that there can be considerable performance improvements with the modified long/short strategy
over the long-only one but on specific evaluations samples and assets. There are certainly differences
between the two approaches, not the least of which is the aggressiveness of the long/short approach,
of always being on the market, and having more trades and higher margin for making errors. To answer
this question we examined consistently the differences between the long and long/short approaches for
the modified criteria and the standard criteria as well. In doing this we used the same method as before,
comparing now the two strategies instead of comparing the modified approach with the standard one
- and the tables thus generated have the same format and interpretation as all the tables in this and
previous paper. We summarily discuss the results from this analysis which are presented in Tables 12
through 22. The full results are available on request and from our website, where comparative results
between long and long/short approaches for the standard strategies can also be found (the latter results
on standard strategies are also given in the addendum).
We start off again with SPY in tables 12 and 13. For the modified criteria the results overwhelmingly
support the use of the long-only approach, in terms of the number of times it produces a better evaluation
number: the percentage of times that the long-only strategy is better is consistently higher than 70%
across all evaluation measures. The average performance of the long/short approach is not to be
discounted when in fact is better than the long-only one, at least not in terms of total return. However,
when we look at all the performance measures combined we find that the long/short strategy has greater
maximum drawdown and corresponding duration all the time (which is not really surprising given the
continuous market exposure of the method). So the long/short approach may, in the end, be profitable
but it will be less profitable than the long-only approach and with increased risk. As a side note, it is
11

interesting to note that the average performance (across both types of strategies) still delivers a solid
performance - although with hindsight we now know that we would prefer the long-only strategy. A
rather similar picture emerges if we look at the results for the other three ETFs we consider in this
paper, QQQQ, XLE and EWJ. The comparative long and long/short performance for these series is very
close to that of SPY, with some small exceptions in the QQQQ series - where in a couple of instance we
find a much better average performance (in terms of total return) for the long/short approach compared
to the long-only one.
It is probably of higher interest to see these comparisons for the case of the currency pairs we
examine - given that they are easier to short than the ETFs. The results here have some similarities
but also some important differences with the results on the ETFs. Looking first the EUR/USD pair
(tables 14 and 15) we find that (a) the percentage of times where the long-only approach is better is,
again, consistently high and over 70% but (b) in terms of the average difference in total return, the
long/short strategy appears better than the long-only one. This two results mean that in these few
instances that the long/short approach wins it wins big time. An example will make this clearer.
Consider the case of the largest evaluation sample (S1) of n1 = 2558 observations. The percentage of
times that the long-only strategy is better is 67% with an average difference in total return of 24%; for
the remainder 23% of the time that the long/short strategy wins it does so with an average difference in
total return of 38%! This qualitative characteristic appears also for all other evaluation periods as well.
For the aggressive forex investor these are results of practical significance and lend support to the idea
behind the proposed modification in a long/short setting. However, there are two caveats here: the first
relates to the other performance measures where, as in the case of ETFs, we have that the long-only
approach is better and the second relates to the fact that the success of the long/short approach is more
dependent on the correct choice of the moving average method and the look-back parameters. One
could easily consider these two points to correspond to a risk premium that the aggressive investor
will have to incur when using the long/short approach, in anticipation of higher total return.
The results on the rest of the currency pairs become even more interesting by their performance
diversity: for some pairs the long/short strategy is dominant for others it is not. Looking next at the
USD/JPY (tables 16 and 17) pair we find that the percentage of times that the long-only strategy wins is
about the same as in the EUR/USD pair but the average total return performance is about equal for the
two strategies (in fact is slightly better for the long-only case). A qualitatively similar performance to the
EUR/USD and the USD/JPY pairs have two other euro pairs, namely the EUR/GBP and EUR/JPY
ones. However, the results on the rest three pairs (USD/CHF, GBP/USD and EUR/CHF) is markedly
different. The results for the USD/CHF pair provide very strong support in favor of the long/short
approach across all performance measures (save except the drawdown duration). In terms of the average
difference in total return the long/short strategy strongly dominates the long-only one, both in terms of

12

the percentage of times that it is better and in terms of magnitude of total return. Furthermore, here
we find that in many cases the maximum drawdown is lower for the long/short case - although across all
combinations it is still safer to use the long-only approach based on drawdown considerations. Similar
to the USD/CHF pair are those of GBP/USD and EUR/CHF, with the GBP/USD pair exhibiting
the same strong performance for the long/short approach and with the EUR/CHF pair to have more
balanced results among the two appoaches.
Taken together these results offer support to draw some practical conclusions on the behavior of the
long-only and the long/short approaches: (a) if maximum drawdown is the prime consideration then
go with the long-only approach; (b) if average performance is the prime consideration also go with the
long-only approach; (c) if cumulative perfomance is the prime consideration then the long-only approach
will be a conservative one to take, so adjust the approach used based on the kind of asset being traded
(d) for the investor that wishes to agressively trade currencies a carefully backtested modified long/short
strategy is recommended.

Concluding remarks

In this paper we extend our earlier work PT (2011) on a modification of the standard price and moving
average cross-over trading strategy by allowing short sales. In doing so the nature of the dynamically
update threshold of the first paper change from a dynamic trailing stop to a dynamic trailing stopand-reverse. The presence of short sales makes (obviously) the strategy more aggressive as the investor
is always in the market and increases the number of trades. However, our results clearly lend strong
support to the modified approach and are practically interesting from many perspective.
First, the higher uncertainty from the long/short approach is manifested in lowest success rates,
i.e. in the proportion of times that the modified strategy is better than the plain moving average
strategy is lower here compared to the long-only approach. Second, this higher uncertainty is more
than compensated by the increased total return and reduced maximum drawdown and its duration
within the long/short approach, i.e. when comparing the modified with the standard strategies: we
have that the modified strategy now wins fewer times but when it does it is by a larger margin than
the standard strategy. Third, we now observe larger disparities in the performance among moving
average types and look-back combinations, than in the case of the long-only strategy. All the above
taken together imply that when an investor uses the long/short modified approach a better parameter
calibration will be required to achieve optimal performance. Fourth, in currency trading the modified
long/short strategy is not as successful as the modified long-only strategy, meaning that the modified
and standard approaches are basically on par with one another. Fifth, all our results strongly support
that the modified strategy is beneficial in reducing drawdown compared to the standard strategy, and
13

this holds for both the long/short and the long-only approaches.
Viewing the results from this and our previous paper in their totality, we can see that the proposed
modification works very well in reducing risk whether in long-only or in long/short mode. As maximum
drawdown is an important risk factor to most traders, based on this evaluation criterion our modification
works very well. However, it offers differential performance in terms of returns: if higher average returns
are wanted then the proposal is to go with the long-only approach; if higher cumulative returns are
wanted then the long-only approach would be the conservative strategy and the long/short approach
would be the aggressive strategy to use, with the latter being more sensitive to the choice of parameters
and the asset being traded. Finally, for the investor that wishes to aggressively trade currencies a
carefully backtested modified long/short strategy is recommended.
Important issues that now form part of our current research on this method include the use of data
from higher (intraday) and lower (monthly) frequencies and the use of the modified signals to rank
assets within a fixed universe and to construct subset portfolios based on these ranks.

14

References

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Stochastic Properties of Stock Returns, The Journal of Finance, vol. 47, pp. 1731-1764.
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previously published in 2007 at the Journal of Wealth Management.
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John Wiley.
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8. G. Friesen, P. Weller and L. Dunham (2009): Price Trends and Patterns in Technical Analysis: A
Theoretical and Empirical Examination, Journal of Banking and Finance, vol. 33, pp. 1089-1100.
9. R. Harris and F. Yilmaz (2009): A Momentum Trading Strategy based on the Low Frequency
Component of the Exchange Rate, Journal of Banking and Finance, vol. 33, pp. 1575-1585.
10. R. Hodrick and E. Prescott (1997): Post-war US Business Cycles: An Empirical Investigation,
Journal of Money, Credit and Banking, vol. 29, pp. 117.
11. B. LeBaron (1999): Technical Trading Rule Profitability and Foreign Exchange Intervention,
Journal of International Economics, vol. 49, pp. 125173.
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Algorithms, Statistical Inference, and Empirical Implementation, The Journal of Finance, vol.
55, pp. 1705-1765.
13. C. J., Neely (1997): Technical Analysis in the Foreign Exchange Market: A Laymans Guide,
Review September/October 1997, Federal Bank of St. Louis, 23-38.
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Working Paper, Federal Reserve of St. Louis.

15

15. J., Nicolau (2007): A Discrete and a Continuous-time Model Based on a Technical Trading Rule,
Journal of Financial Econometrics, vol. 5, pp. 266-284.
16. J. Okunev and D. White (2003): Do Momentum-Based Strategies Still Work in Foreign Currency
Markets?, Journal of Financial and Quantitative Analysis, vol. 38, pp. 425-447.
17. F. Papailias and D. Thomakos (2011): An Improved Moving Average Technical Trading Rule,
Working Paper, Available at SSRN since Sep 11, 2011, http://ssrn.com/abstract=1926376.
18. Y., Zhu and G., Zhou (2009): Technical Analysis: An Asset Allocation Perspective on the Use
of Moving Averages, Journal of Financial Economics, vol. 92, pp. 519-544.

16

150

ETF closing prices

SPY
QQQQ
XLF
XLE

50

price

100

EWJ

10/2001

03/2003

10/2007

03/2009

04/01/1999 12/11/2010 Daily Data

Figure 1: ETF data series and evaluation sample splits

1.2
1.0
0.8

spot rate

1.4

1.6

EUR/USD exchange rate

06/2001

11/2002

02/2006

03/2009

03/01/2000 13/04/2011 Daily Data

Figure 2: EUR/USD data series and evaluation sample splits

17

Table 1. Strategy evaluation statistics for SPY

M A1

M A2

W M A1

W M A2

EM A1

M AC O

W M AC O

EM AC O

k1 = 20

TR

-0.19

-0.13

0.43

1.30

0.55

EM A2

0.07

0.31

0.40

-0.05

k2 = 50

AR

-0.03

-0.01

0.05

0.11

0.07

0.01

0.04

0.04

n1 =2297

0.00

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.12

-0.06

0.22

0.48

0.31

0.03

0.17

0.18

-0.02

MD

-0.07

0.24

-0.62

-0.41

-1.24

0.30

0.17

-0.45

0.29

MDD

938

-603

-1243

-681

752

500

-518

-2

NoTr

98

86

64

108

82

68

114

154

106

k1 = 20

TR

-0.19

0.62

0.43

-0.44

0.55

0.51

0.65

-0.21

-0.06

k2 = 100

AR

-0.03

0.06

0.05

-0.03

0.07

0.04

0.05

-0.02

-0.01

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00
-0.03

SR

-0.12

0.27

0.22

-0.15

0.31

0.19

0.21

-0.09

MD

-0.07

-0.19

-0.62

0.11

-1.24

-0.24

-0.22

0.62

0.23

MDD

-530

-603

454

-681

-1201

-553

941

-1020

82

56

k1 = 50

TR

-0.13

0.95

1.30

0.16

-0.13

1.24

0.17

0.64

0.27

k2 = 200

NoTr

AR

-0.01

98

0.06

92

0.11

64

0.01

66

-0.01

0.10

0.01

88

0.04

134

0.02

92

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.06

0.29

0.48

0.06

-0.05

0.45

0.04

0.20

0.09

MD

0.24

0.04

-0.41

0.15

0.30

-0.17

-0.03

0.00

0.11

MDD

938

224

-1243

438

752

185

-632

-156

NoTr

86

38

108

38

78

32

30

62

12

n1 =787
k1 = 20

TR

-0.24

-0.01

0.02

0.35

0.38

0.11

0.16

0.05

-0.10

k2 = 50

AR

-0.08

0.00

0.00

0.10

0.12

0.03

0.05

0.01

-0.02

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.27

-0.01

0.02

0.34

0.40

0.09

0.18

0.04

-0.08

MD

0.34

0.00

-0.18

-0.02

-0.41

0.03

-0.16

0.15

0.04

MDD

132

-244

-224

-232

-227

67

-31

NoTr

28

34

24

36

22

14

42

54

26

k1 = 20

TR

-0.24

0.07

0.02

-0.14

0.38

0.42

-0.05

0.09

-0.10

k2 = 100

AR

-0.08

0.02

0.00

-0.04

0.12

0.11

-0.01

0.02

-0.04

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.27

0.06

0.02

-0.13

0.40

0.36

-0.04

0.07

-0.11

-0.18

0.29

MD

0.34

0.07

-0.18

0.07

-0.41

-0.05

0.00

MDD

132

24

-244

-79

-232

-219

-57

17

NoTr

28

28

24

18

22

12

38

44

34

k1 = 50

TR

-0.01

0.43

0.35

0.11

0.09

-0.23

0.28

-0.24

-0.22

k2 = 200

AR

0.00

0.12

0.10

0.03

0.02

-0.13

0.07

-0.06

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.01

0.42

0.34

0.08

0.07

-0.40

0.22

-0.20

-0.31

MD

0.00

-0.10

0.04

-0.02

0.01

0.03

0.03

-0.03

0.06

0.31

MDD

-224

-28

144

159

144

NoTr

34

30

36

22

12

16

18

24

n1 =431
k1 = 20

TR

-0.20

0.50

-0.14

0.09

-0.18

-0.05

0.80

0.73

k2 = 50

AR

-0.11

0.25

-0.07

0.04

-0.09

-0.03

0.39

0.32

0.01

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.52

1.15

-0.34

0.21

-0.48

-0.19

1.83

1.49

0.06

MD

0.34

0.08

0.23

0.14

0.22

0.10

-0.09

-0.08

0.02

66

-284

MDD

90

17

73

-16

-14

0.02

-66

NoTr

12

16

12

12

16

14

12

k1 = 20

TR

-0.20

0.55

-0.14

0.52

-0.18

0.06

0.49

0.75

-0.03

k2 = 100

AR

-0.07

-0.02

-0.11

0.28

-0.09

0.04

0.22

0.36

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.52

1.32

-0.34

1.28

0.27

-0.48

0.24

1.04

1.68

-0.14
0.05

MD

0.34

-0.15

0.23

-0.11

0.22

0.00

-0.01

-0.18

MDD

90

-116

17

-333

-16

-49

-66

-66

NoTr

12

12

20

16

k1 = 50

TR

0.50

0.70

0.09

0.73

-0.15

0.10

0.83

0.50

0.00

k2 = 200

AR

0.25

0.40

0.04

0.32

0.12

0.43

0.25

0.00

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

1.15

1.87

0.21

1.50

-0.49

0.64

2.00

1.15

0.02
0.05

-0.09

MD

0.08

-0.27

0.14

-0.10

0.10

-0.02

-0.29

-0.08

MDD

-284

73

-97

66

-96

-284

-125

NoTr

16

12

12

12

12

12

10

18

Average across n1 given k1 , k2

k1 = 20

TR

-0.15

0.11

0.23

0.67

0.39

0.09

0.40

0.39

-0.11

k2 = 50

AR

-0.05

0.06

0.01

0.09

0.05

0.01

0.13

0.10

-0.01

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.22

0.28

0.06

0.37

0.18

0.01

0.59

0.47

-0.05

MD

-1

MDD

-107

110

-492

-557

-371

112

-50

-161

-25

k1 = 20

TR

-0.15

0.40

0.23

-0.07

0.39

0.32

0.38

0.09

-0.10

k2 = 100

AR

-0.05

0.10

0.01

0.05

0.05

0.06

0.07

0.08

-0.02

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.22

0.46

0.06

0.23

0.18

0.24

0.35

0.39

-0.10

MD

0.15

-0.09

-0.26

0.04

-0.62

-0.09

-0.13

MDD

-107

-268

-492

11

-371

-569

-307

317

-322

k1 = 50

TR

0.11

0.70

0.67

0.32

0.00

0.42

0.51

0.19

-0.08

k2 = 200

AR

0.06

0.16

0.09

0.10

0.04

0.14

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.28

0.72

0.37

0.44

-0.10

0.26

0.62

0.27

-0.09

MD

0.08

-0.04

-0.17

-0.01

0.10

-0.08

-0.09

0.01

0.15

MDD

110

41

-557

-96

112

12

-25

-20

-3

-0.02

0.18

0.05

0.22

-0.03

Notes: (1) Table entries have the differences in strategy evaluation statistics between the proposed modified rule and the standard cross-over rules as
in section 2.2; (2) M Ai denotes price cross-over based on ki and W M Ai , EM Ai denote weighted and exponential moving averages respectively; (3)
M ACO, W M ACO and EM ACO denote the moving averages cross-over strategies; (4) T R denotes total return, AR annualized return, SD annualized
std. deviation, SR annualized Sharpe ratio, M D maximum drawdown, M DD maximum drawdown duration (in days) and N oT r number of trades.

18

Table 2. Strategy evaluation statistics for QQQQ

M A1

M A2

W M A1

W M A2

EM A1

M AC O

W M AC O

k1 = 20

TR

-0.04

0.80

0.15

-0.35

0.48

EM A2

0.74

0.64

1.17

EM AC O

0.54

k2 = 50

AR

-0.01

0.07

0.02

-0.03

0.04

0.05

0.08

0.10

0.04

n1 =2297

SD

0.00

0.00

0.00

0.00

SR

-0.02

0.25

0.07

-0.10

0.17

0.20

0.29

0.38

0.17

MD

0.03

-0.27

0.23

0.04

-0.27

-0.25

-0.02

0.11

-0.54

217

-534

308

-1361

-285

-532

-210

MDD

-49

0.00

0.00

0.00

0.00

0.00

NoTr

98

86

54

102

62

66

126

128

112

k1 = 20

TR

-0.04

0.78

0.15

1.59

0.48

0.51

0.01

0.18

0.39

k2 = 100

AR

-0.01

0.05

0.02

0.10

0.04

0.04

0.00

0.02

0.03

SD

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.02

0.19

0.07

0.36

0.17

0.15

0.00

0.07

0.13

MD

0.03

-0.13

0.23

-0.22

0.00

-0.27

0.00

-0.24

0.00

0.10

0.20

0.23

MDD

217

-317

-49

-629

-1361

-257

325

377

-20

NoTr

98

92

54

68

62

56

96

128

90

k1 = 50

TR

0.80

1.46

-0.35

0.28

0.49

0.99

-0.33

0.86

0.31

k2 = 200

AR

0.07

0.10

-0.03

0.04

0.03

0.09

-0.04

0.08

0.03

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.25

0.37

-0.10

0.15

0.13

0.35

-0.16

0.30

0.12

MD

-0.27

-0.20

0.04

-0.02

-0.25

-0.57

0.37

-0.29

-0.13

MDD

-534

-325

308

-285

-765

536

-1081

-795

NoTr

86

52

102

84

62

54

66

74

52

n1 =787
k1 = 20

TR

-0.16

0.38

-0.08

-0.53

-0.05

0.68

0.60

1.00

k2 = 50

AR

-0.05

0.09

-0.02

-0.12

-0.02

0.15

0.19

0.23

0.06

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.22

SR

-0.17

0.31

-0.07

-0.40

-0.05

0.51

0.63

0.79

0.21

MD

-0.06

0.02

0.10

0.14

0.13

-0.17

-0.45

-0.31

0.10

MDD

-84

-29

-274

-249

-139

-265

-301

15

NoTr

40

26

16

30

20

16

48

46

32

k1 = 20

TR

-0.16

-0.23

-0.08

0.65

-0.05

-0.03

-0.46

0.18

-0.09

k2 = 100

AR

-0.05

-0.05

-0.02

0.14

-0.02

-0.01

-0.16

0.05

-0.03

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.17

-0.16

-0.07

0.47

-0.05

-0.03

-0.52

0.17

-0.10

-0.05

0.10

MD

-0.06

0.17

0.10

-0.21

0.13

0.03

0.30

MDD

-84

66

-274

-91

-249

-20

522

76

NoTr

40

28

16

10

20

24

48

44

36

0.01

0.56

0.53

k1 = 50

TR

0.38

-0.02

-0.53

0.03

-0.15

-0.55

k2 = 200

AR

0.09

-0.01

-0.12

0.00

0.12

0.17

0.01

-0.05

-0.19

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.31

-0.02

-0.40

0.01

0.41

0.55

0.04

-0.17

-0.63

-0.05

-0.15

MD

0.02

0.14

0.10

-0.17

0.02

0.06

0.32

MDD

-29

220

-139

166

75

NoTr

26

30

30

26

14

16

32

44

n1 =431
k1 = 20

TR

0.21

0.41

-0.05

-0.13

-0.12

0.10

0.66

0.67

k2 = 50

AR

0.12

0.18

-0.03

-0.06

-0.07

0.06

0.34

0.30

0.07

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.11

SR

0.54

0.86

-0.12

-0.27

-0.35

0.30

1.56

1.39

0.36

MD

0.13

-0.10

0.22

0.32

0.18

-0.06

-0.17

-0.13

0.13

MDD

-245

-75

47

-120

66

-66

-88

NoTr

10

-2

10

18

12

14

k1 = 20

TR

0.21

0.20

-0.05

0.42

-0.12

0.02

0.22

0.49

-0.19

k2 = 100

AR

0.12

0.09

-0.03

0.17

-0.07

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.54

0.40

-0.12

0.81

-0.35

0.08

0.51

1.07

-0.77
0.16

0.02

0.11

0.23

-66

-0.15

MD

0.13

0.01

0.22

-0.06

0.18

-0.07

0.20

0.01

MDD

-245

-89

-75

-66

-120

-23

-66

NoTr

10

12

-2

16

22

18

18

k1 = 50

TR

0.41

0.95

-0.13

0.43

0.00

-0.01

0.74

0.43

-0.04

k2 = 200

AR

0.18

0.42

-0.06

0.23

-0.02

0.35

0.20

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.86

1.97

-0.27

1.05

-0.01

-0.09

1.64

0.95

-0.20

MD

-0.10

-0.26

0.32

-0.14

-0.06

-0.01

-0.34

0.00

0.04

MDD

-133

47

-29

66

-284

-58

NoTr

12

10

12

14

14

14

1.33

0.35

0.00

-0.04

Average across n1 given k1 , k2

k1 = 20

TR

0.09

0.65

0.17

k2 = 50

AR
SD
SR

-0.25

0.27

0.03

0.11

0.01

0.00

0.00

0.00

0.00

0.00

0.15

0.46

0.04

-0.19

0.03

MD

-0.06

-0.15

0.12

0.13

-0.04

MDD

-300

-455

-307

102

-744

-0.05

0.01

0.62

0.63

0.09

0.17

0.20

0.06

0.00

0.00

0.00

0.00

0.35

0.71

0.82

0.25

-0.21

-0.20

-0.17

-0.21

-410

-137

-511

-200

k1 = 20

TR

0.09

0.37

0.17

1.02

0.27

0.27

-0.07

0.32

0.15

k2 = 100

AR

0.03

0.03

0.01

0.13

0.01

0.03

-0.01

0.09

-0.02

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.15

0.16

0.04

0.52

0.03

0.11

-0.01

0.38

-0.13

-0.04

MD

-0.06

-0.03

0.12

-0.22

-0.04

MDD

-300

-164

-307

-295

-744

-76

212

73

-92

k1 = 50

TR

0.65

0.64

-0.25

0.23

0.44

0.40

0.08

0.23

-0.01

k2 = 200

AR

0.11

0.13

-0.05

0.07

0.06

0.08

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.46

0.60

-0.19

0.33

0.21

0.22

0.36

0.25

-0.14

MD

-0.15

-0.14

0.13

-0.02

-0.21

-0.18

-0.02

-0.04

-0.04

MDD

-455

-114

102

-3

-410

-151

63

-172

-391

0.06

0.08

0.06

0.05

0.09

-0.04

Notes: (1) Table entries have the differences in strategy evaluation statistics between the proposed modified rule and the standard cross-over rules as
in section 2.2; (2) M Ai denotes price cross-over based on ki and W M Ai , EM Ai denote weighted and exponential moving averages respectively; (3)
M ACO, W M ACO and EM ACO denote the moving averages cross-over strategies; (4) T R denotes total return, AR annualized return, SD annualized
std. deviation, SR annualized Sharpe ratio, M D maximum drawdown, M DD maximum drawdown duration (in days) and N oT r number of trades.

19

Table 3. Strategy evaluation statistics for XLE

M A1

M A2

W M A1

W M A2

EM A1

M AC O

W M AC O

k1 = 20

TR

0.12

-0.01

0.11

0.22

0.03

EM A2

0.09

0.35

0.13

EM AC O

0.95

k2 = 50

AR

0.06

0.00

0.09

0.07

0.02

0.02

0.09

0.03

0.11

n1 =2297

0.00

0.00

SR

0.19

-0.01

0.27

0.21

0.05

0.07

0.27

0.11

0.36

MD

SD

-2.99

0.04

-8.30

-1.29

-1.49

0.10

-1.95

-0.92

-1.66

MDD

-1083

-1004

-804

-804

-4

0.00

0.00

0.00

0.00

-141

0.00

0.00

0.00

-644

NoTr

72

120

74

100

18

76

142

136

118

k1 = 20

TR

0.12

0.18

0.11

0.24

0.03

-0.21

-0.44

1.00

-0.89

k2 = 100

AR

0.06

0.02

0.09

0.07

0.02

-0.02

-0.06

0.12

-0.10

0.00

0.00

0.00

0.00

0.00

SR

0.19

0.07

0.27

0.23

0.05

-0.07

-0.17

0.37

-0.32

MD

SD

-2.99

0.00

-0.39

0.00

-8.30

0.00

-2.56

0.00

-1.49

0.53

1.27

-2.48

1.31

MDD

-1083

-83

470

446

-631

530

NoTr

72

32

74

86

18

38

118

98

104

k1 = 50

TR

-0.01

-0.16

0.22

-0.15

0.16

1.03

0.09

-0.38

0.93

k2 = 200

AR

0.00

-0.01

0.07

-0.01

0.03

0.11

0.00

-0.02

0.04

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.01

-0.04

0.21

-0.04

0.11

0.35

0.01

-0.07

0.14
0.31

MD

0.04

0.01

-1.29

0.06

0.38

-1.30

0.00

0.58

MDD

-4

-1004

532

380

-623

-123

-3

NoTr

120

48

100

70

76

44

38

58

22

0.25

0.26

n1 =787
k1 = 20

TR

-0.10

-0.11

-0.08

-0.31

-0.17

-0.13

k2 = 50

AR

-0.08

-0.05

-0.08

-0.13

-0.14

-0.06

0.09

0.12

0.12

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.17

0.00

0.00

SR

-0.19

-0.12

-0.19

-0.30

-0.33

-0.14

0.22

0.28

0.27

MD

0.36

0.50

2.21

0.08

1.24

0.04

-0.70

0.17

0.08

MDD

62

120

-57

-247

NoTr

26

52

24

30

16

56

50

32

k1 = 20

TR

-0.10

-0.03

-0.08

0.04

-0.17

-0.05

-0.39

0.38

-0.31

k2 = 100

AR

-0.08

-0.01

-0.08

0.02

-0.14

-0.02

-0.18

0.16

-0.19

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.19

-0.03

-0.19

0.06

-0.33

-0.04

-0.41

0.38

-0.42

MD

0.36

0.82

-0.44

2.21

-0.57

1.24

-0.04

0.47

-0.10

MDD

62

120

-57

247

-247

NoTr

26

16

24

48

14

50

40

42
-0.18

k1 = 50

TR

-0.11

-0.22

-0.31

-0.17

-0.12

0.11

-0.60

-0.42

k2 = 200

AR

-0.05

-0.11

-0.13

-0.08

-0.06

0.08

-0.25

-0.21

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.12

-0.25

-0.30

-0.18

-0.14

0.17

-0.58

-0.48

-0.23

MD

0.08

-0.15

-0.11

-0.11

0.50

0.07

0.04

-1.31

0.60

0.85

MDD

247

51

247

247

51

NoTr

52

22

30

38

22

12

38

44

12

n1 =431
k1 = 20

TR

-0.01

0.08

0.24

0.09

-0.22

-0.06

0.59

-0.25

0.00

k2 = 50

AR

-0.01

0.05

0.15

0.07

-0.13

-0.05

0.43

-0.17

0.00

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.03

0.19

0.55

0.24

-0.49

-0.20

1.57

-0.60

0.01

MD

0.42

0.27

-0.36

0.21

0.12

0.05

-0.71

0.69

-0.03

MDD

-73

-67

17

-73

-67

264

NoTr

18

22

14

20

14

28

24

26

k1 = 20

TR

-0.01

0.41

0.24

0.35

-0.22

-0.16

0.30

0.41

-0.49

k2 = 100

AR

-0.13

-0.16

-0.01

0.31

0.15

0.28

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.03

1.12

0.55

1.00

-0.49

-0.68

0.68

0.19

0.98

0.27

-1.99

-0.47

-0.10

0.73

MD

0.42

-0.31

-0.36

-0.51

0.12

0.03

0.01

MDD

-73

-285

-15

-73

115

-44

NoTr

18

12

14

24

14

24

28

20

k1 = 50

TR

0.08

0.61

0.09

0.49

-0.09

0.14

0.35

0.20

0.38

k2 = 200

AR

0.05

0.35

0.07

0.32

-0.07

0.19

0.19

0.13

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.19

1.28

0.24

1.15

-0.29

0.80

0.67

0.47

2.28

MD

0.27

-0.26

0.21

-0.33

0.09

-0.20

-0.16

0.13

-0.35

MDD

-67

-285

17

-197

-72

-13

-44

-66

NoTr

22

20

18

16

12

20

20

0.08

0.54

0.01

0.09

187

0.54

Average across n1 given k1 , k2

k1 = 20

TR

0.05

-0.05

0.12

k2 = 50

-0.02

-0.09

-0.04

-0.07

-0.03

0.40

AR

0.01

-0.01

0.06

0.00

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.04

-0.01

0.23

0.02

-0.20

-0.08

0.60

-0.02

0.26

MD

-0.51

0.38

-1.83

-0.11

0.29

0.05

-1.18

-0.13

-0.82

-204

-197

0.18

0.00

MDD

-404

-18

-240

-102

-35

-218

k1 = 20

TR

0.05

0.25

0.12

0.27

-0.09

-0.14

-0.26

0.69

-0.57

k2 = 100

AR

0.01

0.09

0.06

0.12

-0.07

-0.05

-0.03

0.17

-0.21

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.04

0.33

0.23

0.41

-0.20

-0.21

-0.03

0.54

-0.74

MD

-1.83

-1.55

0.76

-1.29

1.04

0.29

-0.51

-0.38

MDD

-404

-113

-240

-19

-102

252

51

-377

312

k1 = 50

TR

-0.05

0.03

-0.02

0.02

-0.04

0.46

-0.18

-0.39

0.22

k2 = 200

AR

-0.04

0.12

-0.03

0.26

-352

-0.01

0.06

0.00

0.05

0.11

-0.02

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.01

0.24

0.02

0.22

-0.10

0.39

0.01

-0.07

0.53

MD

0.38

-0.04

-0.11

-0.09

0.14

-1.03

0.11

0.54

0.04

MDD

-18

-10

-204

217

95

-317

28

50

-4

0.00

Notes: (1) Table entries have the differences in strategy evaluation statistics between the proposed modified rule and the standard cross-over rules as
in section 2.2; (2) M Ai denotes price cross-over based on ki and W M Ai , EM Ai denote weighted and exponential moving averages respectively; (3)
M ACO, W M ACO and EM ACO denote the moving averages cross-over strategies; (4) T R denotes total return, AR annualized return, SD annualized
std. deviation, SR annualized Sharpe ratio, M D maximum drawdown, M DD maximum drawdown duration (in days) and N oT r number of trades.

20

Table 4. Strategy evaluation statistics for EWJ

M A1

M A2

W M A1

W M A2

EM A1

M AC O

W M AC O

k1 = 20

TR

-0.10

-0.30

-0.47

-0.03

-0.42

EM A2

0.36

-0.32

-0.89

EM AC O

0.34

k2 = 50

AR

-0.02

-0.03

-0.13

0.00

-0.08

0.03

-0.03

-0.14

0.03

n1 =2297

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.06

-0.11

-0.51

-0.01

-0.33

0.13

-0.11

-0.55

0.13

MD

0.36

0.18

2.92

0.02

0.90

0.31

-0.06

1.66

-0.35

51

1697

MDD

-305

-2

746

0.00

-665

0.00

-506

NoTr

121

106

127

114

97

106

132

158

134

k1 = 20

TR

-0.10

-0.06

-0.47

0.38

-0.42

0.34

-0.20

0.08

-0.01

k2 = 100

AR

-0.02

-0.01

-0.13

0.05

-0.08

0.03

-0.02

0.01

0.00

0.00

0.00

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.06

-0.02

-0.51

0.19

-0.33

0.12

-0.08

0.03

MD

0.36

0.26

2.92

-0.22

0.90

0.00

0.27

-0.45

0.01

-305

746

-1601

-665

-523

-523

-508

-523

MDD
NoTr

121

116

0.00

96

127

110

97

92

104

k1 = 50

TR

-0.30

0.37

-0.03

0.66

0.46

0.08

-0.17

-0.63

-0.42

k2 = 200

AR

-0.03

0.04

0.00

0.07

0.04

0.01

-0.02

-0.10

-0.04

130

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.11

0.14

-0.01

0.28

0.17

0.04

-0.10

-0.39

-0.17

MD

0.18

-0.22

0.02

0.16

0.31

-0.29

0.12

1.27

0.18

MDD

-2

-523

-523

-523

223

523

181

NoTr

106

76

114

104

106

74

78

88

40

n1 =787
k1 = 20

TR

-0.24

-0.05

-0.50

-0.22

-0.54

0.00

-0.22

-0.18

-0.04

k2 = 50

AR

-0.09

-0.02

-0.29

-0.08

-0.26

0.00

-0.06

-0.06

-0.01

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.30

-0.06

-0.93

-0.26

-0.84

0.00

-0.19

-0.20

-0.04

MD

0.72

0.32

1.56

0.09

0.82

0.10

0.13

0.21

-0.05

MDD

559

255

115

249

NoTr

65

50

53

66

45

50

56

52

56

k1 = 20

TR

-0.24

-0.09

-0.50

0.28

-0.54

-0.08

-0.55

0.07

-0.14

k2 = 100

AR

-0.09

-0.03

-0.29

0.11

-0.26

-0.03

-0.20

0.02

-0.06

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.30

-0.08

-0.93

0.35

-0.84

-0.08

-0.65

0.07

-0.19

0.00

0.37

-0.09

0.34

MD

0.72

0.00

1.56

-0.04

0.82

MDD

559

255

115

NoTr

65

36

53

60

45

38

56

56

46
-0.25

k1 = 50

TR

-0.05

-0.20

-0.22

0.21

0.11

-0.37

-0.15

-0.14

k2 = 200

AR

-0.02

-0.06

-0.08

0.07

0.04

-0.20

-0.05

-0.06

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.06

-0.20

-0.26

0.22

0.11

-0.61

-0.17

-0.18

-0.44

MD

0.32

0.02

0.09

-0.10

0.10

-0.15

0.10

0.27

0.29

0.12

MDD

159

159

NoTr

50

16

66

42

52

26

32

28

30

0.03

n1 =431
k1 = 20

TR

0.52

0.39

0.07

0.01

-0.27

0.16

0.24

0.19

k2 = 50

AR

0.23

0.21

0.04

0.01

-0.15

0.10

0.12

0.11

0.02

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

1.15

1.04

0.17

0.02

-0.83

0.56

0.62

0.53

0.12

0.03

0.09

-0.03

MD

-0.09

-0.18

0.14

0.13

0.16

-0.05

MDD

-21

-157

-18

16

161

16

NoTr

43

28

37

30

29

24

36

32

36

k1 = 20

TR

0.52

0.23

0.07

0.32

-0.27

0.03

0.02

0.33

-0.27

k2 = 100

AR

0.23

0.13

0.04

0.19

0.02

0.01

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

1.15

0.64

0.17

0.92

-0.83

0.13

0.07

0.84

-1.51

-0.08

0.39

-0.15

0.17

-0.25

MD

-0.09

-0.08

0.14

-0.19

0.16

-0.04

0.30

MDD

-21

-129

-18

-312

161

-149

-129

NoTr

43

14

37

26

29

28

30

38

42

k1 = 50

TR

0.39

0.53

0.01

0.52

0.15

-0.16

0.53

0.33

0.23

k2 = 200

AR

0.21

0.28

0.01

0.31

0.09

-0.19

0.33

0.21

0.26

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

1.04

1.36

0.02

1.53

0.54

-1.11

1.61

1.04

1.56

MD

-0.18

-0.23

0.13

-0.25

-0.04

0.05

-0.15

0.07

-0.21

MDD

-157

-314

16

-129

58

36

-278

-278

-65

NoTr

28

30

20

32

16

24

22

18

-0.40

0.14

Average across n1 given k1 , k2

k1 = 20

TR

0.05

0.01

-0.32

k2 = 50

AR

0.03

0.04

SD

0.00

0.00

0.00

0.00

SR

0.20

0.22

-0.41

-0.07

MD

0.34

0.12

1.51

0.07

MDD

-33

-40

135

-0.12

-0.07
-0.02

-0.40

0.16

-0.09

-0.14

0.04

0.01

-0.05

0.02

0.00

0.00

0.00

0.00

0.00

-0.58

0.19

0.07

-0.15

0.08

0.70

0.17

0.01

0.73

-0.19

-264

88

724

-253

k1 = 20

TR

0.05

0.05

-0.32

0.36

-0.40

0.13

-0.14

0.20

-0.05

k2 = 100

AR

0.03

0.03

-0.12

0.10

-0.14

0.01

-0.05

0.06

-0.07

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.20

0.15

-0.41

0.42

-0.58

0.07

-0.15

0.27

-0.39

MD

0.34

0.11

-0.27

1.51

-0.17

0.70

-0.01

0.30

MDD

-33

-32

135

-605

-264

-299

-294

-254

-262

k1 = 50

TR

0.01

0.29

-0.07

0.45

0.21

-0.08

0.01

-0.21

-0.21

k2 = 200

AR

0.04

0.08

-0.02

0.13

0.05

-0.09

0.00

0.00

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.22

0.38

-0.07

0.56

0.22

-0.39

0.31

0.05

0.17

MD

0.12

-0.16

0.07

-0.01

0.17

-0.04

0.10

0.72

0.08

MDD

-40

-340

-294

15

-213

250

192

372

0.06

0.19

Notes: (1) Table entries have the differences in strategy evaluation statistics between the proposed modified rule and the standard cross-over rules as
in section 2.2; (2) M Ai denotes price cross-over based on ki and W M Ai , EM Ai denote weighted and exponential moving averages respectively; (3)
M ACO, W M ACO and EM ACO denote the moving averages cross-over strategies; (4) T R denotes total return, AR annualized return, SD annualized
std. deviation, SR annualized Sharpe ratio, M D maximum drawdown, M DD maximum drawdown duration (in days) and N oT r number of trades.

21

Table 5. Strategy evaluation statistics for EUR/USD

M A1

M A2

W M A1

W M A2

EM A1

M AC O

W M AC O

k1 = 5

TR

-0.29

-0.10

-0.20

-0.47

-0.13

EM A2

-0.42

0.44

-0.65

EM AC O

0.61

k2 = 20

AR

-0.06

-0.02

-0.05

-0.13

-0.03

-0.08

0.06

-0.08

0.06

n1 =2297

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.23

-0.06

-0.20

-0.51

-0.12

-0.33

0.24

-0.31

0.25

MD

1.07

0.36

1.50

2.92

0.66

0.90

-0.87

0.82

-1.12

299

-305

-1142

746

-187

-665

-425

1073

-386

MDD
NoTr

37

121

-27

97

0.00

127

-36

192

217

k1 = 10

TR

0.00

-0.10

-0.42

-0.47

-0.11

-0.42

-0.87

0.03

-0.52

k2 = 20

AR

0.00

-0.02

-0.09

-0.13

-0.04

-0.08

-0.11

0.00

-0.08

165

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.01

-0.06

-0.36

-0.51

-0.16

-0.33

-0.42

0.01

-0.32

MD

0.48

0.36

2.75

2.92

1.55

0.90

1.21

-0.47

1.03

-305

12

746

-665

551

558

-260

MDD

121

121

41

127

57

97

206

k1 = 20

TR

-0.10

-0.30

-0.47

-0.03

-0.42

0.36

-0.32

-0.89

0.34

k2 = 50

NoTr

AR

-0.02

-0.03

-0.13

0.00

-0.08

0.03

-0.03

-0.14

217

0.03

151

0.00

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.06

-0.11

-0.51

-0.01

-0.33

0.13

-0.11

-0.55

0.13

MD

0.36

0.18

2.92

0.02

0.90

0.31

-0.06

1.66

-0.35

MDD

-305

-2

746

-665

51

1697

-506

NoTr

121

106

127

114

97

106

132

158

134

n1 =1353
k1 = 5

TR

-0.26

-0.24

-0.34

-0.50

-0.31

-0.46

0.28

-0.58

-0.14

k2 = 20

AR

-0.11

-0.09

-0.19

-0.29

-0.15

-0.23

0.09

-0.19

-0.04

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.37

-0.30

-0.60

-0.93

-0.49

-0.74

0.29

-0.62

-0.14

MD

0.82

0.72

1.90

1.56

1.23

0.82

0.34

0.45

0.09

MDD

-8

559

-7

255

-31

115

27

528

169

NoTr

27

65

53

12

53

66

77

63

k1 = 10

TR

-0.19

-0.24

-0.40

-0.50

-0.24

-0.46

-0.30

0.27

-0.36

k2 = 20

AR

-0.29

-0.13

-0.23

-0.13

-0.08

0.10

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.28

-0.09

-0.30

-0.09

-0.66

-0.21

-0.93

-0.43

-0.74

-0.26

0.31

-0.42

MD

0.72

0.72

1.40

1.56

0.91

0.82

-0.09

-0.10

0.65

MDD

17

559

230

255

225

115

-119

-272

249

NoTr

43

65

25

53

11

53

54

91

63

k1 = 20

TR

-0.24

-0.05

-0.50

-0.22

-0.54

0.00

-0.22

-0.18

-0.04

k2 = 50

AR

-0.08

-0.26

0.00

-0.06

-0.06

-0.01

-0.09

-0.02

-0.29

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.30

-0.06

-0.93

-0.26

-0.84

0.00

-0.19

-0.20

-0.04

0.21

-0.05

MD

0.72

0.32

1.56

0.09

0.82

0.10

0.13

MDD

559

255

115

249

NoTr

65

50

53

66

45

50

56

52

56

n1 =539
k1 = 5

TR

0.05

0.52

0.00

0.07

0.03

-0.15

0.38

0.25

-0.15

k2 = 20

AR

0.03

0.23

0.00

0.04

0.02

-0.10

0.20

0.13

-0.09

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.13

1.15

0.00

0.17

0.09

-0.57

0.98

0.65

-0.51
0.11

MD

-0.05

-0.09

0.00

0.14

-0.08

0.16

-0.02

0.03

MDD

-238

-21

-130

-18

-153

161

88

50

NoTr

-3

43

-9

37

-8

37

34

43

29

k1 = 10

TR

0.38

0.52

0.29

0.07

0.18

-0.23

0.08

0.38

-0.19

k2 = 20

AR

0.21

0.23

0.16

0.04

0.10

-0.15

0.04

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

1.05

1.15

0.81

0.17

0.50

-0.83

0.19

1.02

-0.75

MD

-0.04

-0.09

-0.06

0.14

0.11

0.16

0.06

-0.05

0.29

MDD

-282

-21

-132

-18

-47

161

141

10

0.21

48

-0.14

171

NoTr

21

43

37

13

37

28

39

31

k1 = 20

TR

0.52

0.39

0.07

0.01

-0.27

0.16

0.24

0.19

0.03

k2 = 50

AR

0.23

0.21

0.04

0.01

-0.15

0.10

0.12

0.11

0.02

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

1.15

1.04

0.17

0.02

-0.83

0.56

0.62

0.53

0.12

MD

SD

-0.09

0.00

-0.18

0.14

0.13

0.16

-0.05

0.03

0.09

-0.03

0.00

MDD

-21

-157

-18

16

161

16

NoTr

43

28

37

30

29

24

36

32

36

Average across n1 given k1 , k2

k1 = 5

TR

-0.20

0.05

-0.23

-0.32

-0.14

-0.34

0.46

-0.42

0.20

k2 = 20

AR

-0.05

0.03

-0.08

-0.12

-0.05

-0.12

0.11

-0.06

0.00

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.18

0.20

-0.29

-0.41

-0.17

-0.48

0.47

-0.17

-0.03

MD

0.71

0.34

1.27

1.51

0.62

0.70

-0.35

0.53

-0.51

MDD

29

-33

-481

135

-140

-264

k1 = 10

TR

0.08

0.05

-0.22

-0.32

-0.06

-0.37

-0.40

0.20

-0.40

k2 = 20

AR

0.04

0.03

-0.06

-0.12

-0.02

-0.14

-0.05

0.08

-0.11

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.23

0.20

-0.14

-0.41

-0.04

-0.55

-0.19

0.35

-0.48

MD

0.41

0.34

1.71

-0.27

-139

0.87

0.70

MDD

-69

-33

31

135

48

-264

128

214

206

TR

0.05

0.01

-0.32

-0.07

-0.40

0.16

-0.09

-0.40

0.14

k2 = 50

AR

0.03

0.04

-0.14

0.04

0.01

-0.05

0.02

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.20

0.22

-0.41

-0.07

-0.58

0.19

0.07

-0.15

0.08

MD

0.34

0.12

1.51

0.07

0.70

0.17

0.01

0.73

-0.19

MDD

-33

-40

135

-264

88

724

-253

-0.02

0.39

681

k1 = 20

-0.12

1.51

-355

0.00

0.79

Notes: (1) Table entries have the differences in strategy evaluation statistics between the proposed modified rule and the standard cross-over rules as
in section 2.2; (2) M Ai denotes price cross-over based on ki and W M Ai , EM Ai denote weighted and exponential moving averages respectively; (3)
M ACO, W M ACO and EM ACO denote the moving averages cross-over strategies; (4) T R denotes total return, AR annualized return, SD annualized
std. deviation, SR annualized Sharpe ratio, M D maximum drawdown, M DD maximum drawdown duration (in days) and N oT r number of trades.

22

Table 6. Strategy evaluation statistics for USD/JPY

M A1

M A2

W M A1

W M A2

EM A1

M AC O

W M AC O

k1 = 5

TR

-0.23

-0.44

-0.34

-0.43

-0.48

EM A2

-0.25

-0.30

-0.51

EM AC O

-0.22

k2 = 20

AR

-0.04

-0.07

-0.05

-0.06

-0.06

-0.03

-0.03

-0.06

-0.03

n1 =2558

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.33

-0.67

-0.44

-0.55

-0.59

-0.32

-0.32

-0.57

-0.27

MD

0.52

0.91

0.20

0.62

0.77

0.36

0.43

0.46

0.13

110

353

1076

979

81

659

1364

MDD

706

NoTr

47

128

-62

80

98

186

188

178

k1 = 10

TR

-0.27

-0.44

-0.39

-0.43

-0.57

-0.29

-0.06

-0.26

0.05

k2 = 20

AR

-0.03

-0.07

-0.04

-0.06

-0.07

-0.04

-0.01

-0.03

0.01
0.00

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.25

-0.67

-0.42

-0.55

-0.69

-0.39

-0.08

-0.30

MD

0.18

0.91

0.30

0.62

0.68

0.38

0.15

0.44

0.06

-28

110

894

1076

998

179

773

538

-608

MDD
NoTr

21

80

197

206

0.05

67

128

17

98

k1 = 20

TR

-0.44

-0.14

-0.43

-0.16

-0.29

0.21

0.01

0.37

0.11

k2 = 50

AR

-0.07

-0.02

-0.06

-0.02

-0.04

0.02

0.00

0.04

0.02
0.00

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.67

-0.15

-0.55

-0.20

-0.39

0.22

0.02

0.37

170

0.15

MD

0.91

0.07

0.62

0.14

0.38

-0.05

0.13

-0.13

-0.12

MDD

110

382

1076

-190

179

50

-409

-530

-1215

NoTr

128

120

80

108

98

72

206

175

169

n1 =1353
k1 = 5

TR

0.01

-0.13

-0.10

-0.22

-0.16

-0.15

0.03

-0.24

-0.07

k2 = 20

AR

0.00

-0.05

-0.04

-0.09

-0.06

-0.05

0.01

-0.08

-0.03

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.02

-0.38

-0.32

-0.66

-0.49

-0.42

0.08

-0.63

-0.19

MD

-0.14

0.15

0.10

0.08

-0.04

0.15

0.10

-0.07

0.28

MDD

-5

96

37

143

344

NoTr

13

38

-4

34

25

30

44

64

46

k1 = 10

TR

-0.06

-0.13

-0.12

-0.22

-0.29

-0.14

-0.02

-0.04

-0.04

k2 = 20

AR

-0.02

-0.05

-0.05

-0.09

-0.12

-0.05

-0.01

-0.01

-0.01

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.16

-0.38

-0.37

-0.66

-0.90

-0.36

-0.07

-0.10

-0.11

0.08

MD

0.12

0.06

0.15

0.25

0.15

0.03

0.09

0.13

MDD

126

49

37

56

-37

37

-78

NoTr

31

38

19

34

17

32

61

64

68

k1 = 20

TR

-0.13

0.10

-0.22

-0.09

-0.14

0.27

-0.13

0.04

-0.08

k2 = 50

AR

-0.09

-0.03

-0.05

0.03

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.38

0.26

-0.66

-0.25

-0.36

-0.05

0.70

0.09

-0.36

-0.05

0.09

0.01

-0.26

-0.03

MD

0.08

-0.08

0.15

0.15

0.30

0.15

-0.08

0.14

0.05

MDD

37

-276

-13

NoTr

38

48

34

30

32

26

56

43

61

n1 =539
k1 = 5

TR

0.05

-0.05

-0.01

-0.11

0.07

0.05

-0.03

-0.12

-0.12

k2 = 20

AR

0.04

-0.04

-0.01

-0.09

0.05

0.03

-0.02

-0.09

-0.10

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.33

-0.35

-0.07

-0.81

0.43

0.32

-0.16

-0.86

-0.89

0.19

0.16

MD

-0.11

0.06

-0.08

0.12

-0.03

0.00

0.04

MDD

-88

22

-87

89

-148

-144

178

59

NoTr

18

-8

16

11

28

32

24

k1 = 10

TR

0.03

-0.05

0.05

-0.11

-0.13

0.02

0.00

-0.01

-0.18

k2 = 20

AR

0.02

-0.10

0.01

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.21

-0.35

0.34

-0.81

-0.93

0.11

-0.01

-0.07

-1.35

MD

0.02

0.06

-0.08

0.12

0.16

0.03

0.00

0.10

0.20

MDD

22

-89

89

-28

-94

77

173

-0.04

0.04

-0.09

0.00

-0.01

159

-0.14

129

NoTr

15

18

16

31

30

36

k1 = 20

TR

-0.05

0.05

-0.11

-0.07

0.02

-0.04

0.00

-0.01

0.06

k2 = 50

AR

-0.04

0.03

-0.09

-0.05

0.01

-0.03

0.00

0.00

0.06

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.35

0.31

-0.81

-0.49

0.13

-0.32

-0.01

-0.04

0.53

MD

0.06

-0.05

0.12

0.10

0.02

0.06

-0.03

0.05

-0.03

0.00

MDD

22

-221

89

169

-144

22

206

139

NoTr

18

30

16

20

24

30

29

31

-0.26

-0.17

Average across n1 given k1 , k2

k1 = 5

TR

k2 = 20

AR

-0.08
-0.01

-0.21
-0.05

-0.15
-0.03

-0.25

-0.25

-0.07

-0.04

-0.11

-0.14

-0.02

-0.02

-0.07

-0.05

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.08

-0.43

-0.28

-0.60

-0.35

-0.14

-0.19

-0.58

-0.45

MD

0.15

0.33

0.04

0.27

0.37

0.16

0.09

0.27

0.16

MDD

-7

156

276

497

473

98

255

415

381

k1 = 10

TR

-0.09

-0.21

-0.16

-0.25

-0.33

-0.13

-0.06

-0.15

-0.05

k2 = 20

AR

-0.01

-0.05

-0.02

-0.07

-0.09

-0.02

-0.01

-0.03

-0.04

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.07

-0.43

-0.19

-0.60

-0.76

-0.20

-0.09

-0.23

-0.36

0.13

0.33

0.37

0.17

0.06

0.20

MD

0.14

0.27

0.13

MDD

45

156

437

497

453

135

281

385

-151

k1 = 20

TR

-0.21

0.00

-0.25

-0.12

-0.12

0.16

-0.06

0.10

-0.02

k2 = 50

AR

-0.07

-0.03

-0.05

0.01

0.01

0.00

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.43

0.11

-0.60

-0.30

-0.19

-0.02

0.22

0.03

-0.14

-0.02

0.10

0.03

MD

0.33

-0.03

0.27

0.14

0.17

-0.04

0.09

0.01

0.11

MDD

156

77

497

192

123

-10

-97

-77

-265

Notes: (1) Table entries have the differences in strategy evaluation statistics between the proposed modified rule and the standard cross-over rules as
in section 2.2; (2) M Ai denotes price cross-over based on ki and W M Ai , EM Ai denote weighted and exponential moving averages respectively; (3)
M ACO, W M ACO and EM ACO denote the moving averages cross-over strategies; (4) T R denotes total return, AR annualized return, SD annualized
std. deviation, SR annualized Sharpe ratio, M D maximum drawdown, M DD maximum drawdown duration (in days) and N oT r number of trades.

23

Table 7. Strategy evaluation statistics for USD/CHF

M A1

M A2

W M A1

W M A2

EM A1

M AC O

W M AC O

k1 = 5

TR

-0.74

0.05

-0.69

-0.13

-0.57

EM A2

-0.14

0.47

0.05

EM AC O

0.24

k2 = 20

AR

-0.04

0.00

-0.05

-0.01

-0.04

-0.01

0.04

0.00

0.02

n1 =2558

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.37

0.05

-0.48

-0.10

-0.38

-0.13

0.33

0.04

0.22

MD

0.00

-0.15

0.07

0.02

0.19

0.00

0.00

0.09

-0.13

551

183

400

351

896

128

296

133

-1009

MDD
NoTr

100

-120

108

0.00

78

-70

200

246

k1 = 10

TR

-0.20

0.05

-0.59

-0.13

-0.13

-0.11

-0.12

0.48

0.08

k2 = 20

AR

-0.02

0.00

-0.05

-0.01

-0.01

-0.01

-0.01

0.04

0.01

184

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.16

0.05

-0.46

-0.10

-0.10

-0.10

-0.11

0.36

0.08

MD

-0.01

-0.15

0.32

0.02

0.03

0.00

0.27

0.03

-0.07

297

183

1229

351

272

128

880

-310

-620

MDD
NoTr

60

100

-10

108

197

186

0.00

78

32

k1 = 20

TR

0.05

-0.41

-0.13

-0.18

-0.19

0.12

-0.16

-0.54

-0.16

k2 = 50

AR

0.00

-0.05

-0.01

-0.02

-0.02

0.01

-0.02

-0.06

-0.02

212

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.05

-0.50

-0.10

-0.16

-0.17

0.13

-0.17

-0.54

-0.15
0.23

MD

-0.15

0.70

0.02

0.05

0.00

-0.06

0.28

0.53

MDD

183

772

351

1190

128

93

-173

1216

-56

NoTr

100

120

78

126

104

108

174

162

184

n1 =1353
k1 = 5

TR

-0.20

0.08

-0.46

0.04

-0.24

-0.19

0.45

0.22

k2 = 20

AR

-0.04

0.02

-0.12

0.01

-0.06

-0.05

0.13

0.07

0.01

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.05

SR

-0.33

0.17

-0.94

0.09

-0.47

-0.41

1.02

0.52

MD

0.00

-0.07

0.04

-0.02

0.05

-0.09

-0.10

-0.02

0.01

MDD

-109

-195

63

-193

-182

-151

-129

-88

-144

0.11

NoTr

-22

-52

14

-44

66

84

50

k1 = 10

TR

0.11

0.08

0.01

0.04

-0.02

-0.13

-0.23

0.27

-0.02

k2 = 20

AR

0.03

0.02

0.00

0.01

0.00

-0.04

-0.08

0.08

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.24

0.17

0.02

0.09

-0.03

-0.29

-0.66

0.63

-0.04

-0.01

MD

-0.09

-0.07

-0.06

-0.02

-0.03

-0.09

0.30

0.05

0.07

MDD

-126

-195

-397

-193

-236

-151

333

114

153

NoTr

-2

-22

14

-6

10

55

50

46

k1 = 20

TR

0.08

-0.05

0.04

0.10

-0.13

0.13

-0.09

-0.22

0.02

k2 = 50

AR

0.02

0.01

0.03

-0.04

0.04

-0.03

-0.07

0.01

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.17

-0.13

0.09

0.25

-0.29

0.32

-0.25

-0.57

0.06

0.12

0.09

-0.10

-0.02

MD

-0.07

-0.07

-0.02

-0.15

-0.09

-0.07

MDD

-195

-193

-146

-151

-248

NoTr

26

14

36

10

14

40

42

24

0.24

0.16

n1 =539
k1 = 5

TR

-0.18

-0.09

-0.20

-0.12

-0.19

-0.14

k2 = 20

AR

-0.10

-0.05

-0.12

-0.07

-0.11

-0.08

0.15

0.09

0.00

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-1.01

-0.49

-1.15

-0.69

-1.06

-0.81

1.43

0.89

-0.03

MD

0.09

0.01

0.04

0.07

0.17

0.05

-0.15

-0.07

0.01

MDD

106

17

83

-1

90

76

-3

-26

NoTr

-12

-2

-26

-22

-4

30

40

18

k1 = 10

TR

0.01

-0.09

-0.12

-0.12

-0.14

-0.14

-0.08

0.23

0.02

k2 = 20

AR

0.00

-0.05

-0.07

-0.07

-0.08

-0.08

-0.05

0.13

0.01

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.05

-0.49

-0.69

-0.69

-0.79

-0.81

-0.53

1.29

0.11

MD

0.03

0.01

0.16

0.07

0.11

0.05

0.02

-0.09

-0.03

MDD

17

82

-1

66

76

231

27

41

18

NoTr

12

-2

-8

-8

-4

25

22

22

k1 = 20

TR

-0.09

0.00

-0.12

-0.06

-0.17

0.00

0.00

-0.10

-0.04

k2 = 50

AR

-0.05

0.00

-0.07

-0.04

-0.10

0.00

0.00

-0.06

-0.03

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.49

0.03

-0.69

-0.36

-0.98

0.03

-0.01

-0.63

-0.25

MD

0.01

0.04

0.07

0.00

0.05

0.06

0.02

0.06

0.05

MDD

17

-1

-37

76

93

36

116

NoTr

-2

10

20

-6

20

22

0.18

0.10

Average across n1 given k1 , k2

k1 = 5

TR

k2 = 20

AR

-0.38

-0.09

-0.01

-0.34

-0.01

-0.06

-0.12
-0.04

0.38

0.05

0.01

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.52

-0.01

-0.82

-0.12

-0.58

-0.35

0.81

0.46

0.11

MD

0.03

-0.09

0.05

-0.03

0.11

-0.02

-0.07

-0.03

-0.04

43

-109

-232

275

0.00

-0.50

SD

MDD

-0.06

0.06

0.09

-85

324

-107

261

-34

k1 = 10

TR

0.05

0.06

-0.21

-0.01

-0.05

-0.10

-0.15

0.34

k2 = 20

AR

0.01

0.00

-0.03

-0.01

-0.02

-0.03

-0.04

0.08

0.00

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.03

SR

0.12

-0.01

-0.33

-0.12

-0.21

-0.31

-0.39

0.69

0.05

MD

-0.08

-0.09

0.10

-0.03

-0.01

-0.02

0.22

0.01

-0.03

MDD

-196

-85

373

-107

-61

-34

337

-78

-112

k1 = 20

TR

0.06

-0.13

-0.01

-0.02

-0.13

0.12

-0.11

-0.32

-0.08

k2 = 50

AR

0.00

-0.02

-0.01

0.00

-0.04

0.02

-0.02

-0.07

-0.01

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.01

-0.19

-0.12

-0.05

-0.37

0.22

-0.18

-0.61

-0.14

MD

-0.09

0.23

-0.03

-0.06

-0.02

-0.07

0.16

0.27

0.06

MDD

-85

194

-107

323

-34

-240

73

536

219

Notes: (1) Table entries have the differences in strategy evaluation statistics between the proposed modified rule and the standard cross-over rules as
in section 2.2; (2) M Ai denotes price cross-over based on ki and W M Ai , EM Ai denote weighted and exponential moving averages respectively; (3)
M ACO, W M ACO and EM ACO denote the moving averages cross-over strategies; (4) T R denotes total return, AR annualized return, SD annualized
std. deviation, SR annualized Sharpe ratio, M D maximum drawdown, M DD maximum drawdown duration (in days) and N oT r number of trades.

24

Table 8. Strategy evaluation statistics for GBP/USD

M A1

M A2

W M A1

W M A2

EM A1

M AC O

W M AC O

k1 = 5

TR

0.09

-0.28

-0.40

0.14

-0.20

EM A2

-0.28

0.06

0.12

EM AC O

-0.15

k2 = 20

AR

0.01

-0.03

-0.04

0.01

-0.02

-0.03

0.01

0.01

-0.02

0.00

n1 =2558

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.09

-0.30

-0.44

0.14

-0.21

-0.34

0.06

0.12

-0.17

MD

SD

0.01

0.31

0.31

-0.08

0.22

0.19

-0.07

0.07

0.19

MDD

720

-596

1250

-671

697

-26

-186

-1223

474

NoTr

-23

95

-145

69

-91

53

171

183

159

k1 = 10

TR

-0.23

-0.28

-0.01

0.14

0.11

-0.28

0.42

0.32

-0.08

k2 = 20

AR

-0.02

-0.03

0.00

0.01

0.01

-0.03

0.04

0.03

-0.01

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00
-0.08

SR

-0.24

-0.30

-0.01

0.14

0.11

-0.34

0.40

0.27

MD

0.07

0.31

0.04

-0.08

0.04

0.19

-0.14

-0.15

0.05

MDD

1242

-596

669

-671

-596

-26

-214

-385

-462

-27

69

k1 = 20

TR

-0.28

0.07

0.14

-0.09

-0.27

0.03

-0.42

-0.15

-0.10

k2 = 50

NoTr

AR

-0.03

21

0.01

95

0.01

-0.01

-0.03

10

0.00

53

-0.05

188

-0.01

177

-0.01

159

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.30

0.07

0.14

-0.11

-0.32

0.03

-0.47

-0.14

-0.08

0.20

0.02

MD

0.31

-0.19

-0.08

0.03

0.19

0.00

0.60

MDD

-596

-671

-26

852

328

-1

NoTr

95

101

69

97

55

68

172

171

138

n1 =1353
k1 = 5

TR

0.29

-0.40

-0.19

-0.09

-0.06

-0.48

0.07

-0.07

k2 = 20

AR

0.09

-0.13

-0.07

-0.03

-0.02

-0.16

0.02

-0.02

0.00

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.01

SR

0.69

-1.04

-0.51

-0.20

-0.15

-1.26

0.16

-0.17

0.01

MD

-0.15

0.36

-0.01

0.22

0.02

0.38

-0.07

0.11

0.17

MDD

-311

131

25

239

-229

43

-18

NoTr

-7

35

-49

47

-33

21

51

59

61

k1 = 10

TR

-0.09

-0.40

0.06

-0.09

0.16

-0.48

0.40

0.35

-0.11

k2 = 20

AR

-0.03

-0.13

0.02

-0.03

0.04

-0.16

0.12

0.11

-0.03

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.24

-1.04

0.15

-0.20

0.34

-1.26

0.90

0.82

-0.26

MD

0.06

0.36

-0.08

0.22

0.12

0.38

-0.10

-0.15

0.12

MDD

-18

131

-36

239

-257

43

-203

-228

238

NoTr

33

35

-5

47

21

56

53

57

k1 = 20

TR

-0.40

-0.09

-0.09

-0.02

-0.42

-0.54

-0.03

0.04

-0.75

k2 = 50

AR

-0.01

-0.14

-0.19

-0.24

-0.01

0.01

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-1.04

-0.13

-0.20

-0.03

-0.20

-0.03

-0.05

-1.10

-1.43

-0.07

0.07

-1.82

0.06

MD

0.36

0.01

0.22

0.07

0.38

0.20

0.02

0.31

MDD

131

-94

239

43

308

503

NoTr

35

43

47

45

19

30

50

53

20

n1 =539
k1 = 5

TR

0.05

-0.14

-0.12

-0.01

-0.04

-0.13

k2 = 20

AR

0.03

-0.08

-0.08

-0.01

-0.02

-0.09

0.00

0.03

0.00

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.35

-0.88

-0.90

-0.07

-0.25

-0.93

-0.02

0.27

0.03

MD

-0.03

0.06

0.12

0.01

0.00

0.10

0.01

0.01

-0.01

MDD

12

117

69

-58

188

0.00

0.04

83

0.00

NoTr

-27

11

-27

21

25

31

k1 = 10

TR

-0.11

-0.14

-0.05

-0.01

-0.06

-0.12

0.03

0.12

-0.04

k2 = 20

AR

-0.01

-0.04

0.07

-0.03

-0.07

-0.08

-0.04

-0.09

0.01

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.79

-0.88

-0.39

-0.07

-0.46

-0.91

0.15

0.73

-0.29

MD

0.04

0.06

0.02

0.01

0.04

0.10

-0.05

-0.03

0.02

MDD

246

117

205

200

188

-66

NoTr

-11

11

16

25

25

k1 = 20

TR

-0.14

-0.01

-0.01

-0.04

-0.12

0.00

0.02

0.08

-0.05

k2 = 50

AR

-0.08

-0.01

-0.01

-0.03

-0.08

0.00

0.01

0.05

-0.03

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.88

-0.08

-0.07

-0.29

-0.85

-0.03

0.12

0.57

-0.36

MD

0.06

0.04

0.01

0.01

0.10

0.01

-0.06

-0.07

0.05

MDD

117

160

96

188

116

NoTr

23

11

17

20

34

37

14

0.05

-0.04

Average across n1 given k1 , k2

k1 = 5

TR

0.16

-0.27

-0.24

-0.07

-0.06

0.02

-0.10

k2 = 20

AR

0.04

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.36

-0.67

-0.57

-0.01

-0.19

-0.73

0.14

0.10

-0.04

MD

-0.08

0.27

0.11

0.04

0.08

0.25

-0.05

0.08

0.12

MDD

111

-74

399

-234

323

-8

-98

-354

0.00

-0.02

-0.28
-0.08

0.10
0.02

0.01

0.00

-29

k1 = 10

TR

-0.14

-0.27

-0.01

0.02

0.11

-0.28

0.28

0.31

-0.08

k2 = 20

AR

-0.04

-0.07

-0.01

0.00

0.01

-0.08

0.05

0.07

-0.02

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.37

-0.67

-0.07

-0.01

0.09

-0.73

0.47

0.61

-0.19

0.06

0.27

-0.01

0.25

-0.09

-0.12

MD

0.04

0.06

0.08

MDD

427

-74

273

-234

-227

-8

-218

-250

-62

k1 = 20

TR

-0.27

0.03

0.02

-0.02

-0.26

-0.13

-0.18

-0.03

-0.26

k2 = 50

AR

-0.07

0.00

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.67

0.00

-0.01

0.00

-0.08

-0.01

-0.67

-0.07

-0.36

-0.05

-0.22

-0.02

0.10

0.01

-0.61

-0.08

MD

0.27

-0.06

0.04

0.02

0.25

0.06

0.22

0.10

0.10

MDD

-74

-8

-234

-138

-8

91

430

78

160

Notes: (1) Table entries have the differences in strategy evaluation statistics between the proposed modified rule and the standard cross-over rules as
in section 2.2; (2) M Ai denotes price cross-over based on ki and W M Ai , EM Ai denote weighted and exponential moving averages respectively; (3)
M ACO, W M ACO and EM ACO denote the moving averages cross-over strategies; (4) T R denotes total return, AR annualized return, SD annualized
std. deviation, SR annualized Sharpe ratio, M D maximum drawdown, M DD maximum drawdown duration (in days) and N oT r number of trades.

25

Table 9. Strategy evaluation statistics for EUR/GBP

M A1

M A2

W M A1

W M A2

EM A1

M AC O

W M AC O

k1 = 5

TR

0.27

-0.04

0.30

0.10

-0.10

EM A2

0.21

-0.10

-0.21

EM AC O

-0.19

k2 = 20

AR

0.04

0.00

0.04

0.01

-0.01

0.03

-0.01

-0.03

-0.02

n1 =2558

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.45

-0.06

0.45

0.18

-0.15

0.32

-0.15

-0.35

-0.27

MD

SD

-0.24

0.05

-0.37

0.00

-0.06

0.18

-0.10

0.15

0.23

0.23

MDD

20

12

-174

-159

54

41

42

598

NoTr

42

154

-48

94

-16

88

226

228

200

k1 = 10

TR

-0.16

-0.04

-0.30

0.10

0.10

0.21

-0.05

0.11

-0.10

k2 = 20

AR

-0.03

0.00

-0.04

0.01

0.02

0.03

0.00

0.01

-0.01

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.32

-0.06

-0.51

0.18

0.19

0.32

-0.06

0.16

-0.16

MD

0.45

0.05

0.41

-0.06

-0.18

-0.10

0.11

-0.01

0.13

MDD

26

12

26

-159

12

54

637

-146

30

NoTr

96

154

50

94

74

88

194

234

204

k1 = 20

TR

-0.04

0.31

0.10

0.30

0.20

0.01

0.65

0.37

k2 = 50

AR

0.00

0.04

0.01

0.04

0.03

0.00

0.07

0.04

0.02

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.14

SR

-0.06

0.48

0.18

0.45

0.31

0.01

0.83

0.56

0.22

MD

0.05

-0.40

-0.06

-0.11

-0.10

0.07

-0.27

-0.41

-0.09

MDD

12

-598

-159

30

54

-1418

-829

NoTr

154

152

94

138

92

96

148

206

180

n1 =1353
k1 = 5

TR

0.05

-0.14

0.18

-0.11

-0.05

0.10

-0.10

-0.23

-0.12

k2 = 20

AR

0.02

-0.05

0.07

-0.04

-0.02

0.04

-0.03

-0.08

-0.04

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.18

-0.48

0.62

-0.39

-0.14

0.34

-0.32

-0.72

-0.35

MD

-0.03

-0.07

0.09

-0.25

0.11

0.12

0.01

0.06

-0.04

MDD

-185

-155

394

-209

NoTr

10

52

-2

32

18

70

62

56

k1 = 10

TR

-0.18

-0.14

-0.37

-0.11

0.05

0.13

-0.04

-0.02

-0.13

k2 = 20

AR

-0.01

-0.01

-0.05

-0.08

-0.05

-0.13

-0.04

0.02

0.05

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.69

-0.48

-1.20

-0.39

0.18

0.43

-0.11

-0.05

-0.42

MD

0.20

0.02

0.09

0.30

0.11

0.06

-0.07

-0.02

-0.03

MDD

388

-155

-351

-228

-355

NoTr

36

52

28

32

42

22

60

72

70

0.16

k1 = 20

TR

-0.14

0.06

-0.11

0.09

-0.10

0.08

0.12

-0.04

k2 = 50

AR

-0.05

0.02

-0.04

0.06

0.03

-0.04

0.03

0.05

-0.02

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.48

0.23

-0.39

0.51

0.30

-0.35

0.24

0.42

-0.16

MD

0.09

-0.07

-0.21

-0.03

-0.06

0.11

-0.10

0.09

0.04

MDD

-155

-248

-204

NoTr

52

44

32

46

22

22

52

82

48

n1 =539
k1 = 5

TR

0.01

-0.05

0.03

-0.11

-0.05

0.09

-0.03

-0.10

-0.02

k2 = 20

AR

0.00

-0.04

0.03

-0.08

-0.04

0.06

-0.02

-0.06

-0.02

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.06

-0.42

0.29

-0.87

-0.42

0.67

-0.25

-0.74

-0.18
0.02

MD

0.01

0.06

-0.01

0.07

0.10

-0.01

0.03

0.03

MDD

24

-34

-48

145

-249

122

140

NoTr

16

32

20

12

22

30

24

18

k1 = 10

TR

-0.25

-0.05

-0.18

-0.11

-0.13

0.09

0.11

-0.01

-0.05

k2 = 20

AR

-0.08

-0.10

0.07

-0.01

-0.03

-0.18

-0.04

-0.13

0.06

83

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-2.08

-0.42

-1.51

-0.87

-1.16

0.67

0.80

-0.08

-0.38

MD

0.23

0.06

0.20

0.07

0.18

-0.01

-0.01

-0.02

0.01

MDD

178

-34

236

-48

17

-249

46

122

NoTr

24

32

22

20

30

22

38

32

30

k1 = 20

TR

-0.05

0.00

-0.11

0.03

0.09

-0.02

-0.18

0.16

-0.06

k2 = 50

AR

-0.04

0.00

-0.08

0.02

0.06

-0.02

-0.13

0.12

-0.05

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00
-0.55

SR

-0.42

0.03

-0.87

0.24

0.67

-0.22

-1.52

1.31

MD

0.06

-0.01

0.07

0.06

-0.01

0.00

0.18

-0.13

0.08

MDD

-34

114

-48

-160

-249

-83

175

-11

-126

NoTr

32

28

20

32

k1 = 5

TR

0.10

-0.06

0.18

-0.05

k2 = 20

AR

0.02

SD

0.00

0.00

0.00

0.00

SR

0.21

-0.25

0.45

-0.32

MD

-0.08

0.04

-0.22

0.04

MDD

-143

-190

-197

-75

20

26

34

20

-0.09

34

-0.17

-0.11

-0.02

-0.05

Average across n1 given k1 , k2

-0.02

0.04

-0.03

-0.10

0.15

-0.03

0.04

0.00

0.00

0.00

0.00

0.00

-0.29

0.44

-0.24

-0.52

-0.25

0.13

-0.08

0.07

0.08

0.07

268

-199

207

159

274

-0.02

k1 = 10

TR

-0.21

-0.06

-0.33

-0.05

0.03

0.16

0.03

0.04

-0.09

k2 = 20

AR

-0.08

-0.02

-0.10

-0.03

-0.01

0.04

0.02

0.00

-0.03

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.93

-0.25

-1.05

-0.32

-0.14

0.47

0.20

0.04

-0.29

0.34

0.01

-0.01

0.31

0.04

0.04

-0.02

-0.08

MDD

71

-190

340

-75

-225

-260

73

-12

53

k1 = 20

MD

TR

-0.04

0.09

0.02

0.10

0.04

0.02

0.11

0.13

-0.01

k2 = 50

AR

-0.02

0.02

0.02

0.00

0.05

-0.02

0.02

-0.01

0.05

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.20

0.18

-0.17

0.25

0.21

-0.03

-0.17

0.51

-0.17

-0.02

MD

0.03

-0.13

-0.03

-0.02

-0.02

0.00

0.01

-0.19

0.01

MDD

-162

-305

-198

-79

183

-171

-196

-196

124

Notes: (1) Table entries have the differences in strategy evaluation statistics between the proposed modified rule and the standard cross-over rules as
in section 2.2; (2) M Ai denotes price cross-over based on ki and W M Ai , EM Ai denote weighted and exponential moving averages respectively; (3)
M ACO, W M ACO and EM ACO denote the moving averages cross-over strategies; (4) T R denotes total return, AR annualized return, SD annualized
std. deviation, SR annualized Sharpe ratio, M D maximum drawdown, M DD maximum drawdown duration (in days) and N oT r number of trades.

26

Table 10. Strategy evaluation statistics for EUR/JPY

M A1

M A2

W M A1

W M A2

EM A1

M AC O

W M AC O

k1 = 5

TR

-0.01

-0.08

0.14

0.24

0.02

EM A2

0.18

-0.46

0.33

EM AC O

0.16

k2 = 20

AR

0.00

-0.01

0.02

0.03

0.00

0.02

-0.05

0.04

0.02

0.00

0.00

n1 =2558

SD

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.02

-0.09

0.13

0.27

0.03

0.20

-0.42

0.33

0.16

MD

0.14

0.33

0.23

-0.08

-0.07

0.09

0.30

0.07

0.23

-567

-1756

-458

-1165

-1732

1088

-1728

-885

MDD

0.00

NoTr

21

108

-99

110

-15

100

k1 = 10

TR

-0.01

-0.08

0.00

0.24

0.58

0.17

0.00

-0.12

-0.22

k2 = 20

AR

0.00

-0.01

0.00

0.03

0.07

0.02

0.00

-0.01

-0.03

0.00

0.00

0.00

0.00

196

226

196

SD

0.00

0.00

0.00

0.00

0.00

SR

-0.01

-0.09

0.00

0.27

0.53

0.19

0.00

-0.12

-0.25

MD

0.06

0.33

0.24

-0.08

-0.36

0.09

-0.09

0.15

0.25

MDD

268

-1756

-385

-1165

-1378

-1732

367

618

650

NoTr

92

108

67

110

62

102

170

214

192

k1 = 20

TR

-0.08

0.44

0.24

0.48

0.15

-0.03

0.63

0.05

-0.07

k2 = 50

AR

-0.01

0.05

0.03

0.06

0.02

0.00

0.07

0.01

-0.01

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.09

0.42

0.27

0.48

0.17

-0.03

0.61

0.05

-0.07
0.16

MD

0.33

-0.11

-0.08

-0.18

0.09

0.36

-0.70

-0.05

MDD

-1756

-897

-1165

-1756

-1604

-823

-1177

-827

369

NoTr

108

102

110

118

102

92

142

150

120

n1 =1353
k1 = 5

TR

-0.10

-0.38

-0.04

0.10

-0.08

-0.25

-0.37

-0.13

-0.21

k2 = 20

AR

-0.04

-0.13

-0.02

0.04

-0.03

-0.10

-0.11

-0.05

-0.08

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.22

-0.77

-0.09

0.21

-0.18

-0.59

-0.66

-0.27

-0.44

MD

0.23

0.02

0.28

0.12

0.55

-0.07

0.36

0.27

0.21

MDD

182

64

130

352

130

NoTr

27

40

-15

46

13

56

66

78

64

k1 = 10

TR

0.02

-0.38

-0.07

0.31

-0.25

0.08

-0.06

-0.13

k2 = 20

AR

0.01

-0.13

-0.03

0.04

0.11

-0.10

0.03

-0.02

-0.04

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.05

-0.77

-0.17

0.21

0.63

-0.59

0.14

-0.11

-0.25

0.02

0.10

MD

-0.03

0.55

-0.02

-0.32

0.36

-0.09

0.15

0.04

MDD

130

182

11

130

-114

114

-58

NoTr

38

40

37

46

40

56

60

58

74

k1 = 20

TR

-0.38

0.01

0.10

-0.19

-0.24

-0.24

0.23

-0.11

-0.55

k2 = 50

AR

-0.06

-0.10

-0.04

0.00

0.04

-0.09

0.08

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.77

-0.13

0.01

0.21

-0.37

-0.55

-0.48

0.46

-0.23

-1.31

-0.23

-0.11

0.02

MD

0.55

0.24

0.36

0.20

-0.42

0.06

0.42

MDD

182

130

44

-159

220

NoTr

40

46

46

32

52

14

64

44

40

n1 =539
k1 = 5

TR

0.10

-0.13

0.23

0.20

0.15

-0.07

-0.19

-0.04

-0.13

k2 = 20

AR

0.08

-0.10

0.17

0.15

0.11

-0.06

-0.13

-0.03

-0.10

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.60

-0.70

1.16

1.04

0.77

-0.46

-0.90

-0.19

-0.67

MD

-0.16

0.12

0.14

-0.24

-0.22

-0.19

0.17

0.10

0.03

MDD

48

-177

-52

-183

-100

71

139

NoTr

35

24

-3

26

13

28

40

48

32

k1 = 10

TR

0.18

-0.13

0.17

0.20

0.33

-0.08

-0.09

-0.06

-0.22

k2 = 20

AR

0.14

-0.10

0.12

0.15

0.23

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.95

-0.70

0.86

1.04

1.66

-0.47

-0.37

-0.27

-1.10

MD

-0.15

0.14

-0.11

-0.22

-0.29

0.17

0.10

0.02

0.15

48

-174

MDD

-174

-52

-190

-0.07

-100

-0.05

-30

-0.04

-26

64

-0.16

64

NoTr

38

24

33

26

22

30

28

26

32

k1 = 20

TR

-0.13

-0.08

0.20

0.01

-0.09

-0.09

0.14

-0.26

-0.16

k2 = 50

AR

-0.10

-0.06

0.15

0.01

-0.08

-0.08

0.10

-0.20

-0.13

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.70

-0.45

1.04

0.07

-0.57

-0.57

0.70

-1.42

-0.92

MD

0.14

0.11

-0.22

0.00

-0.01

0.18

0.13

-0.14

0.35

0.16

MDD

48

160

-52

-85

-100

85

-104

135

NoTr

24

28

26

26

34

12

40

40

28

-0.33

0.06

-0.05

-0.09

0.00

-0.04

Average across n1 given k1 , k2

k1 = 5

TR

-0.02

-0.22

k2 = 20

0.08

0.19

0.02

AR

0.01

-0.07

0.04

0.07

0.02

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.05

-0.48

0.30

0.46

0.14

-0.21

-0.58

0.00

-0.25

MD

0.08

0.40

0.11

-0.07

-0.10

0.25

0.23

0.13

0.23

MDD

-4

-456

-134

-379

-12

-485

317

-440

-245

k1 = 10

TR

0.03

-0.22

0.00

0.19

0.41

-0.04

0.02

-0.02

-0.17

k2 = 20

AR

0.03

-0.07

0.02

0.07

0.12

-0.04

0.00

-0.01

-0.06

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.22

-0.48

0.14

0.46

0.83

-0.21

-0.04

-0.08

-0.44

MD

0.24

-0.04

-0.04

-0.03

0.40

0.06

-0.07

MDD

217

-456

-82

-379

-418

-485

43

137

105

k1 = 20

TR

-0.22

0.11

0.19

0.12

-0.04

-0.19

0.37

-0.07

-0.25

k2 = 50

AR

-0.06

0.08

-0.07

-0.32

-0.04

0.01

-0.04

0.12

-0.06

0.12

0.00

0.07

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.48

0.02

0.46

0.09

-0.23

-0.39

0.59

-0.38

-0.65

-0.10

MD

0.40

-0.06

-0.07

0.07

0.25

0.26

-0.42

0.10

0.21

MDD

-456

-184

-379

-532

-453

-145

-394

-263

299

Notes: (1) Table entries have the differences in strategy evaluation statistics between the proposed modified rule and the standard cross-over rules as
in section 2.2; (2) M Ai denotes price cross-over based on ki and W M Ai , EM Ai denote weighted and exponential moving averages respectively; (3)
M ACO, W M ACO and EM ACO denote the moving averages cross-over strategies; (4) T R denotes total return, AR annualized return, SD annualized
std. deviation, SR annualized Sharpe ratio, M D maximum drawdown, M DD maximum drawdown duration (in days) and N oT r number of trades.

27

Table 11. Strategy evaluation statistics for EUR/CHF

M A1

M A2

W M A1

W M A2

EM A1

M AC O

W M AC O

k1 = 5

TR

-0.14

0.02

-0.13

0.03

0.08

EM A2

0.04

0.02

-0.07

EM AC O

0.05

k2 = 20

AR

-0.02

0.00

-0.01

0.00

0.01

0.01

0.00

-0.01

0.01

SD

n1 =2558

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.28

0.04

-0.27

0.07

0.20

0.09

0.04

-0.14

0.10

MD

0.17

0.08

0.20

-0.04

0.00

-0.05

0.02

0.11

0.03

-0.07

0.00

MDD

-864

-917

-514

-1174

-197

-573

-630

360

-1060

NoTr

106

-90

117

-13

125

190

208

k1 = 10

TR

0.01

0.02

-0.05

0.03

0.08

0.04

0.07

-0.14

-0.04

k2 = 20

AR

0.00

0.00

-0.01

0.00

0.01

0.01

0.01

-0.02

-0.01

0.00

0.00

SD

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.01

0.04

-0.11

0.07

0.18

0.09

0.14

-0.30

-0.09

MD

0.00

0.08

0.10

-0.04

-0.02

0.02

0.01

0.14

0.06

MDD

-63

-917

-544

-1174

-404

-573

-454

326

-465

NoTr

103

0.00

176

106

69

117

59

125

197

177

k1 = 20

TR

0.02

0.02

0.03

0.21

0.05

-0.01

0.06

0.00

0.07

k2 = 50

AR

0.00

0.00

0.00

0.02

0.01

0.00

0.01

0.00

0.01

170

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.04

0.05

0.07

0.44

0.11

-0.01

0.14

0.01

0.15
0.04

MD

0.08

0.02

-0.04

-0.10

0.02

0.03

0.05

0.01

MDD

-917

-1261

-1174

-453

-572

-327

-368

-433

156

NoTr

106

134

117

118

127

108

164

149

155

-0.01

n1 =1353
k1 = 5

TR

-0.20

-0.07

-0.19

-0.04

0.01

0.00

-0.09

-0.11

k2 = 20

AR

-0.07

-0.03

-0.07

-0.02

0.00

0.00

-0.03

-0.04

0.00

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.81

-0.32

-0.83

-0.21

0.04

0.01

-0.38

-0.45

-0.03

MD

0.12

0.12

0.16

0.06

-0.01

0.03

0.11

0.05

-0.01

MDD

214

200

57

35

NoTr

18

40

43

51

74

70

66

0.03

0.00

k1 = 10

TR

0.02

-0.07

-0.10

-0.04

0.01

-0.18

-0.13

k2 = 20

AR

0.01

-0.03

-0.04

-0.02

0.01

0.00

0.00

-0.07

-0.05

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.07

-0.32

-0.47

-0.21

0.12

0.01

0.04

-0.79

-0.54

MD

-0.03

0.12

0.08

0.06

0.09

0.00

0.03

0.01

0.16

MDD

57

35

NoTr

49

40

43

43

31

51

77

61

70

k1 = 20

TR

-0.07

0.01

-0.04

0.00

-0.02

0.04

-0.03

0.11

k2 = 50

AR

-0.03

0.00

-0.02

0.04

0.00

-0.01

0.01

-0.01

0.04

SD

0.00

0.00

0.00

0.00

0.11

0.00

0.00

0.00

0.00

0.00

SR

-0.32

0.04

-0.21

0.46

0.01

-0.07

0.16

-0.14

0.51

MD

0.12

0.03

0.06

-0.05

0.03

0.04

0.03

0.01

-0.08

MDD

-82

57

NoTr

40

44

43

40

51

36

56

67

57

n1 =539
k1 = 5

TR

-0.14

-0.05

-0.08

-0.03

0.01

0.05

-0.09

-0.04

-0.02

k2 = 20

AR

-0.09

-0.03

-0.05

-0.02

0.01

0.03

-0.06

-0.03

-0.01

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.99

-0.38

-0.62

-0.24

0.12

0.36

-0.71

-0.33

-0.14
0.02

MD

0.01

0.08

0.04

0.03

-0.02

0.01

0.08

0.06

MDD

225

133

189

132

48

-61

88

150

NoTr

20

-4

23

-3

29

38

20

28

k1 = 10

TR

-0.04

-0.05

-0.07

-0.03

0.05

0.05

0.08

-0.07

-0.07

k2 = 20

AR

-0.03

-0.05

-0.05

-0.04

-0.02

0.04

0.03

0.05

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.27

-0.38

-0.55

-0.24

0.42

0.36

0.57

-0.58

-0.51

MD

0.03

0.08

0.05

0.03

-0.02

0.01

0.00

0.06

0.09

MDD

-0.02

132

-6

133

132

-48

-61

-74

119

119

NoTr

25

20

23

23

29

33

29

24

k1 = 20

TR

-0.05

0.02

-0.03

0.05

0.05

-0.06

-0.13

-0.17

-0.13

k2 = 50

AR

-0.03

0.01

-0.02

0.04

0.03

-0.05

-0.09

-0.12

-0.11

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.38

0.14

-0.24

0.41

0.36

-0.55

-1.10

-1.40

-1.15

MD

0.08

0.01

0.03

-0.03

0.01

0.02

0.01

0.04

0.03

MDD

133

132

-132

-61

142

142

176

NoTr

20

20

23

22

29

14

12

25

15

-0.08

0.01

Average across n1 given k1 , k2

k1 = 5

TR

k2 = 20

AR

-0.17
-0.05

-0.03

-0.15

-0.02

0.02

0.04

-0.04

-0.01

-0.04

-0.02

-0.01

0.01

0.01

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.66

-0.16

-0.56

-0.11

0.08

0.15

-0.26

-0.28

-0.02

0.01
-0.02

MD

0.13

0.10

0.16

0.03

-0.01

0.02

0.10

0.05

MDD

-112

-269

-24

-307

-126

-171

-203

140

0.00

-231

k1 = 10

TR

-0.01

-0.03

-0.09

-0.02

0.03

0.04

0.05

-0.13

-0.06

k2 = 20

AR

-0.01

-0.01

-0.03

-0.01

0.01

0.01

0.02

-0.04

-0.03

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.07

-0.16

-0.39

-0.11

0.16

0.15

0.21

-0.50

-0.30

0.00

0.10

0.09

0.03

0.02

0.01

0.13

0.08

MDD

194

-269

68

-307

79

-171

-174

88

-154

k1 = 20

MD

TR

-0.03

0.01

-0.02

0.15

0.04

0.01

-0.01

0.01

-0.05

0.03

k2 = 50

AR

-0.01

0.00

-0.01

0.03

0.01

-0.01

-0.02

-0.03

-0.01

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.16

0.06

-0.11

0.47

0.16

-0.14

-0.15

-0.37

-0.06

MD

0.10

0.02

0.03

-0.06

0.02

0.03

0.03

0.02

-0.02

0.00

MDD

-269

-317

-307

-423

-181

-132

-252

-144

236

Notes: (1) Table entries have the differences in strategy evaluation statistics between the proposed modified rule and the standard cross-over rules as
in section 2.2; (2) M Ai denotes price cross-over based on ki and W M Ai , EM Ai denote weighted and exponential moving averages respectively; (3)
M ACO, W M ACO and EM ACO denote the moving averages cross-over strategies; (4) T R denotes total return, AR annualized return, SD annualized
std. deviation, SR annualized Sharpe ratio, M D maximum drawdown, M DD maximum drawdown duration (in days) and N oT r number of trades.

28

Table 12. Comparing Long-Only and Long/Short on SPY using standard criteria
M A1

M A2

W M A1

W M A2

EM A1

EM A2

M ACO

W M ACO

EM ACO

n1 =2297
k1 = 20

TR

0.37

0.29

0.40

0.40

0.43

0.18

0.40

0.36

0.11

k2 = 50

AR

0.04

0.04

0.05

0.04

0.05

0.03

0.05

0.04

0.03

SD

-0.06

-0.08

-0.05

-0.07

-0.06

-0.08

-0.06

-0.07

-0.08

SR

0.30

0.36

0.28

0.30

0.28

0.35

0.29

0.31

0.37

MD

-0.45

-0.16

-0.61

-0.29

-1.00

-0.04

-0.16

-0.57

-0.19
-762

MDD

-1701

-793

-1679

-1615

-1612

-602

-1152

-1313

k1 = 20

TR

0.37

0.40

0.40

0.08

0.43

0.26

0.28

0.24

0.24

k2 = 100

AR

0.04

0.04

0.05

0.03

0.05

0.03

0.04

0.03

0.03

SD

-0.06

-0.08

-0.05

-0.08

-0.06

-0.09

-0.07

-0.08

-0.08

SR

0.30

0.34

0.28

0.41

0.28

0.36

0.36

0.37

MD

-0.45

-0.35

-0.61

-0.17

-1.00

-0.41

-0.32

-0.25

-0.25

MDD

-1701

-1768

-1679

-454

-1612

-1452

-1142

-798

-1351

0.36

k1 = 50

TR

0.29

0.28

0.40

0.25

0.14

0.51

-0.03

0.23

0.33

k2 = 200

AR

0.04

0.03

0.04

0.03

0.03

0.06

0.03

0.03

0.04

SD

-0.08

-0.09

-0.07

-0.08

-0.08

-0.09

-0.08

-0.08

-0.08

SR

0.36

0.41

0.30

0.41

0.35

0.49

0.45

0.38

0.49

MD

-0.16

-0.26

-0.29

-0.23

-0.04

-0.54

-0.29

-0.22

-0.38

MDD

-793

-182

-1615

-979

-602

-139

-529

-1182

-415

-0.16

n1 =787
k1 = 20

TR

-0.02

0.03

-0.01

0.06

0.09

-0.08

0.06

-0.15

k2 = 50

AR

-0.02

-0.01

-0.02

-0.01

-0.01

-0.01

-0.01

-0.02

0.00

SD

-0.10

-0.12

-0.08

-0.11

-0.09

-0.13

-0.09

-0.11

-0.12

SR

0.03

0.03

0.00

-0.02

-0.04

0.25

-0.03

0.14

0.33

MD

0.02

-0.17

-0.12

0.04

-0.26

-0.09

-0.19

-0.07

-0.15
-136

MDD

-224

-83

-70

-337

-51

-212

-18

k1 = 20

TR

-0.02

-0.04

-0.01

-0.08

0.09

0.00

-0.13

-0.14

0.02

k2 = 100

AR

-0.02

-0.01

-0.02

-0.01

-0.01

0.01

0.00

-0.01

0.01

SD

-0.10

-0.12

-0.08

-0.12

-0.09

-0.14

-0.12

-0.11

-0.14

SR

0.03

0.15

0.00

0.19

-0.04

0.34

0.26

0.23

0.30

MD

0.02

-0.15

-0.12

-0.18

-0.26

-0.21

-0.12

-0.25

-0.23

MDD

-87

-83

-272

-337

-314

-68

-125

-309

k1 = 50

TR

0.03

0.08

0.06

-0.13

-0.15

0.16

-0.08

-0.16

0.09

k2 = 200

AR

-0.01

-0.01

-0.01

0.00

0.00

0.06

0.00

0.00

0.05

SD

-0.12

-0.13

-0.11

-0.13

-0.13

-0.16

-0.11

-0.11

-0.15

SR

0.03

-0.02

-0.02

0.31

0.35

0.36

0.24

0.32

0.49

MD

-0.17

-0.30

0.04

-0.15

-0.15

-0.53

-0.29

-0.25

-0.39

MDD

-224

-267

-70

-129

-116

-329

-347

-171

-292

n1 =431
k1 = 20

TR

0.30

0.36

0.27

0.31

0.16

0.17

0.39

0.34

0.16

k2 = 50

AR

0.22

0.24

0.21

0.21

0.15

0.14

0.26

0.23

0.13

SD

-0.03

-0.03

-0.02

-0.02

-0.02

-0.02

-0.03

-0.03

-0.01

SR

1.22

1.33

1.16

1.15

0.99

0.95

1.37

1.29

0.80

MD

-0.16

-0.10

-0.13

-0.11

-0.10

-0.07

-0.14

-0.14

-0.15
-136

MDD

-183

-129

-134

-60

-197

-67

-304

-34

k1 = 20

TR

0.30

0.38

0.27

0.39

0.16

0.12

0.33

0.38

k2 = 100

AR

0.22

0.25

0.21

0.26

0.15

0.11

0.23

0.25

0.12

SD

-0.03

-0.04

-0.02

-0.03

-0.02

-0.02

-0.03

-0.03

-0.01

0.12

SR

1.22

1.37

1.16

1.35

0.99

0.77

1.31

1.31

0.71

MD

-0.16

-0.25

-0.13

-0.19

-0.10

-0.10

-0.18

-0.25

-0.13

MDD

-183

-89

-134

-354

-197

-71

-148

-135

-77

k1 = 50

TR

0.36

0.43

0.31

0.35

0.11

0.12

0.41

0.36

0.09

k2 = 200

AR

0.24

0.30

0.21

0.23

0.11

0.13

0.30

0.25

0.11

SD

-0.03

-0.05

-0.02

-0.04

-0.02

-0.03

-0.03

-0.03

0.00

SR

1.33

1.55

1.15

1.34

0.79

0.72

1.52

1.38

0.60

MD

-0.10

-0.34

-0.11

-0.19

-0.07

-0.16

-0.29

-0.25

-0.07

MDD

-129

-347

-60

-139

-67

-130

-357

-204

-64

Average across n1 given k1 , k2

k1 = 20

TR

0.28

0.28

0.29

0.32

0.29

0.14

0.33

0.24

0.07

k2 = 50

AR

0.08

0.08

0.08

0.08

0.07

0.05

0.09

0.08

0.05

SD

-0.06

-0.08

-0.05

-0.07

-0.06

-0.08

-0.06

-0.07

-0.07

SR

0.51

0.56

0.47

0.48

0.41

0.51

0.52

0.56

0.49

MD

-0.24

-0.15

-0.31

-0.16

-0.55

-0.06

-0.16

-0.24

-0.16

-485

-789

-738

-786

-331

-599

-529

-449

MDD

-821

k1 = 20

TR

0.28

0.30

0.29

0.17

0.29

0.17

0.22

0.20

k2 = 100

AR

0.08

0.09

0.08

0.08

0.07

0.05

0.08

0.08

0.05

SD

-0.06

-0.08

-0.05

-0.08

-0.06

-0.08

-0.07

-0.07

-0.08

0.16

SR

0.51

0.60

0.47

0.63

0.41

0.48

0.61

0.62

0.45

MD

-0.24

-0.25

-0.31

-0.18

-0.55

-0.23

-0.23

-0.25

-0.20
-584

MDD

-821

-701

-789

-384

-786

-696

-625

-464

k1 = 50

TR

0.28

0.30

0.32

0.20

0.09

0.28

0.13

0.16

0.14

k2 = 200

AR

0.08

0.09

0.08

0.08

0.04

0.07

0.09

0.08

0.05

SD

-0.08

-0.09

-0.07

-0.08

-0.08

-0.09

-0.07

-0.07

-0.08

SR

0.56

0.61

0.48

0.65

0.49

0.47

0.67

0.65

0.47

MD

-0.15

-0.29

-0.16

-0.20

-0.08

-0.44

-0.29

-0.25

-0.30

MDD

-485

-245

-738

-557

-347

-184

-383

-416

-258

Notes: (1) Table entries have the differences in strategy evaluation statistics between the proposed modified rule and the standard cross-over rules as
in section 2.2 of the main text; (2) M Ai denotes the price cross-over strategy based on ki with W M Ai and EM Ai denoting weighted and exponential
moving averages respectively; (3) M ACO, W M ACO and EM ACO denote the moving averages cross-over strategies; (4) T R is the difference in total
return, AR is the difference in annualized return, SD is the difference in annualized std. deviation, SR is the difference in annualized Sharpe ratios, M D
is the maximum drawdown, M DD is the maximum drawdown duration (in days).

29

Table 13. Comparing Long-Only and Long/Short on SPY using modified criteria
M A1

M A2

W M A1

W M A2

EM A1

EM A2

M ACO

W M ACO

EM ACO

n1 =2297
k1 = 20

TR

0.41

0.31

0.09

-0.46

0.46

0.40

0.72

0.45

0.50

k2 = 50

AR

0.05

0.03

0.01

-0.01

0.06

0.05

0.08

0.06

0.06

SD

-0.06

-0.07

-0.06

-0.07

-0.07

-0.08

-0.08

-0.07

-0.08

SR

0.27

0.29

0.17

0.20

0.49

0.52

0.63

0.52

0.63

MD

-0.36

-0.31

-0.14

-0.07

-0.26

-0.45

-0.52

-0.23

-0.47

MDD

-1489

-1779

-1094

-600

-1238

-1410

-1882

-1398

-1036

k1 = 20

TR

0.41

0.10

0.09

0.45

0.46

-0.11

0.12

0.91

0.57

k2 = 100

AR

0.05

0.03

0.01

0.05

0.06

0.01

0.04

0.09

0.06

SD

-0.06

-0.08

-0.06

-0.07

-0.07

-0.08

-0.08

-0.08

-0.08

0.17

0.48

0.49

0.28

0.52

0.76

0.58

MD

-0.36

-0.20

-0.14

-0.11

-0.26

-0.19

-0.25

-0.91

-0.48

MDD

SR

-1489

0.27

-1305

0.36

-1094

-860

-1238

-269

-675

-1920

-401

k1 = 50

TR

0.31

-0.39

-0.46

0.19

0.55

-0.11

-0.38

0.25

-0.44

k2 = 200

AR

0.03

0.00

-0.01

0.03

0.06

0.01

-0.02

0.04

-0.04

SD

-0.07

-0.08

-0.07

-0.08

-0.07

-0.07

-0.07

-0.08

-0.01

SR

0.29

0.31

0.20

0.39

0.57

0.34

0.10

0.57

-0.15

MD

-0.31

-0.41

-0.07

-0.39

-0.45

-0.44

-0.14

-0.29

0.50

MDD

-1779

-482

-600

-1361

-1410

-262

-448

-618

279

-0.04

n1 =787
k1 = 20

TR

0.12

-0.02

-0.04

-0.27

-0.06

0.00

0.20

-0.07

k2 = 50

AR

0.01

-0.04

-0.03

-0.10

0.00

0.06

0.10

0.03

0.04

SD

-0.09

-0.11

-0.09

-0.12

-0.11

-0.12

-0.12

-0.12

-0.13

SR

0.01

-0.13

-0.04

-0.31

0.20

0.63

0.73

0.50

0.51

MD

-0.30

-0.12

-0.06

-0.05

-0.26

-0.20

-0.23

-0.30

-0.15

MDD

-180

-234

65

-3

-372

-128

-196

-133

-113

k1 = 20

TR

0.12

-0.06

-0.04

0.00

-0.06

-0.26

0.07

-0.04

0.16

k2 = 100

AR

0.01

0.01

-0.03

-0.01

0.00

-0.01

0.12

0.08

0.07

SD

-0.09

-0.12

-0.09

-0.12

-0.11

-0.14

-0.13

-0.12

-0.13

SR

0.01

0.28

-0.04

0.12

0.20

0.47

1.02

0.79

0.50

MD

-0.30

-0.22

-0.06

-0.11

-0.26

-0.21

-0.19

-0.16

-0.51

MDD

-180

-130

65

-145

-372

-144

-101

-164

-307

k1 = 50

TR

-0.02

-0.24

-0.27

-0.20

-0.05

0.16

-0.18

0.15

0.08

k2 = 200

AR

-0.04

-0.05

-0.10

0.00

0.06

0.09

0.03

0.09

0.04

SD

-0.11

-0.13

-0.12

-0.13

-0.12

0.02

-0.12

-0.12

0.00

SR

-0.13

0.06

-0.31

0.39

0.70

0.27

0.60

0.72

0.12

MD

-0.12

-0.41

-0.05

-0.19

-0.20

0.00

-0.26

-0.29

0.00

MDD

-234

-339

-3

-128

-134

-76

-295

-293

-8

0.13

n1 =431
k1 = 20

TR

0.52

0.05

0.45

0.31

0.32

0.25

0.06

-0.04

k2 = 50

AR

0.32

0.07

0.29

0.18

0.22

0.19

0.10

0.05

0.11

SD

-0.01

-0.01

-0.01

-0.02

-0.02

-0.01

-0.01

-0.01

-0.01

SR

1.59

0.39

1.46

0.99

1.28

1.13

0.53

0.29

0.65

MD

-0.39

-0.08

-0.31

-0.16

-0.26

-0.18

-0.10

-0.02

-0.13

MDD

-273

-127

-130

-121

-135

-134

-85

-27

-78

k1 = 20

TR

0.52

0.14

0.45

0.16

0.32

0.09

0.18

0.08

0.20

k2 = 100

AR

0.32

0.13

0.29

0.13

0.22

0.10

0.15

SD

-0.01

-0.01

-0.01

-0.01

-0.02

-0.02

-0.01

0.00

0.00

SR

1.59

0.65

1.46

0.67

1.28

0.67

0.78

0.53

0.87
-0.17

0.10

0.15

MD

-0.39

-0.13

-0.31

-0.15

-0.26

-0.15

-0.18

-0.15

MDD

-273

-33

-130

-31

-135

-30

-92

-81

-23

k1 = 50

TR

0.05

0.13

0.31

0.01

0.25

0.08

0.13

0.30

0.07

k2 = 200

AR

0.07

0.12

0.18

0.07

0.18

0.10

0.06

0.12

0.09

SD

-0.01

0.00

-0.02

-0.01

-0.01

-0.03

0.00

0.00

-0.02

SR

0.39

0.54

0.99

0.41

1.07

0.64

0.31

0.56

0.49

MD

-0.08

-0.10

-0.16

-0.11

-0.18

-0.16

0.00

-0.14

-0.09

MDD

-127

-55

-121

-45

-134

-38

-11

-9

-65

0.31

Average across n1 given k1 , k2

k1 = 20

TR

0.41

0.19

0.19

-0.13

0.25

0.24

0.46

0.20

k2 = 50

AR

0.12

0.03

0.08

0.02

0.08

0.09

0.09

0.05

0.07

SD

-0.06

-0.06

-0.06

-0.07

-0.07

-0.07

-0.07

-0.07

-0.07

SR

0.61

0.26

0.52

0.31

0.63

0.70

0.67

0.50

0.62

MD

-0.34

-0.15

-0.15

-0.09

-0.26

-0.24

-0.28

-0.19

-0.30

-621

-347

-331

-737

-597

-566

MDD

-690

-631

-488

k1 = 20

TR

0.41

0.14

0.19

0.27

0.25

-0.05

0.21

0.51

k2 = 100

AR

0.12

0.05

0.08

0.06

0.08

0.03

0.09

0.10

0.09

SD

-0.06

-0.07

-0.06

-0.07

-0.07

-0.08

-0.07

-0.07

-0.07

0.37

SR

0.61

0.47

0.52

0.46

0.63

0.45

0.76

0.75

0.63

MD

-0.34

-0.19

-0.15

-0.12

-0.26

-0.19

-0.20

-0.51

-0.41

MDD

-690

-511

-347

-361

-631

-151

-386

-896

-232

k1 = 50

TR

0.19

-0.14

-0.13

0.06

0.26

0.04

-0.22

0.38

-0.11

k2 = 200

AR

0.03

0.02

0.02

0.03

0.09

0.05

0.01

0.08

0.01

SD

-0.06

-0.07

-0.07

-0.07

-0.07

-0.04

-0.07

-0.07

-0.02

SR

0.26

0.32

0.31

0.42

0.72

0.39

0.28

0.64

0.08

MD

-0.15

-0.33

-0.09

-0.21

-0.24

-0.26

-0.13

-0.25

0.13

MDD

-621

-340

-331

-455

-489

-160

-197

-385

88

Notes: (1) Table entries have the differences in strategy evaluation statistics between the proposed modified rule and the standard cross-over rules as
in section 2.2 of the main text; (2) M Ai denotes the price cross-over strategy based on ki with W M Ai and EM Ai denoting weighted and exponential
moving averages respectively; (3) M ACO, W M ACO and EM ACO denote the moving averages cross-over strategies; (4) T R is the difference in total
return, AR is the difference in annualized return, SD is the difference in annualized std. deviation, SR is the difference in annualized Sharpe ratios, M D
is the maximum drawdown, M DD is the maximum drawdown duration (in days).

30

Table 14. Comparing Long-Only and Long/Short on EUR/USD using standard criteria
M A1

M A2

W M A1

W M A2

EM A1

EM A2

M ACO

W M ACO

EM ACO

n1 =2558
k1 = 20

TR

0.24

0.17

0.20

0.09

0.12

0.09

0.14

0.16

0.09

k2 = 50

AR

0.05

0.05

0.05

0.05

0.05

0.04

0.05

0.05

0.04

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.52

0.52

0.53

0.51

0.51

0.48

0.50

0.52

0.47

MD

-0.09

-0.21

-0.06

-0.13

-0.05

-0.21

-0.11

-0.13

-0.06

MDD

-796

-1043

-408

-496

-434

-795

-481

-506

-497

k1 = 20

TR

0.24

0.17

0.32

0.09

0.22

0.09

-0.02

0.17

0.07

k2 = 100

AR

0.05

0.05

0.05

0.05

0.05

0.04

0.04

0.05

0.04

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.52

0.53

0.51

0.50

0.48

0.46

0.49

0.46

MD

-0.08

-0.21

-0.17

-0.13

-0.10

-0.21

-0.01

-0.05

-0.05

MDD

-814

-1043

0.52

-1169

-496

-473

-795

-617

-486

-374

k1 = 50

TR

0.17

0.19

0.09

-0.09

0.09

0.06

0.25

0.18

0.18

k2 = 200

AR

0.05

0.05

0.05

0.04

0.04

0.04

0.05

0.05

0.03

SD

0.00

0.00

0.00

0.00

0.00

-0.01

-0.01

-0.01

-0.01

SR

0.52

0.48

0.51

0.45

0.48

0.41

0.49

0.50

0.40

MD

-0.21

-0.19

-0.13

-0.07

-0.21

-0.12

-0.12

-0.09

-0.15

MDD

-1043

-1051

-496

-517

-795

-516

-449

-951

-723

-0.32

n1 =1353
k1 = 20

TR

-0.10

-0.20

-0.08

-0.15

-0.06

-0.28

-0.14

-0.22

k2 = 50

AR

-0.02

-0.02

-0.02

-0.02

-0.01

-0.02

-0.02

-0.02

-0.02

SD

0.00

-0.01

0.00

0.00

0.00

-0.01

-0.01

-0.01

-0.01

SR

-0.16

-0.12

-0.16

-0.14

-0.11

-0.08

-0.15

-0.11

-0.08

MD

-0.10

-0.01

-0.05

-0.04

-0.05

-0.02

-0.02

-0.05

-0.02

MDD

-215

-126

-457

-71

-165

-58

-141

-152

-79

k1 = 20

TR

-0.03

-0.20

0.04

-0.15

-0.08

-0.27

-0.21

-0.14

-0.25

k2 = 100

AR

-0.02

-0.02

-0.02

-0.02

-0.02

-0.02

-0.02

SD

0.00

-0.01

0.00

0.00

0.00

0.00

0.00

0.00

-0.01

SR

-0.16

-0.12

-0.16

-0.02

-0.14

-0.12

-0.07

-0.01

-0.16

-0.15

-0.09
-0.03

MD

-0.06

-0.01

-0.18

-0.04

-0.04

-0.02

-0.02

-0.03

MDD

-463

-126

-296

-71

-69

-58

-38

-121

-81

k1 = 50

TR

-0.20

-0.26

-0.15

-0.33

-0.27

-0.34

0.01

-0.19

-0.07

k2 = 200

AR

-0.02

-0.02

-0.02

-0.02

-0.01

-0.02

-0.02

-0.02

-0.02

SD

-0.01

-0.01

0.00

0.00

0.00

-0.01

-0.01

-0.01

-0.02

SR

-0.12

-0.14

-0.14

-0.13

-0.07

-0.07

-0.19

-0.10

-0.12

MD

-0.01

-0.02

-0.04

-0.03

-0.02

-0.05

-0.16

-0.09

-0.19

MDD

-126

-112

-71

-58

-58

-104

-241

-108

-255

n1 =539
k1 = 20

TR

0.02

-0.06

0.03

-0.03

0.02

-0.09

-0.03

-0.06

-0.06

k2 = 50

AR

-0.01

-0.01

-0.01

-0.02

0.00

-0.01

-0.02

-0.02

-0.01

SD

0.00

0.00

-0.01

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.13

-0.11

-0.16

-0.13

-0.05

-0.05

-0.14

-0.15

-0.03
0.00

MD

-0.05

-0.03

-0.01

-0.05

-0.03

-0.03

-0.03

-0.05

MDD

-27

-140

-128

-54

49

-39

-53

-104

-26

k1 = 20

TR

0.02

-0.06

0.05

-0.03

-0.02

-0.09

-0.06

-0.04

-0.13

k2 = 100

AR

-0.02

-0.01

-0.02

-0.01

-0.02

-0.02

0.02

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.15

-0.11

-0.13

-0.01

-0.13

-0.10

-0.05

-0.01

-0.15

-0.15

0.21

MD

-0.05

-0.03

-0.11

-0.05

-0.07

-0.03

-0.01

-0.04

-0.02

MDD

-14

-140

66

-54

-43

-39

-38

-52

-38

k1 = 50

TR

-0.06

-0.13

-0.03

-0.15

-0.09

-0.04

-0.02

-0.14

-0.02

k2 = 200

AR

-0.01

-0.01

-0.02

0.00

-0.01

0.02

-0.02

0.00

0.02

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.11

-0.04

-0.13

0.01

-0.04

0.23

-0.15

0.02

0.22

MD

-0.03

-0.04

-0.05

-0.05

-0.03

-0.05

-0.11

-0.03

-0.10

MDD

-140

-108

-54

-78

-31

-104

-151

-109

-149

-0.11

Average across n1 given k1 , k2

k1 = 20

TR

0.04

-0.02

0.03

-0.03

0.02

-0.07

-0.01

-0.04

k2 = 50

AR

0.01

0.01

0.01

0.01

0.01

0.01

0.01

0.01

0.01

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

-0.01

SR

0.10

0.12

0.10

0.10

0.13

0.14

0.09

0.11

0.14

MD

-0.08

-0.11

-0.04

-0.09

-0.05

-0.12

-0.07

-0.09

-0.04

MDD

-394

-475

-351

-281

-249

-370

-301

-318

-298

k1 = 20

TR

0.08

-0.02

0.14

-0.03

0.05

-0.07

-0.12

-0.01

-0.11

k2 = 100

AR

0.01

0.01

0.01

0.01

0.01

0.01

0.01

0.01

0.01

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.09

0.12

0.10

0.10

0.13

0.14

0.07

0.08

0.19

MD

-0.06

-0.11

-0.16

-0.09

-0.08

-0.12

0.00

-0.04

-0.04

MDD

-439

-475

-642

-281

-277

-369

-164

-294

-270

k1 = 50

TR

-0.02

-0.07

-0.03

-0.19

-0.08

-0.10

0.08

-0.05

0.03

k2 = 200

AR

0.01

0.01

0.01

0.01

0.01

0.02

0.01

0.01

0.01

SD

0.00

-0.01

0.00

0.00

0.00

-0.01

-0.01

-0.01

-0.01

SR

0.12

0.12

0.10

0.12

0.14

0.20

0.08

0.15

0.18

MD

-0.11

-0.11

-0.09

-0.06

-0.12

-0.09

-0.13

-0.08

-0.15

MDD

-475

-500

-281

-309

-382

-302

-265

-383

-368

Notes: (1) Table entries have the differences in strategy evaluation statistics between the proposed modified rule and the standard cross-over rules as
in section 2.2 of the main text; (2) M Ai denotes the price cross-over strategy based on ki with W M Ai and EM Ai denoting weighted and exponential
moving averages respectively; (3) M ACO, W M ACO and EM ACO denote the moving averages cross-over strategies; (4) T R is the difference in total
return, AR is the difference in annualized return, SD is the difference in annualized std. deviation, SR is the difference in annualized Sharpe ratios, M D
is the maximum drawdown, M DD is the maximum drawdown duration (in days).

31

Table 15. Comparing Long-Only and Long/Short on EUR/USD using modified criteria
M A1

M A2

W M A1

W M A2

EM A1

EM A2

M ACO

W M ACO

EM ACO

-0.19

n1 =2558
k1 = 20

TR

0.18

0.13

0.37

0.45

-0.15

0.20

-0.80

0.11

k2 = 50

AR

0.05

0.06

0.06

0.07

0.04

0.06

0.01

0.06

0.03

SD

0.00

0.00

0.00

0.00

0.00

0.00

-0.01

0.00

0.00

SR

0.56

0.60

0.60

0.70

0.39

0.60

0.21

0.59

0.31

MD

-0.14

-0.12

-0.15

-0.18

-0.08

-0.15

0.03

-0.07

0.00

MDD

-354

-1065

-969

-1537

-316

-833

-404

-349

-36

k1 = 20

TR

-0.13

0.13

-0.31

0.45

0.35

0.20

0.10

-0.39

0.41

k2 = 100

AR

0.04

0.06

0.04

0.07

0.06

0.06

0.05

0.03

0.06

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

-0.01

SR

0.42

0.60

0.43

0.64

0.60

0.51

0.33

MD

-0.10

-0.12

-0.15

-0.18

-0.25

-0.15

-0.02

-0.01

-0.25

MDD

-994

-1065

-433

-1537

0.70

-1373

-833

-497

-843

-1150

0.61

k1 = 50

TR

0.13

0.30

0.45

-0.01

0.20

-0.28

0.29

0.02

0.32

k2 = 200

AR

0.06

0.05

0.07

0.04

0.06

0.00

0.04

0.02

0.05

SD

0.00

-0.01

0.00

0.00

0.00

-0.01

-0.01

-0.01

-0.01

SR

0.60

0.56

0.70

0.38

0.61

0.08

0.51

0.26

0.52

MD

-0.12

-0.23

-0.18

-0.04

-0.15

-0.09

-0.11

-0.26

-0.17

MDD

-1065

-1315

-1537

-897

-833

20

-1177

-1095

-777

n1 =1353
k1 = 20

TR

-0.02

-0.34

0.11

-0.05

-0.04

-0.37

-0.48

-0.18

-0.27

k2 = 50

AR

0.00

-0.04

0.05

0.01

0.03

-0.03

-0.06

-0.01

-0.05

SD

0.00

-0.01

0.00

0.00

0.00

-0.01

-0.01

-0.01

-0.01

SR

0.04

-0.29

0.36

0.06

0.29

-0.15

-0.38

-0.02

-0.36

MD

-0.14

0.04

-0.16

-0.02

-0.11

-0.02

0.03

-0.07

0.01

MDD

-108

-42

-146

-41

-156

-22

-167

k1 = 20

TR

-0.22

-0.34

-0.11

-0.05

-0.06

-0.38

-0.14

-0.38

-0.05

k2 = 100

AR

-0.01

-0.04

0.02

0.01

0.01

-0.03

-0.01

-0.05

SD

0.00

-0.01

0.00

0.00

0.00

-0.01

0.00

-0.01

-0.01

SR

-0.10

-0.29

0.18

0.06

0.07

-0.16

-0.09

-0.40

-0.12

-0.02

MD

-0.10

0.04

-0.14

-0.02

-0.06

-0.02

-0.01

0.01

-0.13

MDD

-109

-42

-90

-41

-94

-22

-186

27

-171

k1 = 50

TR

-0.34

-0.14

-0.05

-0.35

-0.37

-0.06

-0.19

-0.38

0.08

k2 = 200

AR

-0.04

-0.03

0.01

-0.07

-0.03

-0.03

-0.05

-0.11

0.01

SD

-0.01

-0.01

0.00

0.00

-0.01

0.00

-0.02

-0.02

0.00

SR

-0.29

-0.21

0.06

-0.49

-0.14

-0.25

-0.40

-0.86

0.05

MD

0.04

-0.12

-0.02

0.04

-0.02

-0.03

-0.02

-0.08

-0.08

MDD

-42

-68

-41

155

-22

80

-40

-69

-243

n1 =589
k1 = 20

TR

0.05

0.02

0.10

0.05

0.03

-0.03

-0.20

-0.05

0.03

k2 = 50

AR

-0.01

0.06

0.04

0.06

0.06

0.02

-0.02

0.02

0.07

SD

0.00

-0.01

0.00

0.00

0.00

-0.01

0.00

-0.01

0.00

SR

-0.07

0.61

0.39

0.53

0.54

0.20

-0.11

0.21

0.66

MD

-0.14

-0.05

-0.17

-0.07

-0.10

-0.04

-0.03

-0.02

-0.03

MDD

-95

-149

-164

-150

-58

-32

-40

-37

-76

k1 = 20

TR

-0.06

0.02

-0.02

0.05

-0.03

-0.03

-0.01

-0.18

-0.05

k2 = 100

AR

0.07

-0.04

0.06

0.01

0.06

0.02

0.02

-0.03

0.01

SD

0.00

-0.01

0.00

0.00

0.00

-0.01

0.00

0.00

0.00

SR

-0.33

0.61

0.09

0.53

0.20

0.20

0.67

-0.19

0.14

MD

-0.11

-0.05

-0.16

-0.07

-0.10

-0.04

-0.06

-0.02

-0.01

MDD

-109

-149

-65

-150

-108

-32

-137

-37

-69

k1 = 50

TR

0.02

-0.13

0.05

-0.16

-0.04

0.03

0.00

-0.10

0.06

k2 = 200

AR

0.06

-0.06

0.06

-0.07

0.02

0.09

0.04

-0.03

0.04

SD

-0.01

0.00

0.00

0.00

-0.01

0.00

0.00

0.00

0.00

SR

0.61

-0.52

0.53

-0.66

0.19

0.89

0.38

-0.30

0.39

MD

-0.05

0.02

-0.07

-0.01

-0.04

-0.09

-0.05

0.04

-0.02

MDD

-149

-1

-150

10

-8

-152

-78

-133

-42

Average across n1 given k1 , k2

k1 = 20

TR

0.06

-0.12

0.18

0.13

-0.07

-0.09

-0.45

-0.06

-0.16

k2 = 50

AR

0.02

0.02

0.04

0.04

0.03

0.02

-0.01

0.02

0.01

SD

0.00

-0.01

0.00

0.00

0.00

-0.01

-0.01

-0.01

0.00

SR

0.20

0.25

0.42

0.39

0.34

0.24

-0.03

0.25

0.17

MD

-0.14

-0.02

-0.16

-0.07

-0.09

-0.07

0.01

-0.06

0.00

MDD

-166

-343

-419

-596

-146

-378

-211

-180

k1 = 20

TR

-0.15

-0.12

-0.15

0.13

0.07

-0.10

0.02

-0.31

0.12

k2 = 100

AR

0.00

0.02

0.02

0.04

0.03

0.02

0.04

-0.01

0.02

SD

0.00

-0.01

0.00

0.00

0.00

-0.01

0.00

0.00

-0.01

SR

0.04

0.25

0.23

0.39

0.30

0.24

0.39

-0.03

0.24

MD

-0.10

-0.02

-0.14

-0.07

-0.12

-0.07

-0.03

0.00

-0.14

-54

MDD

-359

-343

-164

-596

-448

-378

-329

-288

-602

k1 = 50

TR

-0.12

0.01

0.13

-0.18

-0.11

-0.11

0.05

-0.14

0.15

k2 = 200

AR

0.02

-0.01

0.04

-0.02

0.02

0.01

0.02

-0.03

0.03

SD

-0.01

-0.01

0.00

0.00

-0.01

-0.01

-0.01

-0.01

-0.01

SR

0.25

-0.01

0.39

-0.18

0.23

0.16

0.22

-0.24

0.31

MD

-0.02

-0.12

-0.07

0.00

-0.07

-0.08

-0.05

-0.12

-0.11

MDD

-343

-570

-596

-324

-372

-45

-483

-534

-395

Notes: (1) Table entries have the differences in strategy evaluation statistics between the proposed modified rule and the standard cross-over rules as
in section 2.2 of the main text; (2) M Ai denotes the price cross-over strategy based on ki with W M Ai and EM Ai denoting weighted and exponential
moving averages respectively; (3) M ACO, W M ACO and EM ACO denote the moving averages cross-over strategies; (4) T R is the difference in total
return, AR is the difference in annualized return, SD is the difference in annualized std. deviation, SR is the difference in annualized Sharpe ratios, M D
is the maximum drawdown, M DD is the maximum drawdown duration (in days).

32

Table 16. Comparing Long-Only and Long/Short on USD/JPY using standard criteria
M A1

M A2

W M A1

W M A2

EM A1

EM A2

M ACO

W M ACO

EM ACO

-0.14

n1 =2558
k1 = 20

TR

-0.07

-0.13

-0.15

-0.19

-0.22

-0.13

-0.22

-0.29

k2 = 50

AR

-0.04

-0.05

-0.04

-0.05

-0.04

-0.05

-0.05

-0.04

-0.05

SD

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

SR

-0.47

-0.49

-0.44

-0.47

-0.43

-0.52

-0.47

-0.44

-0.52

MD

-0.14

-0.05

-0.11

0.00

-0.03

-0.03

-0.05

-0.07

-0.07

MDD

-801

-1168

-808

-260

-113

-1185

-519

-371

-608

k1 = 20

TR

-0.30

-0.13

-0.26

-0.19

-0.27

-0.12

-0.10

-0.17

-0.09

k2 = 100

AR

-0.04

-0.05

-0.04

-0.05

-0.04

-0.05

-0.05

-0.05

-0.05

SD

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

SR

-0.42

-0.47

-0.44

-0.52

-0.49

-0.43

-0.50

-0.48

MD

0.02

-0.05

-0.07

0.00

0.03

-0.03

0.04

-0.02

0.02

MDD

-287

-1168

92

-260

-250

-1185

-410

-646

-1230

-0.55

k1 = 50

TR

-0.13

-0.17

-0.19

-0.10

-0.12

-0.10

0.01

-0.07

0.00

k2 = 200

AR

-0.05

-0.05

-0.05

-0.05

-0.05

-0.05

-0.05

-0.05

-0.06

SD

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

SR

-0.49

-0.51

-0.47

-0.53

-0.52

-0.55

-0.57

-0.54

-0.63

MD

-0.05

-0.04

0.00

-0.10

-0.03

0.04

-0.09

-0.15

-0.23

MDD

-1168

-433

-260

-1215

-1185

-696

-1237

-1336

-1304

-0.11

n1 =1353
k1 = 20

TR

0.01

-0.08

0.00

-0.06

-0.06

-0.13

-0.14

-0.15

k2 = 50

AR

-0.07

-0.07

-0.07

-0.07

-0.08

-0.10

-0.07

-0.06

-0.11

SD

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

0.00

-0.01

SR

-0.61

-0.63

-0.59

-0.62

-0.64

-0.80

-0.55

-0.51

-0.86

MD

-0.17

-0.03

-0.12

-0.07

-0.07

-0.04

-0.13

0.01

-0.09

MDD

-360

-385

-338

-372

-323

-392

-387

-81

-415

k1 = 20

TR

-0.07

-0.08

-0.04

-0.06

-0.10

-0.13

-0.02

-0.11

-0.08

k2 = 100

AR

-0.07

-0.07

-0.07

-0.07

-0.08

-0.10

-0.09

-0.07

-0.11

SD

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

SR

-0.55

-0.63

-0.56

-0.62

-0.66

-0.79

-0.77

-0.59

-0.93
-0.07

MD

-0.02

-0.03

-0.11

-0.07

-0.03

-0.04

-0.08

-0.04

MDD

-125

-385

-364

-372

-322

-392

-388

-392

-427

k1 = 50

TR

-0.08

-0.05

-0.06

-0.10

-0.14

-0.07

-0.08

-0.16

-0.06

k2 = 200

AR

-0.07

-0.08

-0.07

-0.07

-0.09

-0.13

-0.08

-0.06

-0.16

SD

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

SR

-0.63

-0.73

-0.62

-0.61

-0.78

-1.09

-0.64

-0.51

-1.30

MD

-0.03

-0.07

-0.07

-0.04

-0.04

-0.06

-0.07

-0.02

-0.08

MDD

-385

-432

-372

-418

-392

-430

-451

-201

-416

n1 =539
k1 = 20

TR

-0.01

0.00

-0.03

0.00

-0.01

0.01

-0.06

-0.02

0.01

k2 = 50

AR

-0.07

-0.08

-0.06

-0.08

-0.05

-0.06

-0.06

-0.08

-0.06

SD

0.01

0.00

0.01

0.00

0.01

0.00

0.00

0.00

0.00

SR

-0.56

-0.76

-0.55

-0.72

-0.45

-0.56

-0.60

-0.70

-0.56
-0.01

MD

-0.06

0.00

-0.05

-0.02

-0.02

-0.04

-0.01

0.01

MDD

-183

-167

-184

-161

-190

-262

-24

-203

-84

k1 = 20

TR

0.02

0.00

-0.02

0.00

-0.01

0.00

0.00

-0.03

0.00

k2 = 100

AR

-0.07

-0.08

-0.08

-0.05

-0.09

-0.08

-0.07

-0.05

-0.07

SD

0.00

0.00

0.01

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.68

-0.76

-0.57

-0.72

-0.51

-0.53

-0.81

-0.73

-0.61

MD

-0.07

0.00

-0.04

-0.02

-0.01

-0.01

-0.02

-0.01

-0.02

MDD

-213

-167

-186

-161

-263

-212

-59

-34

-124

k1 = 50

TR

0.00

0.01

0.00

-0.02

0.00

0.01

0.03

-0.01

0.03

k2 = 200

AR

-0.08

-0.10

-0.08

-0.08

-0.05

-0.14

-0.13

-0.11

-0.22

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.01

0.00

0.01

SR

-0.76

-0.92

-0.72

-0.75

-0.54

-1.34

-1.05

-0.95

-1.72

MD

0.00

-0.06

-0.02

-0.02

-0.02

-0.02

-0.10

-0.09

-0.07

MDD

-167

-237

-161

-98

-262

-214

-243

-73

-104

-0.09

Average across n1 given k1 , k2

k1 = 20

TR

-0.01

-0.07

-0.05

-0.09

-0.10

-0.08

-0.16

-0.14

k2 = 50

AR

-0.05

-0.06

-0.05

-0.06

-0.05

-0.06

-0.05

-0.05

-0.06

SD

0.00

-0.01

0.00

-0.01

0.00

-0.01

-0.01

0.00

-0.01

SR

-0.49

-0.55

-0.47

-0.53

-0.45

-0.56

-0.47

-0.48

-0.57

MD

-0.13

-0.03

-0.09

-0.04

-0.04

-0.02

-0.07

-0.03

-0.05

MDD

-524

-495

-432

-201

-214

-539

-226

-191

-306

k1 = 20

TR

-0.10

-0.07

-0.10

-0.09

-0.12

-0.08

-0.06

-0.12

-0.06

k2 = 100

AR

-0.05

-0.06

-0.05

-0.06

-0.05

-0.06

-0.06

-0.06

-0.07

SD

-0.01

-0.01

0.00

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

SR

-0.48

-0.55

-0.46

-0.53

-0.48

-0.56

-0.60

-0.52

-0.62

MD

-0.01

-0.03

-0.07

-0.04

0.00

-0.02

-0.02

-0.02

-0.01

MDD

-200

-495

-92

-201

-236

-526

-283

-361

-489

k1 = 50

TR

-0.07

-0.07

-0.09

-0.08

-0.08

-0.05

0.00

-0.09

-0.02

k2 = 200

AR

-0.06

-0.07

-0.06

-0.06

-0.06

-0.09

-0.08

-0.06

-0.12

SD

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

0.00

-0.01

0.00

SR

-0.55

-0.62

-0.53

-0.55

-0.56

-0.85

-0.65

-0.57

-1.02

MD

-0.03

-0.06

-0.04

-0.04

-0.02

-0.01

-0.06

-0.07

-0.09

MDD

-495

-320

-201

-432

-539

-337

-683

-483

-508

Notes: (1) Table entries have the differences in strategy evaluation statistics between the proposed modified rule and the standard cross-over rules as
in section 2.2 of the main text; (2) M Ai denotes the price cross-over strategy based on ki with W M Ai and EM Ai denoting weighted and exponential
moving averages respectively; (3) M ACO, W M ACO and EM ACO denote the moving averages cross-over strategies; (4) T R is the difference in total
return, AR is the difference in annualized return, SD is the difference in annualized std. deviation, SR is the difference in annualized Sharpe ratios, M D
is the maximum drawdown, M DD is the maximum drawdown duration (in days).

33

Table 17. Comparing Long-Only and Long/Short on USD/JPY using modified criteria
M A1

M A2

W M A1

W M A2

EM A1

EM A2

M ACO

W M ACO

EM ACO

n1 =2558
k1 = 20

TR

0.16

0.26

0.17

0.15

0.08

0.14

-0.03

0.12

0.02

k2 = 50

AR

-0.01

0.01

0.00

-0.02

-0.03

-0.01

-0.04

-0.02

-0.04

SD

-0.01

-0.01

0.00

-0.01

0.00

-0.01

-0.01

-0.01

-0.01

SR

-0.13

-0.02

-0.02

-0.19

-0.33

-0.13

-0.46

-0.20

-0.43

MD

-0.67

-0.86

-0.41

-0.45

-0.48

-0.44

-0.33

-0.38

-0.10

MDD

-825

-1297

-975

-1269

-988

-1214

-1251

-1297

-1296
-0.05

k1 = 20

TR

-0.08

0.26

-0.02

0.15

0.18

0.19

0.06

0.01

k2 = 100

AR

-0.03

0.01

-0.04

-0.02

0.00

0.00

-0.01

-0.04

-0.03

SD

0.00

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

SR

-0.26

-0.02

-0.38

-0.43

-0.32

MD

-0.10

-0.86

-0.20

-0.45

-0.52

-0.46

-0.22

-0.31

-0.17

MDD

-304

-1297

-315

-1269

-0.19

-1110

-0.09

-1312

-0.05

-1156

-0.13

-1196

-562

k1 = 50

TR

0.26

0.01

0.15

0.11

0.19

-0.22

-0.01

-0.35

-0.08

k2 = 200

AR

0.01

-0.02

-0.02

-0.01

0.00

-0.05

-0.06

-0.07

-0.09

SD

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

0.00

-0.01

-0.01

SR

-0.02

-0.23

-0.19

-0.18

-0.05

-0.47

-0.62

-0.69

-0.90

MD

-0.86

-0.19

-0.45

-0.30

-0.46

-0.09

-0.23

-0.14

-0.18

MDD

-1297

-758

-1269

-1042

-1312

-762

-963

-975

-315

n1 =1353
k1 = 20

TR

0.03

0.08

0.12

0.11

0.02

0.03

-0.13

0.08

-0.04

k2 = 50

AR

-0.05

0.00

0.00

-0.03

-0.08

-0.04

-0.04

0.01

-0.07

SD

-0.01

-0.01

0.00

-0.01

0.00

-0.01

-0.01

-0.01

-0.01

SR

-0.42

-0.06

-0.02

-0.30

-0.68

-0.34

-0.32

0.08

-0.60

MD

-0.12

-0.16

-0.18

-0.17

-0.12

-0.21

-0.07

-0.29

-0.20

MDD

-309

-381

-389

-371

-418

-391

-426

-418

-386

k1 = 20

TR

-0.03

0.08

0.01

0.11

0.11

0.02

0.12

-0.04

0.00

k2 = 100

AR

-0.06

0.00

-0.07

-0.03

-0.03

-0.03

0.03

-0.04

-0.05

-0.02

SD

0.00

-0.01

0.00

-0.01

-0.01

-0.01

-0.01

-0.01

SR

-0.49

-0.06

-0.60

-0.30

-0.32

-0.31

0.24

-0.31

-0.40

MD

-0.11

-0.16

-0.11

-0.17

-0.20

-0.21

-0.22

-0.17

-0.19

MDD

-188

-381

-320

-371

-376

-391

-455

-412

-343

k1 = 50

TR

0.08

-0.09

0.11

0.00

-0.01

-0.25

-0.02

-0.18

0.00

k2 = 200

AR

0.00

-0.06

-0.03

-0.04

-0.05

-0.11

-0.08

-0.05

-0.23

SD

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

0.01

0.00

-0.01

SR

-0.06

-0.48

-0.30

-0.33

-0.46

-0.84

-0.59

-0.40

-1.97

MD

-0.16

-0.09

-0.17

-0.20

-0.21

-0.07

-0.17

-0.08

-0.35

MDD

-381

-445

-371

-422

-391

-178

-389

-205

-469

0.11

n1 =589
k1 = 20

TR

-0.03

0.08

0.02

0.14

-0.02

0.00

-0.03

0.12

k2 = 50

AR

-0.04

0.00

0.01

0.04

-0.01

-0.01

-0.04

0.04

0.01

SD

0.00

0.00

0.01

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.39

0.01

0.06

0.40

-0.05

-0.11

-0.38

0.34

0.15

MD

-0.04

-0.13

-0.05

-0.18

-0.07

-0.08

-0.07

-0.22

-0.17

MDD

-136

-162

-115

-213

-138

-77

-214

-237

-225

k1 = 20

TR

0.06

0.08

-0.01

0.14

0.11

0.01

0.02

0.03

0.13

k2 = 100

AR

0.02

0.00

-0.01

0.04

0.04

-0.01

-0.06

0.01

SD

0.01

0.00

0.00

0.00

0.00

0.00

-0.02

0.00

0.00

SR

0.24

0.01

-0.07

0.40

0.41

-0.12

-0.78

0.08

0.08

0.00

MD

-0.18

-0.13

-0.05

-0.18

-0.18

-0.08

-0.06

-0.17

-0.17

MDD

-202

-162

-153

-213

-189

-77

-112

-216

-230

k1 = 50

TR

0.08

-0.04

0.14

0.04

0.01

0.08

-0.02

-0.01

0.02

k2 = 200

AR

0.00

-0.16

0.04

-0.05

-0.01

-0.07

-0.27

-0.17

-0.32

SD

0.00

0.00

0.00

0.00

0.00

0.01

0.01

0.01

0.03

SR

0.01

-1.53

0.40

-0.47

-0.10

-0.55

-2.24

-1.40

-2.15

MD

-0.13

-0.03

-0.18

-0.12

-0.08

-0.11

-0.03

-0.10

-0.10

MDD

-162

-8

-213

-210

-143

-262

-289

-279

-294

Average across n1 given k1 , k2

k1 = 20

TR

0.10

0.16

0.13

0.12

0.07

0.07

-0.04

0.10

0.05

k2 = 50

AR

-0.02

0.01

0.01

0.00

-0.03

-0.01

-0.03

0.01

-0.02

SD

0.00

-0.01

0.00

-0.01

0.00

-0.01

-0.01

-0.01

-0.01

SR

-0.19

0.05

0.06

-0.05

-0.27

-0.12

-0.28

0.08

-0.24

MD

-0.34

-0.37

-0.22

-0.24

-0.29

-0.24

-0.13

-0.28

-0.17

MDD

-580

-651

-620

-703

-646

-618

-509

-495

-662

k1 = 20

TR

0.00

0.16

0.02

0.12

0.15

0.09

0.09

0.02

0.03

k2 = 100

AR

-0.02

0.01

-0.03

0.00

0.01

-0.01

0.00

-0.02

-0.02

SD

0.00

-0.01

0.00

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

SR

-0.13

0.05

-0.28

-0.05

0.04

-0.09

-0.09

-0.16

-0.18

MD

-0.13

-0.37

-0.15

-0.24

-0.30

-0.24

-0.17

-0.21

-0.18

MDD

-298

-651

-454

-703

-657

-643

-554

-647

-349

k1 = 50

TR

0.16

-0.04

0.12

0.06

0.08

-0.12

0.01

-0.16

0.00

k2 = 200

AR

0.01

-0.06

0.00

-0.02

-0.01

-0.06

-0.11

-0.08

-0.17

SD

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

0.00

0.00

0.00

SR

0.05

-0.59

-0.05

-0.24

-0.12

-0.54

-0.92

-0.67

-1.42

MD

-0.37

-0.10

-0.24

-0.20

-0.24

-0.09

-0.13

-0.10

-0.21

MDD

-651

-341

-703

-606

-659

-393

-616

-459

-358

Notes: (1) Table entries have the differences in strategy evaluation statistics between the proposed modified rule and the standard cross-over rules as
in section 2.2 of the main text; (2) M Ai denotes the price cross-over strategy based on ki with W M Ai and EM Ai denoting weighted and exponential
moving averages respectively; (3) M ACO, W M ACO and EM ACO denote the moving averages cross-over strategies; (4) T R is the difference in total
return, AR is the difference in annualized return, SD is the difference in annualized std. deviation, SR is the difference in annualized Sharpe ratios, M D
is the maximum drawdown, M DD is the maximum drawdown duration (in days).

34

Addendum

The tables that follow are supplementary material and are not discussed in the main text. They contain
results for the comparison between the long-only and the long/short strategies for the standard price
and moving average cross-overs.

35

Table 1-A. Comparing Long-Only and Long/Short on QQQQ using standard criteria
M A1

M A2

W M A1

W M A2

EM A1

EM A2

M ACO

W M ACO

EM ACO

n1 =2297
k1 = 20

TR

0.66

0.65

0.65

0.44

0.58

0.33

0.67

0.66

0.37

k2 = 50

AR

0.09

0.08

0.09

0.07

0.07

0.05

0.09

0.08

0.05

SD

-0.05

-0.06

-0.04

-0.05

-0.06

-0.06

-0.05

-0.05

-0.06

SR

0.40

0.42

0.39

0.42

0.39

0.32

0.40

0.39

0.30

MD

-0.94

-0.54

-0.73

-0.45

-0.63

-0.26

-0.66

-0.50

-0.62
-1168

MDD

-816

-1837

-1349

-1122

-1489

-1244

-1673

-1664

k1 = 20

TR

0.66

0.55

0.65

0.62

0.58

0.44

0.66

0.64

0.48

k2 = 100

AR

0.09

0.07

0.09

0.07

0.07

0.05

0.08

0.08

0.05

SD

-0.05

-0.06

-0.04

-0.06

-0.06

-0.07

-0.06

-0.06

-0.07

SR

0.40

0.40

0.39

0.42

0.39

0.39

0.40

0.41

MD

-0.94

-0.34

-0.73

-0.32

-0.63

-0.48

-0.56

-0.21

-0.45

MDD

-816

-639

-1349

-1057

-1489

-1310

-1092

-1045

-1254

0.35

k1 = 50

TR

0.65

0.67

0.44

0.68

0.28

0.77

0.67

0.67

0.77

k2 = 200

AR

0.08

0.07

0.07

0.08

0.05

0.08

0.08

0.08

0.08

SD

-0.06

-0.08

-0.05

-0.07

-0.06

-0.06

-0.08

-0.07

-0.06

SR

0.42

0.46

0.42

0.39

0.31

0.48

0.47

0.40

0.51

MD

-0.54

-0.45

-0.45

-0.72

-0.26

-0.83

-0.60

-0.50

-0.55

MDD

-1837

-903

-1122

-1426

-1244

-1276

-1061

-1832

-939

0.10

n1 =787
k1 = 20

TR

0.09

0.07

0.06

-0.24

0.04

0.03

0.22

0.16

k2 = 50

AR

0.04

0.04

0.04

0.02

0.03

0.04

0.06

0.05

0.05

SD

-0.09

-0.09

-0.07

-0.09

-0.09

-0.10

-0.07

-0.08

-0.10

SR

0.28

0.31

0.26

0.38

0.26

0.38

0.21

0.24

0.34

MD

-0.27

-0.10

-0.11

-0.09

-0.07

-0.25

-0.31

-0.13

-0.09

MDD

-187

-52

-167

-57

-291

-172

-183

-137

-57

k1 = 20

TR

0.09

-0.22

0.06

0.05

0.04

0.13

0.04

0.12

0.16

k2 = 100

AR

0.04

0.02

0.04

0.04

0.03

0.07

0.04

0.05

0.08

SD

-0.09

-0.09

-0.07

-0.10

-0.09

-0.11

-0.09

-0.09

-0.11

SR

0.28

0.43

0.26

0.34

0.26

0.61

0.34

0.29

0.57
-0.14

MD

-0.27

-0.10

-0.11

-0.11

-0.07

-0.17

-0.08

-0.08

MDD

-187

-87

-167

-27

-291

-140

-35

-35

-131

k1 = 50

TR

0.07

0.09

-0.24

0.10

0.00

0.17

0.18

0.11

-0.04

k2 = 200

AR

0.04

0.04

0.02

0.04

0.04

0.09

0.06

0.05

0.07

SD

-0.09

-0.10

-0.09

-0.10

-0.10

-0.12

-0.09

-0.09

-0.12

SR

0.31

0.32

0.38

0.31

0.41

0.63

0.27

0.30

0.82

MD

-0.10

-0.30

-0.09

-0.24

-0.27

-0.40

-0.23

-0.23

-0.38

MDD

-52

-318

-57

-75

-227

-378

-206

-74

-374

n1 =431
k1 = 20

TR

0.44

0.40

0.39

0.30

0.33

0.26

0.47

0.42

0.28

k2 = 50

AR

0.29

0.25

0.26

0.21

0.23

0.20

0.31

0.27

0.21

SD

-0.03

-0.02

-0.03

-0.03

-0.03

-0.03

-0.02

-0.03

-0.01

SR

1.58

1.36

1.49

1.23

1.39

1.28

1.53

1.46

1.18

MD

-0.27

-0.16

-0.22

-0.04

-0.20

-0.11

-0.27

-0.18

-0.18
-135

MDD

-285

-130

-162

-41

-335

-63

-85

-93

k1 = 20

TR

0.44

0.32

0.39

0.36

0.33

0.18

0.40

0.42

k2 = 100

AR

0.29

0.20

0.26

0.22

0.23

0.16

0.26

0.26

0.12

SD

-0.03

-0.02

-0.03

-0.02

-0.03

-0.02

-0.02

-0.02

-0.01

0.13

SR

1.58

1.07

1.49

1.21

1.39

0.95

1.38

1.37

0.72

MD

-0.27

-0.12

-0.22

-0.14

-0.20

-0.17

-0.17

-0.22

-0.09

MDD

-285

-135

-162

-134

-335

-59

-79

-135

-68

k1 = 50

TR

0.40

0.45

0.30

0.45

0.18

0.17

0.46

0.42

0.09

k2 = 200

AR

0.25

0.28

0.21

0.27

0.16

0.20

0.29

0.26

0.10

SD

-0.02

-0.02

-0.03

-0.03

-0.02

-0.01

-0.02

-0.02

0.00

SR

1.36

1.41

1.23

1.42

1.06

1.02

1.52

1.39

0.49

MD

-0.16

-0.25

-0.04

-0.24

-0.11

-0.20

-0.35

-0.23

-0.05

MDD

-130

-169

-41

-87

-63

-48

-330

-120

-12

Average across n1 given k1 , k2

k1 = 20

TR

0.48

0.46

0.45

0.28

0.41

0.30

0.52

0.49

0.33

k2 = 50

AR

0.13

0.12

0.12

0.10

0.11

0.09

0.14

0.13

0.10

SD

-0.05

-0.05

-0.05

-0.05

-0.06

-0.06

-0.05

-0.05

-0.06

SR

0.71

0.67

0.68

0.65

0.66

0.62

0.67

0.66

0.58

MD

-0.55

-0.30

-0.33

-0.24

-0.32

-0.22

-0.43

-0.25

-0.38

-906

-661

-544

-920

-681

-801

-802

-632

MDD

-724

k1 = 20

TR

0.48

0.30

0.45

0.42

0.41

0.30

0.44

0.47

k2 = 100

AR

0.13

0.09

0.12

0.10

0.11

0.09

0.12

0.12

0.08

SD

-0.05

-0.06

-0.05

-0.06

-0.06

-0.07

-0.05

-0.05

-0.06

0.31

SR

0.71

0.61

0.68

0.63

0.66

0.60

0.67

0.66

0.51

MD

-0.55

-0.23

-0.33

-0.22

-0.32

-0.23

-0.36

-0.18

-0.24
-580

MDD

-724

-375

-661

-510

-920

-560

-575

-565

k1 = 50

TR

0.46

0.45

0.28

0.47

0.26

0.38

0.49

0.46

0.32

k2 = 200

AR

0.12

0.11

0.10

0.12

0.08

0.11

0.13

0.12

0.08

SD

-0.05

-0.06

-0.05

-0.06

-0.06

-0.06

-0.06

-0.06

-0.06

SR

0.67

0.67

0.65

0.66

0.57

0.63

0.69

0.64

0.55

MD

-0.30

-0.33

-0.24

-0.39

-0.22

-0.45

-0.44

-0.30

-0.45

MDD

-906

-492

-544

-547

-695

-553

-665

-623

-574

Notes: (1) Table entries have the differences in strategy evaluation statistics between the proposed modified rule and the standard cross-over rules as
in section 2.2 of the main text; (2) M Ai denotes the price cross-over strategy based on ki with W M Ai and EM Ai denoting weighted and exponential
moving averages respectively; (3) M ACO, W M ACO and EM ACO denote the moving averages cross-over strategies; (4) T R is the difference in total
return, AR is the difference in annualized return, SD is the difference in annualized std. deviation, SR is the difference in annualized Sharpe ratios, M D
is the maximum drawdown, M DD is the maximum drawdown duration (in days).

36

Table 2-A. Comparing Long-Only and Long/Short on QQQQ using modified criteria
M A1

M A2

W M A1

W M A2

EM A1

EM A2

M ACO

W M ACO

EM ACO

0.49

n1 =2297
k1 = 20

TR

0.96

1.09

0.87

0.79

0.70

0.30

0.38

-0.19

k2 = 50

AR

0.12

0.11

0.11

0.09

0.09

0.07

0.04

0.01

0.06

SD

-0.05

-0.05

-0.05

-0.05

-0.05

-0.06

-0.06

-0.05

-0.07

SR

0.57

0.62

0.52

0.49

0.52

0.48

0.28

0.15

0.45

MD

-1.00

-0.27

-1.02

-0.45

-0.43

-0.28

-0.58

-0.62

-0.28

MDD

-1580

-1316

-1630

-1594

-405

-1300

-1171

-774

-1153

k1 = 20

TR

0.96

0.32

0.87

-0.09

0.70

0.39

1.12

0.78

0.79

k2 = 100

AR

0.12

0.06

0.11

0.05

0.09

0.06

0.12

0.08

0.08

SD

-0.05

-0.05

-0.05

-0.05

-0.05

-0.07

-0.06

-0.06

-0.06

0.57

0.42

0.52

0.39

0.52

0.46

MD

-1.00

-0.18

-1.02

-0.25

-0.43

-0.32

-0.55

-0.44

-0.68

MDD

SR

-1580

-665

-1630

-629

-405

-985

-1660

0.63

-1330

0.42

-1622

0.52

k1 = 50

TR

1.09

-0.64

0.79

0.62

0.25

-0.09

0.71

1.02

0.79

k2 = 200

AR

0.11

-0.02

0.09

0.07

0.06

0.00

0.08

0.08

0.07

SD

-0.05

-0.07

-0.05

-0.07

-0.06

-0.04

-0.02

-0.07

-0.04

SR

0.62

0.09

0.49

0.38

0.43

0.11

0.33

0.54

0.37

MD

-0.27

-0.12

-0.45

-0.69

-0.28

-0.21

-0.25

-0.33

-0.42

MDD

-1316

-402

-1594

-1146

-1300

-361

-455

-900

-608

n1 =787
k1 = 20

TR

0.17

-0.03

0.18

-0.01

0.20

-0.37

-0.20

-0.79

0.09

k2 = 50

AR

0.05

0.06

0.08

0.00

0.10

0.00

-0.04

-0.17

0.08

SD

-0.09

-0.09

-0.08

-0.09

-0.10

-0.11

-0.10

-0.08

-0.11

SR

0.29

0.60

0.45

0.16

0.61

0.48

0.04

-0.44

0.68

MD

-0.12

-0.23

-0.35

-0.07

-0.27

-0.26

0.03

0.02

-0.28
-134

MDD

-151

-108

-132

-135

-147

11

22

k1 = 20

TR

0.17

-0.05

0.18

-0.35

0.20

0.16

0.38

-0.03

0.32

k2 = 100

AR

0.05

0.05

0.08

0.01

0.10

0.09

0.14

0.00

0.13

SD

-0.09

-0.10

-0.08

-0.09

-0.10

-0.11

-0.10

-0.10

-0.11

SR

0.29

0.53

0.45

0.43

0.61

0.66

0.64

0.17

0.79

MD

-0.12

-0.23

-0.35

-0.09

-0.27

-0.24

-0.34

-0.09

-0.32
-217

MDD

-151

-112

-132

-26

-135

-89

-577

-35

k1 = 50

TR

-0.03

-0.03

-0.01

0.20

-0.22

-0.22

0.28

0.35

0.12

k2 = 200

AR

0.06

-0.02

0.00

0.10

0.04

-0.01

0.12

0.14

0.05

SD

-0.09

-0.10

-0.09

-0.10

-0.11

-0.12

-0.11

-0.10

0.00

SR

0.60

0.05

0.16

0.63

0.67

0.47

0.65

0.72

0.16

MD

-0.23

-0.14

-0.07

-0.36

-0.26

-0.32

-0.42

-0.33

0.00

MDD

-108

-241

-321

-147

-392

-302

-316

-24

n1 =431
k1 = 20

TR

0.35

0.36

0.43

0.40

0.50

0.33

0.22

-0.17

0.25

k2 = 50

AR

0.23

0.20

0.27

0.21

0.33

0.22

0.16

-0.01

0.17

SD

-0.02

-0.01

-0.02

-0.01

-0.02

-0.02

-0.01

0.00

-0.01

SR

1.19

1.09

1.39

1.06

1.87

1.32

0.87

-0.03

0.90

MD

-0.30

-0.16

-0.36

-0.25

-0.37

-0.11

-0.16

0.13

-0.28

MDD

-56

-157

-88

-43

-205

-147

-82

17

-53

k1 = 20

TR

0.35

0.30

0.43

0.16

0.50

0.19

0.37

0.10

0.30

k2 = 100

AR

0.23

0.19

0.27

0.14

0.33

0.17

0.19

SD

-0.02

-0.01

-0.02

-0.01

-0.02

-0.02

-0.01

0.00

0.00

SR

1.19

1.00

1.39

0.79

1.87

1.02

0.94

0.43

1.23
-0.22

0.08

0.23

MD

-0.30

-0.20

-0.36

-0.15

-0.37

-0.20

-0.25

-0.16

MDD

-56

-71

-88

-85

-205

-61

-51

-56

-38

k1 = 50

TR

0.36

-0.08

0.40

0.39

0.28

0.23

0.25

0.45

0.14

k2 = 200

AR

0.20

0.03

0.21

0.22

0.19

0.29

0.11

0.17

0.15

SD

-0.01

0.00

-0.01

-0.01

-0.01

-0.02

0.00

0.00

0.00

SR

1.09

0.16

1.06

1.10

1.13

1.53

0.54

0.80

0.78

MD

-0.16

-0.01

-0.25

-0.23

-0.11

-0.26

-0.01

-0.20

-0.07

MDD

-157

-46

-43

-74

-147

-57

-28

-26

-21

Average across n1 given k1 , k2

k1 = 20

TR

0.55

0.63

0.51

0.44

0.47

0.12

0.27

-0.56

0.34

k2 = 50

AR

0.13

0.13

0.14

0.10

0.15

0.09

0.06

-0.05

0.10

SD

-0.05

-0.05

-0.05

-0.05

-0.06

-0.06

-0.06

-0.05

-0.06

SR

0.66

0.78

0.74

0.56

0.89

0.70

0.43

-0.05

0.64

MD

-0.44

-0.25

-0.52

-0.27

-0.32

-0.20

-0.27

-0.12

-0.28

-514

-584

-234

-541

MDD

-595

-546

-700

-285

-474

k1 = 20

TR

0.55

0.23

0.51

-0.02

0.47

0.23

0.70

0.39

k2 = 100

AR

0.13

0.09

0.14

0.07

0.15

0.09

0.14

0.06

0.13

SD

-0.05

-0.05

-0.05

-0.05

-0.06

-0.06

-0.05

-0.05

-0.05

0.48

SR

0.66

0.63

0.74

0.54

0.89

0.64

0.71

0.38

0.75

MD

-0.44

-0.21

-0.52

-0.16

-0.32

-0.27

-0.33

-0.28

-0.35

MDD

-595

-388

-546

-342

-285

-449

-906

-588

-676

k1 = 50

TR

0.63

-0.17

0.44

0.41

0.18

0.01

0.56

0.75

0.34

k2 = 200

AR

0.13

0.00

0.10

0.11

0.09

0.08

0.10

0.13

0.08

SD

-0.05

-0.06

-0.05

-0.06

-0.06

-0.06

-0.04

-0.05

-0.02

SR

0.78

0.11

0.56

0.63

0.70

0.56

0.53

0.68

0.41

MD

-0.25

-0.10

-0.27

-0.37

-0.20

-0.25

-0.31

-0.29

-0.23

MDD

-514

-273

-700

-415

-474

-241

-489

-536

-218

Notes: (1) Table entries have the differences in strategy evaluation statistics between the proposed modified rule and the standard cross-over rules as
in section 2.2 of the main text; (2) M Ai denotes the price cross-over strategy based on ki with W M Ai and EM Ai denoting weighted and exponential
moving averages respectively; (3) M ACO, W M ACO and EM ACO denote the moving averages cross-over strategies; (4) T R is the difference in total
return, AR is the difference in annualized return, SD is the difference in annualized std. deviation, SR is the difference in annualized Sharpe ratios, M D
is the maximum drawdown, M DD is the maximum drawdown duration (in days).

37

Table 3-A. Comparing Long-Only and Long/Short on XLE using standard criteria
M A1

M A2

W M A1

W M A2

EM A1

EM A2

M ACO

W M ACO

EM ACO

n1 =2297
k1 = 20

TR

0.71

0.94

0.56

0.86

0.74

1.03

0.90

0.96

1.10

k2 = 50

AR

0.16

0.14

0.17

0.15

0.16

0.14

0.15

0.14

0.13

SD

-0.05

-0.08

-0.05

-0.07

-0.06

-0.09

-0.07

-0.07

-0.08

SR

0.51

0.53

0.51

0.52

0.51

0.55

0.52

0.52

0.53

MD

-5.17

-2.11

-12.56

-2.84

-5.10

-1.53

-2.52

-1.78

-2.25
-484

MDD

-1465

-1765

-950

-1662

-1680

-1794

-1625

-1619

k1 = 20

TR

0.71

1.18

0.56

0.88

0.74

1.17

1.18

1.08

1.11

k2 = 100

AR

0.16

0.11

0.17

0.15

0.16

0.10

0.10

0.13

0.08

SD

-0.05

-0.05

-0.09

-0.06

-0.09

-0.08

-0.08

-0.08

-0.08

SR

0.51

0.51

0.51

0.52

0.51

0.50

0.48

0.52

0.44

MD

-5.17

-1.29

-12.56

-3.41

-5.10

-0.66

-0.57

-2.88

-0.73

MDD

-1465

-897

-950

-502

-1680

-412

-898

-498

-295

k1 = 50

TR

0.94

1.18

0.86

1.21

1.06

1.28

0.98

1.03

1.29

k2 = 200

AR

0.14

0.09

0.15

0.09

0.14

0.13

0.07

0.07

0.09

SD

-0.08

-0.08

-0.07

-0.08

-0.09

-0.09

-0.07

-0.08

-0.08

SR

0.53

0.49

0.52

0.49

0.56

0.59

0.41

0.43

0.51

MD

-2.11

-0.60

-2.84

-0.79

-1.27

-1.84

-0.36

-0.36

-0.93

MDD

-1765

-845

-1662

-491

-1286

-775

-432

-244

-253

n1 =787
k1 = 20

TR

0.31

0.27

0.32

0.19

0.32

0.23

0.32

0.31

0.28

k2 = 50

AR

0.07

0.05

0.07

0.04

0.07

0.04

0.06

0.06

0.05

SD

-0.08

-0.14

-0.09

-0.13

-0.11

-0.16

-0.13

-0.13

-0.16

SR

0.11

0.17

0.08

0.21

0.09

0.15

0.09

0.11

0.07

MD

-1.46

-0.77

-1.80

-1.26

-1.27

-1.27

-1.14

-0.62

-0.65
-128

MDD

-217

-85

-193

-211

-337

-195

-98

-338

k1 = 20

TR

0.31

0.29

0.32

0.33

0.32

0.15

0.20

0.32

0.23

k2 = 100

AR

0.07

0.05

0.07

0.06

0.07

0.03

0.04

0.06

0.03

SD

-0.08

-0.15

-0.09

-0.15

-0.11

-0.18

-0.14

-0.14

-0.17

SR

0.11

0.15

0.08

0.09

0.09

0.25

0.21

0.11

0.13

MD

-1.46

-1.01

-1.80

-1.67

-1.27

-0.66

-0.39

-0.75

-0.73
-202

MDD

-217

-134

-193

-201

-337

-398

-366

-338

k1 = 50

TR

0.27

0.26

0.19

0.26

0.25

0.31

0.11

0.21

0.23

k2 = 200

AR

0.05

0.05

0.04

0.05

0.04

0.01

0.02

0.04

0.06

SD

-0.14

-0.15

-0.13

-0.15

-0.16

-0.24

-0.13

-0.14

-0.22

SR

0.17

0.19

0.21

0.19

0.12

-0.29

0.20

0.19

0.30

MD

-0.77

-0.57

-1.26

-0.79

-1.27

-1.98

-0.36

-0.36

-0.91

MDD

-85

-222

-211

-329

-195

-296

-373

-241

-464

n1 =431
k1 = 20

TR

0.36

0.36

0.38

0.39

0.21

0.23

0.43

0.30

0.26

k2 = 50

AR

0.26

0.26

0.28

0.28

0.19

0.18

0.33

0.24

0.20

SD

-0.02

-0.01

-0.02

-0.02

-0.02

-0.02

-0.01

-0.02

-0.01

SR

1.00

0.97

1.06

1.03

0.83

0.77

1.18

0.92

0.80

MD

-0.36

-0.29

-0.57

-0.38

-0.25

-0.28

-0.74

-0.12

-0.37
-233

MDD

-140

-267

-160

-176

-198

-189

-194

k1 = 20

TR

0.36

0.42

0.38

0.42

0.21

0.21

0.38

0.40

k2 = 100

AR

0.26

0.31

0.28

0.31

0.19

0.18

0.27

0.29

0.12

SD

-0.02

-0.02

-0.02

-0.03

-0.02

-0.03

-0.02

-0.02

-0.01

0.12

SR

1.00

1.15

1.06

1.15

0.83

0.78

1.05

1.08

0.57

MD

-0.36

-0.73

-0.57

-0.82

-0.25

-0.29

-0.27

-0.46

-0.13

MDD

-140

-316

-160

-264

-198

-92

-321

-110

-79

k1 = 50

TR

0.36

0.40

0.39

0.41

0.23

0.21

0.34

0.38

0.25

k2 = 200

AR

0.26

0.29

0.28

0.29

0.18

0.18

0.27

0.27

0.10

SD

-0.01

-0.04

-0.02

-0.04

-0.02

-0.04

-0.03

-0.03

0.00

SR

0.97

1.16

1.03

1.12

0.75

0.64

1.08

1.07

0.41

MD

-0.29

-0.51

-0.38

-0.50

-0.25

-0.32

-0.23

-0.30

-0.50

MDD

-267

-354

-176

-307

-189

-113

-92

-364

-137

Average across n1 given k1 , k2

k1 = 20

TR

0.58

0.69

0.52

0.65

0.57

0.67

0.67

0.67

0.68

k2 = 50

AR

0.17

0.15

0.18

0.16

0.15

0.13

0.18

0.15

0.13

SD

-0.05

-0.08

-0.05

-0.07

-0.06

-0.09

-0.07

-0.07

-0.08

SR

0.56

0.57

0.57

0.60

0.51

0.53

0.60

0.54

0.50

MD

-2.25

-1.03

-4.95

-1.44

-2.10

-1.09

-1.58

-0.96

-1.38

-741

-663

-713

-896

-628

-685

-693

-332

MDD

-801

k1 = 20

TR

0.58

0.78

0.52

0.65

0.57

0.69

0.75

0.72

k2 = 100

AR

0.17

0.15

0.18

0.17

0.15

0.10

0.13

0.16

0.08

SD

-0.05

-0.09

-0.05

-0.09

-0.06

-0.10

-0.08

-0.08

-0.09

0.65

SR

0.56

0.59

0.57

0.60

0.51

0.52

0.56

0.58

0.41

MD

-2.25

-1.08

-4.95

-2.33

-2.10

-0.57

-0.45

-1.74

-0.58
-218

MDD

-801

-561

-663

-367

-896

-329

-621

-361

k1 = 50

TR

0.69

0.77

0.65

0.78

0.68

0.71

0.54

0.64

0.63

k2 = 200

AR

0.15

0.13

0.16

0.13

0.13

0.11

0.10

0.11

0.08

SD

-0.08

-0.09

-0.07

-0.09

-0.09

-0.11

-0.08

-0.08

-0.09

SR

0.57

0.58

0.60

0.58

0.52

0.37

0.52

0.53

0.41

MD

-1.03

-0.57

-1.44

-0.71

-1.02

-1.49

-0.33

-0.35

-0.82

MDD

-741

-567

-713

-408

-501

-490

-298

-273

-277

Notes: (1) Table entries have the differences in strategy evaluation statistics between the proposed modified rule and the standard cross-over rules as
in section 2.2 of the main text; (2) M Ai denotes the price cross-over strategy based on ki with W M Ai and EM Ai denoting weighted and exponential
moving averages respectively; (3) M ACO, W M ACO and EM ACO denote the moving averages cross-over strategies; (4) T R is the difference in total
return, AR is the difference in annualized return, SD is the difference in annualized std. deviation, SR is the difference in annualized Sharpe ratios, M D
is the maximum drawdown, M DD is the maximum drawdown duration (in days).

38

Table 4-A. Comparing Long-Only and Long/Short on XLE using modified criteria
M A1

M A2

W M A1

W M A2

EM A1

EM A2

M ACO

W M ACO

EM ACO

n1 =2297
k1 = 20

TR

1.09

0.68

0.79

0.82

1.23

0.60

1.09

1.13

0.46

k2 = 50

AR

0.18

0.11

0.16

0.11

0.22

0.07

0.12

0.13

0.04

SD

-0.05

-0.07

-0.05

-0.07

-0.06

-0.08

-0.08

-0.08

-0.08

SR

0.63

0.36

0.53

0.41

0.78

0.27

0.51

0.54

0.30

MD

-2.70

-1.89

-4.16

-1.70

-4.05

-1.27

-0.77

-1.12

-0.66
-335

MDD

-754

-1797

-1783

-496

-1906

-1319

-873

-808

k1 = 20

TR

1.09

1.03

0.79

0.77

1.23

1.02

1.52

0.76

1.65

k2 = 100

AR

0.18

0.09

0.16

0.09

0.22

0.09

0.14

0.06

0.16

SD

-0.05

-0.08

-0.05

-0.08

-0.06

-0.09

-0.08

-0.08

-0.08

SR

0.63

0.42

0.53

0.38

0.78

0.46

0.61

0.36

0.67

MD

-2.70

-0.83

-4.16

-0.89

-4.05

-1.09

-1.75

-0.71

-1.74

MDD

-754

-717

-1783

-961

-1906

-781

-862

-340

-787

k1 = 50

TR

0.68

1.20

0.82

1.27

0.53

0.87

1.04

1.84

-0.03

k2 = 200

AR

0.11

0.09

0.11

0.10

0.06

0.06

0.06

0.10

0.01

SD

-0.07

-0.08

-0.07

-0.08

-0.08

-0.08

-0.06

-0.08

0.00

SR

0.36

0.46

0.41

0.50

0.23

0.35

0.34

0.54

0.02

MD

-1.89

-0.64

-1.70

-0.79

-1.27

-0.74

-0.11

-0.93

-0.20

MDD

-1797

-847

-496

-942

-1319

-212

-105

-137

-6

n1 =787
k1 = 20

TR

0.55

0.01

0.42

0.25

0.67

0.10

0.22

0.09

0.01

k2 = 50

AR

0.25

-0.15

0.17

0.03

0.33

-0.08

0.00

-0.05

-0.10

SD

-0.08

-0.14

-0.09

-0.13

-0.10

-0.16

-0.15

-0.15

-0.17

SR

0.57

-0.58

0.31

0.05

0.80

-0.37

-0.04

-0.16

-0.32

MD

-2.35

-0.71

-3.85

-1.31

-2.94

-0.97

-0.49

-1.13

-0.66

MDD

-288

-80

-302

-180

-310

-178

-244

-130

-216

k1 = 20

TR

0.55

0.23

0.42

0.17

0.67

0.15

0.35

-0.05

0.41

k2 = 100

AR

0.25

0.01

0.17

-0.05

0.33

0.02

0.07

-0.11

0.13

SD

-0.08

-0.15

-0.09

-0.16

-0.10

-0.18

-0.15

-0.15

-0.19

SR

0.57

-0.02

0.31

-0.29

0.80

0.19

0.12

-0.29

0.20

MD

-2.35

-0.50

-3.85

-0.94

-2.94

-0.58

-0.75

-0.66

-1.31

MDD

-288

-95

-302

-193

-310

-217

-366

-128

-166

k1 = 50

TR

0.01

0.44

0.25

0.30

0.12

0.03

0.44

0.39

0.08

k2 = 200

AR

-0.15

0.13

0.03

0.05

-0.08

-0.01

0.13

0.11

0.04

SD

-0.14

-0.16

-0.13

-0.16

-0.17

0.05

-0.16

-0.16

0.02

SR

-0.58

0.34

0.05

0.09

-0.40

-0.01

0.32

0.18

0.08

MD

-0.71

-0.68

-1.31

-0.58

-0.97

0.00

-0.85

-1.05

0.00

MDD

-80

-473

-180

-215

-178

-147

-281

-295

-78

n1 =431
k1 = 20

TR

0.41

0.30

0.33

0.29

0.23

0.17

0.23

0.41

0.22

k2 = 50

AR

0.30

0.21

0.25

0.21

0.16

0.12

0.24

0.29

0.16

SD

-0.01

-0.01

-0.01

0.00

-0.01

-0.02

0.00

-0.01

-0.02

SR

1.09

0.80

0.96

0.75

0.65

0.47

0.85

1.04

0.65

MD

-0.69

-0.44

-0.26

-0.53

-0.27

-0.22

-0.28

-0.64

-0.31
-144

MDD

-103

-112

-314

-198

-19

-184

-170

-315

k1 = 20

TR

0.41

0.27

0.33

0.15

0.23

0.25

0.35

0.22

0.42

k2 = 100

AR

0.30

0.20

0.25

0.11

0.16

0.21

0.26

0.18

0.42

SD

-0.01

0.00

-0.01

-0.01

-0.01

-0.02

0.00

0.00

0.00

SR

1.09

0.73

0.96

0.41

0.65

0.85

0.96

0.64

1.79

MD

-0.69

-0.45

-0.26

-0.23

-0.27

-0.41

-0.33

-0.43

-0.75
-194

MDD

-103

-38

-314

-301

-19

-212

-280

-121

k1 = 50

TR

0.30

0.27

0.29

0.15

0.20

0.15

0.30

0.46

0.08

k2 = 200

AR

0.21

0.21

0.21

0.13

0.14

0.17

0.13

0.24

0.25

SD

-0.01

0.00

0.00

-0.01

-0.02

-0.04

0.00

0.00

-0.04

SR

0.80

0.78

0.75

0.48

0.56

0.74

0.48

0.88

1.26

MD

-0.44

-0.30

-0.53

-0.19

-0.23

-0.21

-0.05

-0.38

-0.33

MDD

-112

-79

-198

-112

-184

-47

-8

-250

-134

Average across n1 given k1 , k2

k1 = 20

TR

0.83

0.41

0.62

0.57

0.93

0.36

0.69

0.74

0.29

k2 = 50

AR

0.23

0.07

0.19

0.12

0.24

0.04

0.12

0.13

0.04

SD

-0.05

-0.08

-0.05

-0.07

-0.06

-0.08

-0.08

-0.08

-0.09

SR

0.74

0.23

0.59

0.43

0.78

0.16

0.49

0.52

0.24

MD

-2.11

-1.06

-3.03

-1.31

-2.70

-0.85

-0.58

-1.04

-0.57

-697

-675

-343

-838

-417

-574

-549

-228

MDD

-503

k1 = 20

TR

0.83

0.64

0.62

0.41

0.93

0.64

0.91

0.46

k2 = 100

AR

0.23

0.10

0.19

0.05

0.24

0.11

0.15

0.05

0.22

SD

-0.05

-0.08

-0.05

-0.08

-0.06

-0.10

-0.08

-0.08

-0.09

1.02

SR

0.74

0.40

0.59

0.19

0.78

0.51

0.58

0.29

0.84

MD

-2.11

-0.66

-3.03

-0.74

-2.70

-0.79

-1.15

-0.63

-1.39
-484

MDD

-503

-392

-675

-354

-838

-498

-593

-232

k1 = 50

TR

0.41

0.80

0.57

0.77

0.36

0.45

0.64

1.09

0.07

k2 = 200

AR

0.07

0.13

0.12

0.10

0.05

0.07

0.09

0.14

0.08

SD

-0.08

-0.08

-0.07

-0.08

-0.09

-0.04

-0.07

-0.08

0.00

SR

0.23

0.52

0.43

0.41

0.17

0.37

0.36

0.53

0.35

MD

-1.06

-0.57

-1.31

-0.59

-0.85

-0.42

-0.28

-0.82

-0.18

MDD

-697

-562

-343

-562

-417

-155

-121

-205

-56

Notes: (1) Table entries have the differences in strategy evaluation statistics between the proposed modified rule and the standard cross-over rules as
in section 2.2 of the main text; (2) M Ai denotes the price cross-over strategy based on ki with W M Ai and EM Ai denoting weighted and exponential
moving averages respectively; (3) M ACO, W M ACO and EM ACO denote the moving averages cross-over strategies; (4) T R is the difference in total
return, AR is the difference in annualized return, SD is the difference in annualized std. deviation, SR is the difference in annualized Sharpe ratios, M D
is the maximum drawdown, M DD is the maximum drawdown duration (in days).

39

Table 5-A. Comparing Long-Only and Long/Short on EWJ using standard criteria
M A1

M A2

W M A1

W M A2

EM A1

EM A2

M ACO

W M ACO

EM ACO

n1 =2297
k1 = 20

TR

0.40

0.21

0.41

0.32

0.42

0.36

0.17

0.27

0.40

k2 = 50

AR

0.05

0.05

0.05

0.05

0.06

0.05

0.05

0.05

0.06

SD

-0.03

-0.05

-0.03

-0.04

-0.03

-0.05

-0.05

-0.05

-0.05

SR

0.24

0.29

0.23

0.27

0.26

0.31

0.30

0.30

0.31

MD

-0.54

-0.15

-0.61

-0.21

-0.78

-0.23

-0.22

-0.18

-0.26
-545

MDD

-860

-129

-934

-542

-1153

-542

-199

-12

k1 = 20

TR

0.40

0.26

0.41

0.43

0.42

0.42

0.29

0.34

0.44

k2 = 100

AR

0.05

0.05

0.05

0.05

0.06

0.06

0.05

0.05

0.06

SD

-0.03

-0.05

-0.05

-0.03

-0.05

-0.05

-0.03

-0.05

-0.05

SR

0.24

0.32

0.23

0.26

0.26

0.35

0.33

0.29

0.35

MD

-0.54

-0.21

-0.61

-0.36

-0.78

-0.45

-0.51

-0.33

-0.48

MDD

-860

-606

-934

-1644

-1153

-1101

-1143

-548

-1092

k1 = 50

TR

0.21

0.37

0.32

0.43

0.39

0.42

0.39

0.33

0.19

k2 = 200

AR

0.05

0.05

0.05

0.05

0.05

0.05

0.06

0.05

0.04

SD

-0.05

-0.06

-0.04

-0.06

-0.05

-0.06

-0.05

-0.05

-0.06

SR

0.29

0.29

0.27

0.27

0.31

0.29

0.29

0.30

0.31

MD

-0.15

-0.71

-0.21

-0.47

-0.23

-0.78

-0.45

-0.23

-0.40

MDD

-129

-1109

-542

-1114

-542

-1067

-1187

-608

77

n1 =787
k1 = 20

TR

-0.03

-0.04

0.03

-0.03

-0.03

-0.03

-0.21

-0.04

0.01

k2 = 50

AR

-0.05

-0.05

-0.05

-0.05

-0.04

-0.04

-0.04

-0.05

-0.04

SD

-0.06

-0.11

-0.05

-0.09

-0.07

-0.12

-0.11

-0.11

-0.13

SR

-0.16

-0.15

-0.19

-0.16

-0.14

-0.11

0.02

-0.14

-0.17

MD

-0.09

-0.16

-0.15

-0.22

-0.22

-0.28

-0.21

-0.33

-0.31

MDD

75

-305

-146

-318

-45

-369

-150

-361

-351

k1 = 20

TR

-0.03

-0.10

0.03

0.11

-0.03

-0.05

-0.11

0.00

0.06

k2 = 100

AR

-0.05

-0.04

-0.05

-0.05

-0.04

-0.02

-0.04

-0.05

-0.02

SD

-0.06

-0.13

-0.12

-0.07

-0.13

-0.11

-0.14

SR

-0.16

-0.02

-0.19

-0.41

-0.14

0.12

0.02

-0.19

-0.06

MD

-0.09

-0.18

-0.15

-0.33

-0.22

-0.23

-0.24

-0.32

-0.23
-304

-0.05

-0.14

MDD

75

-358

-146

-152

-45

-312

-322

-163

k1 = 50

TR

-0.04

-0.10

-0.03

0.03

-0.02

0.06

0.01

0.03

0.10

k2 = 200

AR

-0.05

-0.04

-0.05

-0.05

-0.04

0.00

-0.05

-0.05

0.00

SD

-0.11

-0.14

-0.09

-0.14

-0.12

-0.17

-0.14

-0.14

-0.17

SR

-0.15

0.04

-0.16

-0.28

-0.12

0.14

-0.22

-0.27

0.00

MD

-0.16

-0.26

-0.22

-0.30

-0.27

-0.39

-0.34

-0.30

-0.50

MDD

-305

-338

-318

-292

-371

-354

-344

-236

-344

n1 =431
k1 = 20

TR

0.19

0.26

0.17

0.20

0.05

0.08

0.21

0.25

0.11

k2 = 50

AR

0.18

0.19

0.18

0.17

0.12

0.08

0.18

0.19

0.09

SD

0.00

-0.02

0.00

0.00

0.00

-0.01

-0.02

-0.02

0.00

SR

0.90

1.01

0.89

0.88

0.68

0.51

1.01

1.03

0.53

MD

-0.17

-0.19

-0.15

-0.10

-0.15

-0.07

-0.11

-0.12

-0.12

MDD

-83

-302

-83

-162

-49

-95

-82

-136

-177

k1 = 20

TR

0.19

0.25

0.17

0.28

0.05

0.09

0.26

0.23

k2 = 100

AR

0.18

0.19

0.18

0.20

0.12

0.07

0.20

0.18

0.06

SD

0.00

-0.03

0.00

-0.02

0.00

-0.01

-0.03

-0.03

-0.01

0.06

SR

0.90

1.05

0.89

1.04

0.68

0.42

1.08

1.05

0.36

MD

-0.17

-0.23

-0.15

-0.30

-0.15

-0.10

-0.17

-0.20

-0.05
-189

MDD

-83

-257

-83

-252

-49

-122

-322

-127

k1 = 50

TR

0.26

0.27

0.20

0.31

0.08

0.03

0.32

0.31

0.10

k2 = 200

AR

0.19

0.19

0.17

0.21

0.08

0.05

0.22

0.21

0.09

SD

-0.02

-0.04

0.00

-0.03

-0.01

0.00

-0.04

-0.03

0.00

SR

1.01

1.08

0.88

1.11

0.51

0.34

1.15

1.11

0.53

MD

-0.19

-0.26

-0.10

-0.32

-0.07

-0.10

-0.34

-0.30

-0.13

MDD

-302

-344

-162

-292

-95

-49

-344

-344

-88

Average across n1 given k1 , k2

k1 = 20

TR

0.32

0.28

0.33

0.27

0.28

0.25

0.22

0.30

0.27

k2 = 50

AR

0.08

0.07

0.07

0.07

0.06

0.04

0.07

0.07

0.05

SD

-0.04

-0.06

-0.03

-0.05

-0.04

-0.06

-0.06

-0.06

-0.06

SR

0.39

0.43

0.38

0.39

0.35

0.30

0.47

0.44

0.29

MD

-0.38

-0.22

-0.29

-0.23

-0.39

-0.21

-0.26

-0.20

-0.33
-560

MDD

-619

-585

-533

-494

-703

-563

-423

-456

k1 = 20

TR

0.26

0.20

0.28

0.33

0.24

0.21

0.23

0.25

k2 = 100

AR

0.07

0.07

0.07

0.07

0.05

0.04

0.07

0.06

0.04

SD

-0.03

-0.07

-0.03

-0.06

-0.04

-0.07

-0.07

-0.06

-0.07

0.25

SR

0.34

0.45

0.33

0.32

0.30

0.31

0.47

0.39

0.25

MD

-0.33

-0.21

-0.38

-0.34

-0.48

-0.31

-0.36

-0.29

-0.31
-669

MDD

-432

-457

-524

-649

-600

-659

-733

-347

k1 = 50

TR

0.20

0.25

0.23

0.32

0.23

0.22

0.30

0.28

0.16

k2 = 200

AR

0.06

0.07

0.06

0.07

0.04

0.04

0.08

0.07

0.04

SD

-0.06

-0.07

-0.05

-0.07

-0.06

-0.08

-0.07

-0.07

-0.07

SR

0.40

0.45

0.35

0.38

0.27

0.25

0.41

0.39

0.27

MD

-0.16

-0.48

-0.18

-0.39

-0.20

-0.49

-0.33

-0.26

-0.36

MDD

-216

-725

-391

-703

-388

-634

-498

-449

-87

Notes: (1) Table entries have the differences in strategy evaluation statistics between the proposed modified rule and the standard cross-over rules as
in section 2.2 of the main text; (2) M Ai denotes the price cross-over strategy based on ki with W M Ai and EM Ai denoting weighted and exponential
moving averages respectively; (3) M ACO, W M ACO and EM ACO denote the moving averages cross-over strategies; (4) T R is the difference in total
return, AR is the difference in annualized return, SD is the difference in annualized std. deviation, SR is the difference in annualized Sharpe ratios, M D
is the maximum drawdown, M DD is the maximum drawdown duration (in days).

40

Table 6-A. Comparing Long-Only and Long/Short on EWJ using modified criteria
M A1

M A2

W M A1

W M A2

EM A1

EM A2

M ACO

W M ACO

EM ACO

0.47

n1 =2297
k1 = 20

TR

0.52

0.28

0.95

0.46

0.89

-0.02

0.43

0.71

k2 = 50

AR

0.07

0.04

0.20

0.07

0.15

0.02

0.06

0.12

0.07

SD

-0.02

-0.05

-0.02

-0.03

-0.03

-0.04

-0.05

-0.05

-0.05

SR

0.31

0.24

0.80

0.34

0.64

0.15

0.36

0.49

0.40

MD

-0.91

-0.24

-3.61

-0.30

-1.60

-0.47

-0.19

-1.80

-0.16

MDD

-609

-1855

-541

-553

-566

-122

-1751

-52

k1 = 20

TR

0.52

0.30

0.95

0.28

0.89

0.54

0.81

0.55

0.27

k2 = 100

AR

0.07

0.05

0.20

0.04

0.15

0.09

0.09

0.07

0.04

SD

-0.02

-0.05

-0.02

-0.05

-0.03

-0.05

-0.05

-0.05

-0.04

SR

0.31

0.29

0.80

0.24

0.64

0.51

0.50

0.39

0.21

MD

-0.91

-0.58

-3.61

-0.37

-1.60

-0.55

-0.86

-0.21

-0.56

MDD

-609

-633

-1855

-83

-553

-609

-560

-39

-567

k1 = 50

TR

0.28

0.00

0.46

-0.09

-0.02

0.27

0.57

0.87

0.00

k2 = 200

AR

0.04

0.01

0.07

0.00

0.02

0.03

0.07

0.12

-0.01

SD

-0.05

-0.05

-0.03

-0.05

-0.04

-0.05

-0.05

-0.05

-0.04

SR

0.24

0.12

0.34

0.08

0.15

0.15

0.33

0.56

-0.02

MD

-0.24

-0.51

-0.30

-0.75

-0.47

-0.62

-0.53

-1.49

-0.01

MDD

-602

-541

-613

-566

-595

-1215

-974

248

n1 =787
k1 = 20

TR

0.15

-0.05

0.53

0.16

0.34

-0.08

-0.06

0.20

0.16

k2 = 50

AR

0.01

-0.07

0.23

0.02

0.09

-0.08

-0.04

0.05

0.05

SD

-0.05

-0.12

-0.05

-0.08

-0.07

-0.12

-0.12

-0.13

-0.13

SR

0.00

-0.30

0.71

0.04

0.18

-0.31

-0.02

0.27

0.31

MD

-0.76

-0.39

-1.74

-0.38

-0.98

-0.25

-0.30

-0.59

-0.34
-448

MDD

-526

-176

-416

-326

-150

-222

-419

-351

k1 = 20

TR

0.15

-0.03

0.53

-0.03

0.34

-0.04

0.30

0.05

0.18

k2 = 100

AR

0.01

-0.03

0.23

-0.06

0.09

-0.04

0.06

0.01

0.02

SD

-0.05

-0.13

-0.12

-0.14

-0.05

-0.13

-0.07

-0.14

SR

0.00

-0.01

0.71

-0.25

0.18

-0.06

0.08

0.17

0.03

MD

-0.76

-0.23

-1.74

-0.47

-0.13

-0.98

-0.23

-0.56

-0.39

-0.53
-235

MDD

-526

-356

-416

-225

-150

-248

-231

-342

k1 = 50

TR

-0.05

-0.05

0.16

-0.13

-0.13

0.09

0.14

0.26

0.08

k2 = 200

AR

-0.07

-0.11

0.02

-0.09

-0.08

0.02

0.01

0.07

0.04

SD

-0.12

-0.14

-0.08

-0.14

-0.12

0.03

-0.11

-0.11

0.02

SR

-0.30

-0.53

0.04

-0.31

-0.24

0.10

0.04

0.28

0.13

MD

-0.39

-0.16

-0.38

-0.24

-0.25

-0.02

-0.35

-0.49

-0.02

MDD

-176

-128

-326

-294

-222

-142

-121

-213

-83

n1 =431
k1 = 20

TR

-0.20

-0.02

0.12

0.21

0.21

-0.05

0.08

0.18

0.13

k2 = 50

AR

0.03

0.04

0.17

0.18

0.18

0.02

0.09

0.15

0.11

SD

0.01

0.00

0.01

0.00

0.00

-0.01

0.01

0.00

0.00

SR

0.07

0.17

0.76

0.84

0.97

0.14

0.42

0.72

0.63

MD

0.01

-0.03

-0.25

-0.21

-0.23

-0.08

-0.13

-0.20

-0.12

MDD

-9

-150

-55

-139

-169

-116

-103

-121

-218

k1 = 20

TR

-0.20

0.13

0.12

0.06

0.21

0.02

0.35

0.08

k2 = 100

AR

0.03

0.13

0.17

0.09

0.18

-0.01

0.23

0.11

0.10

SD

0.01

0.01

0.01

0.00

0.00

-0.01

0.01

0.01

-0.01

SR

0.07

0.62

0.76

0.41

0.97

-0.08

1.12

0.51

0.57
-0.30

0.18

MD

0.01

-0.12

-0.25

-0.08

-0.23

-0.04

-0.41

-0.09

MDD

-9

-126

-55

-169

-56

-102

-62

-125

k1 = 50

TR

-0.02

-0.03

0.21

0.03

-0.02

0.07

0.20

0.38

-0.13

k2 = 200

AR

0.04

0.05

0.18

0.07

0.03

0.02

0.10

0.19

-0.18

SD

0.00

0.00

0.00

0.00

-0.01

-0.01

0.00

0.00

0.00

SR

0.17

0.24

0.84

0.35

0.23

0.06

0.48

0.94

-1.09

MD

-0.03

-0.02

-0.21

-0.09

-0.09

-0.09

-0.17

-0.36

0.07

MDD

-150

-30

-139

-165

-158

-98

-5

-16

-30

Average across n1 given k1 , k2

k1 = 20

TR

0.30

0.08

0.66

0.34

0.57

0.03

0.21

0.49

0.33

k2 = 50

AR

0.05

0.01

0.20

0.09

0.14

0.00

0.05

0.11

0.08

SD

-0.03

-0.05

-0.02

-0.04

-0.03

-0.06

-0.06

-0.06

-0.06

SR

0.24

0.08

0.78

0.41

0.62

0.07

0.30

0.54

0.45

MD

-0.50

-0.22

-1.93

-0.30

-1.10

-0.32

-0.22

-0.93

-0.20

MDD

-356

-869

-193

-435

-80

-748

-387

-368

-192

k1 = 20

TR

0.21

0.18

0.66

0.16

0.57

0.24

0.60

0.30

k2 = 100

AR

0.04

0.05

0.20

0.03

0.14

0.03

0.12

0.07

0.06

SD

-0.02

-0.06

-0.02

-0.06

-0.03

-0.06

-0.06

-0.05

-0.06

0.26

SR

0.17

0.33

0.78

0.19

0.62

0.21

0.58

0.38

0.29

MD

-0.64

-0.38

-1.93

-0.32

-1.10

-0.34

-0.69

-0.22

-0.50
-374

MDD

-424

-437

-748

-96

-356

-381

-363

-121

k1 = 50

TR

0.08

0.00

0.34

-0.01

0.02

0.20

0.40

0.63

0.03

k2 = 200

AR

0.01

0.00

0.09

0.01

0.01

0.03

0.07

0.13

-0.03

SD

-0.05

-0.06

-0.04

-0.06

-0.06

-0.02

-0.05

-0.05

-0.02

SR

0.08

0.01

0.41

0.09

0.11

0.15

0.33

0.61

-0.24

MD

-0.22

-0.30

-0.30

-0.46

-0.32

-0.33

-0.38

-0.96

-0.04

MDD

-80

-341

-387

-421

-378

-358

-579

-544

-181

Notes: (1) Table entries have the differences in strategy evaluation statistics between the proposed modified rule and the standard cross-over rules as
in section 2.2 of the main text; (2) M Ai denotes the price cross-over strategy based on ki with W M Ai and EM Ai denoting weighted and exponential
moving averages respectively; (3) M ACO, W M ACO and EM ACO denote the moving averages cross-over strategies; (4) T R is the difference in total
return, AR is the difference in annualized return, SD is the difference in annualized std. deviation, SR is the difference in annualized Sharpe ratios, M D
is the maximum drawdown, M DD is the maximum drawdown duration (in days).

41

Table 7-A. Comparing Long-Only and Long/Short on USD/CHF using standard criteria
M A1

M A2

W M A1

W M A2

EM A1

EM A2

M ACO

W M ACO

EM ACO

n1 =2558
k1 = 20

TR

-1.19

-0.33

-0.77

-0.42

-0.77

-0.35

-0.34

-0.30

-0.22

k2 = 50

AR

-0.06

-0.07

-0.06

-0.06

-0.06

-0.07

-0.07

-0.07

-0.07

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.55

-0.60

-0.56

-0.59

-0.56

-0.63

-0.61

-0.61

-0.67

MD

-0.05

-0.15

0.07

-0.09

-0.06

-0.17

0.06

-0.03

0.01

MDD

482

-802

-144

-279

62

-1015

157

-687

-1271

k1 = 20

TR

-0.48

-0.33

-0.63

-0.42

-0.45

-0.34

-0.34

-0.29

-0.16

k2 = 100

AR

-0.06

-0.07

-0.06

-0.06

-0.06

-0.07

-0.07

-0.07

-0.08

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.58

-0.60

-0.57

-0.59

-0.58

-0.63

-0.61

-0.61

-0.70

MD

-0.13

-0.15

-0.10

-0.09

-0.13

-0.17

0.06

0.11

-0.07

0.00

-1303

MDD

-678

-802

-206

-279

-224

-1015

-38

k1 = 50

TR

-0.33

-0.26

-0.42

-0.35

-0.36

-0.16

-0.25

-0.41

-0.31

k2 = 200

AR

-0.07

-0.07

-0.06

-0.07

-0.07

-0.08

-0.07

-0.07

-0.08

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.60

-0.66

-0.59

-0.64

-0.63

-0.72

-0.64

-0.61

-0.67

MD

-0.15

0.01

-0.09

-0.09

-0.17

-0.20

-0.04

-0.05

-0.04

MDD

-802

-511

-279

-88

-1015

-980

-1116

228

-1230

k1 = 20

TR

-0.46

-0.19

-0.36

-0.18

-0.34

-0.25

-0.03

-0.07

-0.11

k2 = 50

AR

-0.03

-0.03

-0.03

-0.03

-0.04

-0.04

-0.04

-0.04

-0.05

n1 =1353

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.30

-0.25

-0.29

-0.27

-0.31

-0.29

-0.32

-0.29

-0.37
-0.03

MD

-0.06

-0.04

0.01

-0.02

-0.06

-0.08

-0.04

-0.03

MDD

-155

-132

-68

-115

-117

-190

-174

-179

-219

k1 = 20

TR

-0.15

-0.19

-0.13

-0.18

-0.25

-0.23

-0.07

-0.06

-0.07

k2 = 100

AR

-0.03

-0.04

-0.03

-0.03

-0.04

-0.04

-0.04

-0.04

-0.05

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.01

SR

-0.27

-0.25

-0.28

-0.27

-0.30

-0.31

-0.29

-0.29

-0.41

MD

-0.04

-0.04

-0.10

-0.02

-0.05

-0.08

0.01

0.01

-0.03

MDD

-191

-132

-344

-115

-131

-190

-77

-128

-317

k1 = 50

TR

-0.19

-0.03

-0.18

-0.05

-0.23

-0.10

-0.07

-0.11

-0.12

k2 = 200

AR

-0.03

-0.04

-0.03

-0.04

-0.04

-0.05

-0.04

-0.04

-0.05

SD

0.00

0.01

0.00

0.00

0.00

0.01

0.02

0.01

0.02

SR

-0.25

-0.33

-0.27

-0.33

-0.31

-0.40

-0.30

-0.28

-0.38

MD

-0.04

-0.06

-0.02

-0.15

-0.08

-0.08

-0.09

-0.07

-0.09

MDD

-132

-412

-115

-388

-190

-415

-421

-420

-417

n1 =539
k1 = 20

TR

-0.19

-0.18

-0.17

-0.16

-0.20

-0.19

-0.04

-0.10

-0.08

k2 = 50

AR

-0.08

-0.07

-0.08

-0.07

-0.08

-0.07

-0.10

-0.08

-0.09

SD

0.00

0.00

0.00

0.00

0.00

-0.01

-0.01

0.00

-0.01

SR

-0.75

-0.65

-0.76

-0.72

-0.75

-0.64

-1.09

-0.82

-0.94
-0.01

MD

0.00

0.00

0.01

0.02

-0.01

-0.01

-0.05

-0.04

MDD

-10

-54

-19

-41

-19

-10

-68

-67

-105

k1 = 20

TR

-0.15

-0.18

-0.16

-0.16

-0.19

-0.19

-0.05

-0.08

-0.05

k2 = 100

AR

-0.07

-0.07

-0.08

-0.07

-0.08

-0.07

-0.10

-0.09

-0.10

SD

0.00

0.00

0.00

0.00

0.00

-0.01

-0.01

0.00

-0.01

SR

-0.74

-0.65

-0.73

-0.72

-0.69

-0.64

-1.07

-0.89

-1.06
-0.02

MD

0.01

0.00

0.03

0.02

0.02

-0.01

-0.01

-0.03

MDD

-40

-54

-41

-41

12

-10

-93

-19

-151

k1 = 50

TR

-0.18

-0.08

-0.16

-0.11

-0.20

-0.14

-0.09

-0.10

-0.13

k2 = 200

AR

-0.07

-0.09

-0.07

-0.08

-0.07

-0.11

-0.09

-0.09

-0.11

SD

0.00

-0.01

0.00

-0.01

-0.01

0.00

0.00

-0.01

0.00

SR

-0.65

-0.94

-0.72

-0.82

-0.61

-1.01

-0.91

-0.90

-1.03

MD

0.00

-0.02

0.02

-0.03

-0.01

0.00

0.04

0.02

0.03

MDD

-54

-90

-41

-93

-10

-94

-86

-89

-63

Average across n1 given k1 , k2

k1 = 20

TR

-0.62

-0.21

-0.45

-0.22

-0.44

-0.23

-0.13

-0.14

-0.13

k2 = 50

AR

-0.05

-0.05

-0.05

-0.05

-0.05

-0.06

-0.06

-0.06

-0.06

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.48

-0.46

-0.48

-0.48

-0.48

-0.49

-0.59

-0.52

-0.60

MD

-0.04

-0.07

0.01

-0.05

-0.05

-0.09

-0.01

-0.04

-0.01

MDD

49

-396

-62

-274

-96

-506

-67

-398

-416

k1 = 20

TR

-0.23

-0.21

-0.29

-0.22

-0.26

-0.22

-0.15

-0.13

-0.08

k2 = 100

AR

-0.05

-0.05

-0.05

-0.05

-0.05

-0.06

-0.06

-0.06

-0.07

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.48

-0.46

-0.48

-0.48

-0.49

-0.50

-0.58

-0.53

-0.66
-0.06

MD

-0.07

-0.07

-0.07

-0.05

-0.07

-0.09

0.02

0.03

MDD

-397

-396

-199

-274

-234

-506

-126

-89

-663

k1 = 50

TR

-0.21

-0.10

-0.22

-0.17

-0.24

-0.11

-0.13

-0.20

-0.19

k2 = 200

AR

-0.05

-0.06

-0.05

-0.06

-0.05

-0.08

-0.06

-0.06

-0.07

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.01

0.00

0.01

SR

-0.46

-0.58

-0.48

-0.53

-0.49

-0.67

-0.55

-0.53

-0.64

MD

-0.07

-0.03

-0.05

-0.10

-0.09

-0.12

-0.04

-0.04

-0.05

MDD

-396

-475

-274

-198

-506

-599

-535

-126

-506

Notes: (1) Table entries have the differences in strategy evaluation statistics between the proposed modified rule and the standard cross-over rules as
in section 2.2 of the main text; (2) M Ai denotes the price cross-over strategy based on ki with W M Ai and EM Ai denoting weighted and exponential
moving averages respectively; (3) M ACO, W M ACO and EM ACO denote the moving averages cross-over strategies; (4) T R is the difference in total
return, AR is the difference in annualized return, SD is the difference in annualized std. deviation, SR is the difference in annualized Sharpe ratios, M D
is the maximum drawdown, M DD is the maximum drawdown duration (in days).

42

Table 8-A. Comparing Long-Only and Long/Short on USD/CHF using modified criteria
M A1

M A2

W M A1

W M A2

EM A1

EM A2

M ACO

W M ACO

EM ACO

n1 =2558
k1 = 20

TR

-0.74

-0.46

-0.33

-0.48

-0.43

-0.33

-0.79

-0.38

-0.51

k2 = 50

AR

-0.08

-0.10

-0.07

-0.11

-0.08

-0.10

-0.10

-0.09

-0.12

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.01

0.00

0.00

SR

-0.74

-0.89

-0.61

-1.00

-0.71

-0.88

-0.89

-0.77

-1.05

MD

0.12

0.04

0.12

0.13

-0.09

0.00

0.11

-0.09

0.23

MDD

385

-1003

-119

-604

-457

-1028

-256

-905

-316

k1 = 20

TR

-0.44

-0.46

-0.29

-0.48

-0.50

-0.34

-0.30

-0.73

-0.28

k2 = 100

AR

-0.09

-0.10

-0.08

-0.11

-0.10

-0.10

-0.08

-0.09

-0.11

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00
-0.98

SR

-0.84

-0.89

-0.74

-1.00

-0.95

-0.88

-0.71

-0.85

MD

0.09

0.04

-0.11

0.13

0.04

-0.01

-0.01

0.08

0.11

MDD

-564

-1003

-720

-604

-487

-1029

-1012

-106

-747

k1 = 50

TR

-0.46

0.09

-0.48

-0.29

-0.29

-0.31

-0.04

-0.01

-0.15

k2 = 200

AR

-0.10

-0.04

-0.11

-0.09

-0.09

-0.11

-0.06

-0.06

-0.08

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.01

0.01

0.01

SR

-0.89

-0.38

-1.00

-0.82

-0.84

-1.03

-0.48

-0.50

-0.66

MD

0.04

-0.58

0.13

0.05

0.00

-0.09

-0.41

-0.31

-0.27

MDD

-1003

-1332

-604

-1286

-1027

-1129

-1213

-1149

-1430

k1 = 20

TR

-0.41

-0.34

-0.14

-0.33

-0.28

-0.13

-0.50

-0.34

-0.23

k2 = 50

AR

-0.09

-0.11

-0.06

-0.12

-0.10

-0.04

-0.18

-0.14

-0.12

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.01

0.01

0.00

SR

-0.71

-0.85

-0.52

-0.93

-0.78

-0.30

-1.39

-1.10

-0.97
0.08

n1 =1353

MD

-0.08

0.06

0.00

0.10

-0.10

0.02

0.15

0.08

MDD

-27

86

-1

13

-13

-37

-11

-61

-18

k1 = 20

TR

-0.31

-0.34

-0.24

-0.33

-0.39

-0.15

0.07

-0.39

-0.13

k2 = 100

AR

-0.10

-0.11

-0.12

-0.14

-0.01

-0.16

-0.11

-0.04

-0.11

SD

0.00

0.00

-0.01

0.00

0.00

0.00

0.01

0.01

0.01

SR

-0.77

-0.85

-0.86

-0.93

-1.08

-0.34

-0.05

-1.23

-0.81

MD

0.01

0.06

-0.06

0.10

0.06

0.02

-0.13

0.08

0.09

MDD

-70

86

143

13

43

-37

-356

-222

-441

k1 = 50

TR

-0.34

-0.02

-0.33

-0.18

-0.15

-0.24

0.05

0.07

-0.11

k2 = 200

AR

-0.11

-0.06

-0.12

-0.09

-0.04

-0.11

0.02

0.01

-0.03

SD

0.00

0.01

0.00

0.01

0.00

0.00

0.02

0.01

0.02

SR

-0.85

-0.40

-0.93

-0.73

-0.34

-0.82

0.15

0.10

-0.23

MD

0.06

0.00

0.10

0.06

0.02

-0.03

-0.25

-0.15

-0.04

MDD

86

-413

13

-229

-37

-169

-435

-366

-407

-0.15

n1 =589
k1 = 20

TR

-0.06

-0.18

-0.03

-0.14

-0.08

-0.12

-0.31

-0.32

k2 = 50

AR

-0.04

-0.15

-0.03

-0.14

-0.07

-0.10

-0.31

-0.27

-0.22

SD

0.00

0.00

0.00

0.00

0.00

-0.01

-0.01

0.00

-0.01
-2.28

SR

-0.40

-1.46

-0.31

-1.38

-0.68

-1.02

-3.20

-2.59

MD

-0.08

0.07

-0.02

0.10

-0.10

0.03

0.09

0.07

0.03

MDD

-107

-58

-91

-23

-100

-72

-83

-31

-117

k1 = 20

TR

-0.14

-0.18

-0.09

-0.14

-0.19

-0.12

0.01

-0.34

k2 = 100

AR

-0.07

-0.15

-0.07

-0.14

-0.18

-0.10

-0.08

-0.26

-0.21

SD

0.00

0.00

0.00

0.00

0.00

-0.01

-0.01

0.00

-0.01

-0.11

SR

-0.63

-1.46

-0.68

-1.38

-1.76

-1.02

-0.93

-2.55

-2.13

MD

0.01

0.07

-0.07

0.10

0.06

0.03

-0.03

0.05

0.06

MDD

-83

-58

-112

-23

-34

-72

-335

-57

-132

k1 = 50

TR

-0.18

-0.08

-0.14

-0.10

-0.11

-0.16

-0.05

0.01

-0.10

k2 = 200

AR

-0.15

-0.07

-0.14

-0.12

-0.09

-0.14

-0.02

-0.01

-0.09

SD

0.00

0.00

0.00

0.00

-0.01

0.00

0.00

-0.01

0.00

SR

-1.46

-0.70

-1.38

-1.20

-0.91

-1.37

-0.20

-0.09

-0.86

MD

0.07

-0.06

0.10

0.03

0.03

-0.02

0.00

-0.04

-0.02

MDD

-58

-93

-23

-50

-72

-91

-179

-122

-179

Average across n1 given k1 , k2

k1 = 20

TR

-0.42

-0.32

-0.16

-0.33

-0.27

-0.16

-0.51

-0.35

-0.30

k2 = 50

AR

-0.07

-0.10

-0.05

-0.11

-0.08

-0.07

-0.17

-0.14

-0.14

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.61

-0.89

-0.46

-0.99

-0.68

-0.61

-1.56

-1.28

-1.27

MD

0.00

0.03

0.03

0.09

-0.07

-0.02

0.11

0.03

0.11

MDD

27

-396

-93

-170

-200

-511

-207

-375

-159

k1 = 20

TR

-0.32

-0.32

-0.21

-0.33

-0.36

-0.17

-0.07

-0.48

-0.16

k2 = 100

AR

-0.08

-0.10

-0.08

-0.11

-0.13

-0.07

-0.05

-0.15

-0.13

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.73

-0.89

-0.73

-0.99

-1.18

-0.63

-0.50

-1.34

-1.15

MD

0.04

0.03

-0.05

0.09

0.05

-0.02

-0.07

0.07

0.09

MDD

-111

-396

-288

-170

-177

-511

-472

-195

-572

k1 = 50

TR

-0.32

0.02

-0.33

-0.21

-0.16

-0.24

0.03

0.05

-0.11

k2 = 200

AR

-0.10

-0.04

-0.11

-0.09

-0.06

-0.11

-0.01

-0.02

-0.06

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.01

0.00

0.01

SR

-0.89

-0.39

-0.99

-0.84

-0.59

-1.02

-0.11

-0.14

-0.55

MD

0.03

-0.23

0.09

0.05

-0.02

-0.05

-0.26

-0.21

-0.12

MDD

-396

-678

-170

-443

-511

-381

-736

-627

-758

Notes: (1) Table entries have the differences in strategy evaluation statistics between the proposed modified rule and the standard cross-over rules as
in section 2.2 of the main text; (2) M Ai denotes the price cross-over strategy based on ki with W M Ai and EM Ai denoting weighted and exponential
moving averages respectively; (3) M ACO, W M ACO and EM ACO denote the moving averages cross-over strategies; (4) T R is the difference in total
return, AR is the difference in annualized return, SD is the difference in annualized std. deviation, SR is the difference in annualized Sharpe ratios, M D
is the maximum drawdown, M DD is the maximum drawdown duration (in days).

43

Table 9-A. Comparing Long-Only and Long/Short on GBP/USD using standard criteria
M A1

M A2

W M A1

W M A2

EM A1

EM A2

M ACO

W M ACO

EM ACO

n1 =2558
k1 = 20

TR

0.13

-0.37

-0.19

-0.17

-0.12

-0.23

-0.42

-0.24

-0.33

k2 = 50

AR

0.03

-0.07

-0.02

-0.04

-0.01

-0.06

-0.07

-0.06

-0.08

SD

0.01

0.01

0.01

0.01

0.01

0.01

0.01

0.01

0.01

SR

0.26

-0.65

-0.19

-0.37

-0.12

-0.53

-0.69

-0.55

-0.77

MD

-0.23

0.06

-0.05

-0.15

-0.08

-0.16

-0.07

-0.05

0.09

MDD

-382

-724

214

-798

-382

-1014

237

-774

-385

k1 = 20

TR

-0.28

-0.37

-0.06

-0.17

-0.23

-0.24

-0.13

-0.33

-0.49

k2 = 100

AR

-0.05

-0.07

-0.01

-0.04

-0.04

-0.06

-0.04

-0.07

-0.11

SD

0.01

0.01

0.01

0.01

0.01

0.01

0.01

0.01

0.01

SR

-0.44

-0.65

-0.13

-0.37

-0.40

-0.54

-0.39

-0.65

-1.02

MD

-0.04

0.06

-0.18

-0.15

-0.03

-0.16

-0.21

-0.11

0.16

81

-724

-745

-798

-761

-1014

-871

201

-708

MDD
k1 = 50

TR

-0.37

-0.31

-0.17

-0.12

-0.23

-0.37

-0.44

-0.42

-0.55

k2 = 200

AR

-0.07

-0.08

-0.04

-0.04

-0.05

-0.10

-0.09

-0.07

-0.10

SD

0.01

0.01

0.01

0.01

0.01

0.01

0.02

0.01

0.02

SR

-0.65

-0.71

-0.37

-0.40

-0.51

-0.93

-0.83

-0.64

-0.90

MD

0.06

-0.20

-0.15

-0.26

-0.16

-0.14

0.17

-0.03

-0.05

MDD

-724

-871

-798

-866

-1014

-953

-18

-16

-386

n1 =1353
k1 = 20

TR

0.27

-0.16

0.09

-0.18

-0.01

-0.18

-0.17

-0.09

-0.06

k2 = 50

AR

0.15

-0.03

0.08

-0.03

0.05

-0.02

-0.09

-0.04

-0.03

SD

0.00

0.00

0.00

0.00

0.00

-0.01

0.00

0.00

0.00

SR

1.19

-0.19

0.65

-0.24

0.38

-0.13

-0.67

-0.34

-0.24
-0.09

MD

-0.24

-0.13

-0.19

-0.04

-0.04

-0.13

-0.18

-0.17

MDD

-470

-284

-497

-164

-156

-381

-417

-409

-442

k1 = 20

TR

0.02

-0.16

0.05

-0.18

-0.07

-0.19

-0.01

-0.01

-0.25

k2 = 100

AR

0.02

-0.03

0.02

-0.03

0.01

-0.02

-0.02

SD

-0.01

0.00

-0.01

0.00

-0.01

-0.01

0.00

0.00

0.00

SR

0.14

-0.19

0.18

-0.24

0.10

-0.21

-0.12

-0.15

-0.85

MD

-0.13

-0.13

-0.18

-0.04

-0.03

-0.13

-0.15

-0.23

-0.04

-0.03

-0.11

MDD

-395

-284

-390

-164

-398

-381

-410

-406

-154

k1 = 50

TR

-0.16

-0.36

-0.18

-0.06

-0.16

-0.36

-0.20

-0.33

-0.56

k2 = 200

AR

-0.03

-0.15

-0.03

-0.05

-0.02

-0.13

-0.08

-0.10

-0.17

SD

0.00

0.01

0.00

0.00

-0.01

0.01

0.01

0.01

0.01

SR

-0.19

-1.12

-0.24

-0.36

-0.15

-0.98

-0.61

-0.75

-1.29

MD

-0.13

0.04

-0.04

-0.11

-0.13

-0.02

0.00

0.02

0.08

MDD

-284

-212

-164

-405

-381

-196

-248

-247

-3

n1 =539
k1 = 20

TR

0.11

-0.10

0.02

-0.07

0.05

-0.04

-0.22

-0.09

-0.08

k2 = 50

AR

0.11

-0.02

0.04

-0.02

0.07

0.02

-0.22

-0.07

-0.09

SD

0.01

0.00

0.01

0.01

0.01

0.00

0.00

0.01

0.00

SR

1.08

-0.28

0.36

-0.25

0.70

0.18

-2.29

-0.77

-0.93
-0.04

MD

-0.04

0.02

-0.01

0.00

-0.03

-0.04

0.11

0.02

MDD

-83

-200

-46

-159

-60

-117

-33

-130

k1 = 20

TR

-0.03

-0.10

0.03

-0.07

0.03

-0.01

-0.24

-0.13

-0.12

k2 = 100

AR

-0.02

0.06

0.03

SD

0.01

0.00

0.01

0.01

0.01

0.00

0.00

0.01

0.00

SR

-0.08

0.00

-0.28

-0.02

0.41

0.04

-0.25

0.60

0.35

-2.32

-0.22

-1.21

-0.12

-1.54

-0.15

MD

0.00

0.02

0.00

0.00

0.01

-0.04

0.03

0.06

0.05

MDD

-49

-82

-46

-104

-60

-121

-119

-133

k1 = 50

TR

-0.10

-0.08

-0.07

-0.05

-0.01

-0.01

0.07

0.08

-0.08

k2 = 200

AR

-0.02

-0.09

-0.02

-0.04

0.04

-0.02

0.01

0.03

-0.07

SD

0.00

0.00

0.01

0.00

0.00

0.00

0.01

0.00

0.01

SR

-0.28

-0.93

-0.25

-0.45

0.45

-0.16

0.16

0.30

-0.69

MD

0.02

0.06

0.00

-0.04

-0.04

-0.01

-0.06

-0.05

0.06

MDD

-75

-46

-138

-60

-143

-231

-234

-77

Average across n1 given k1 , k2

k1 = 20

TR

0.21

-0.18

0.00

-0.11

0.00

-0.14

-0.23

-0.10

-0.12

k2 = 50

AR

0.09

-0.04

0.03

-0.03

0.03

-0.02

-0.10

-0.05

-0.06

SD

0.01

0.00

0.01

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.83

-0.34

0.28

-0.26

0.31

-0.21

-1.00

-0.46

-0.55

MD

-0.19

-0.02

-0.11

-0.07

-0.05

-0.09

-0.07

-0.07

-0.02

MDD

-343

-288

-232

-431

-247

-410

-100

-355

-438

k1 = 20

TR

-0.09

-0.18

0.02

-0.11

-0.07

-0.14

-0.09

-0.11

-0.28

k2 = 100

AR

-0.01

-0.04

0.01

-0.03

0.00

-0.02

-0.07

-0.05

-0.11

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.01

0.01

SR

-0.15

-0.34

0.13

-0.26

0.03

-0.19

-0.73

-0.53

-1.05

MD

-0.05

-0.02

-0.14

-0.07

-0.01

-0.09

-0.13

-0.13

0.07

MDD

-71

-288

-352

-431

-358

-410

-553

-127

-302

k1 = 50

TR

-0.18

-0.23

-0.11

-0.02

-0.12

-0.25

-0.20

-0.22

-0.40

k2 = 200

AR

-0.04

-0.09

-0.03

-0.03

-0.02

-0.09

-0.05

-0.04

-0.10

SD

0.00

0.01

0.00

0.00

0.00

0.01

0.01

0.01

0.01

SR

-0.34

-0.83

-0.26

-0.27

-0.13

-0.75

-0.44

-0.37

-0.91

MD

-0.02

-0.03

-0.07

-0.16

-0.09

-0.03

0.03

-0.01

0.03

MDD

-288

-373

-431

-624

-410

-391

-128

-261

-237

Notes: (1) Table entries have the differences in strategy evaluation statistics between the proposed modified rule and the standard cross-over rules as
in section 2.2 of the main text; (2) M Ai denotes the price cross-over strategy based on ki with W M Ai and EM Ai denoting weighted and exponential
moving averages respectively; (3) M ACO, W M ACO and EM ACO denote the moving averages cross-over strategies; (4) T R is the difference in total
return, AR is the difference in annualized return, SD is the difference in annualized std. deviation, SR is the difference in annualized Sharpe ratios, M D
is the maximum drawdown, M DD is the maximum drawdown duration (in days).

44

Table 10-A. Comparing Long-Only and Long/Short on GBP/USD using modified criteria
M A1

M A2

W M A1

W M A2

EM A1

EM A2

M ACO

W M ACO

EM ACO

n1 =2558
k1 = 20

TR

-0.25

-0.16

-0.05

-0.50

-0.16

-0.07

-0.47

-0.38

-0.22

k2 = 50

AR

-0.04

-0.06

-0.03

-0.11

-0.05

-0.06

-0.07

-0.09

-0.08

SD

0.01

0.01

0.01

0.01

0.01

0.01

0.02

0.02

0.01

SR

-0.40

-0.58

-0.28

-1.03

-0.44

-0.56

-0.70

-0.78

-0.76
-0.01

MD

-0.07

-0.21

-0.24

0.16

-0.13

-0.18

0.04

-0.09

MDD

-648

-146

-611

-101

-702

-873

306

364

-913

k1 = 20

TR

-0.20

-0.16

-0.31

-0.50

-0.52

-0.07

-0.63

-0.61

-0.45

k2 = 100

AR

-0.07

-0.06

-0.08

-0.11

-0.10

-0.06

-0.11

-0.08

-0.13

SD

0.01

0.01

0.01

0.01

0.01

0.01

0.02

0.02

0.02
-1.14

SR

-0.60

-0.58

-0.75

-1.03

-0.98

-0.54

-1.00

-0.80

MD

0.10

-0.21

0.09

0.16

0.14

-0.19

0.12

0.03

0.23

MDD

-750

-146

-699

-101

-156

-874

-751

166

-310

k1 = 50

TR

-0.16

-0.44

-0.50

-0.14

-0.09

-0.43

0.03

-0.41

-0.45

k2 = 200

AR

-0.06

-0.11

-0.11

-0.07

-0.07

-0.12

-0.05

-0.11

-0.11

SD

0.01

0.01

0.01

0.01

0.01

0.01

0.02

0.02

0.02

SR

-0.58

-1.00

-1.03

-0.63

-0.58

-1.15

-0.36

-0.93

-0.95

MD

-0.21

0.11

0.16

-0.10

-0.18

-0.10

-0.52

0.03

-0.07

MDD

-146

-920

-101

-874

-872

-1009

-1140

-505

-641

n1 =1353
k1 = 20

TR

-0.18

0.16

0.05

-0.19

-0.12

0.23

-0.26

-0.08

-0.14

k2 = 50

AR

-0.03

0.05

0.00

-0.08

-0.05

0.09

-0.12

-0.06

-0.10

SD

0.00

0.00

-0.01

0.00

-0.01

-0.01

0.01

0.01

0.00

SR

-0.24

0.42

-0.01

-0.60

-0.41

0.72

-0.89

-0.46

-0.74
-0.15

MD

-0.11

-0.46

-0.15

-0.17

-0.05

-0.50

-0.02

-0.19

MDD

-140

-392

-392

-468

-5

-422

-365

-379

-385

k1 = 20

TR

0.06

0.16

-0.11

-0.19

-0.38

0.23

-0.49

-0.42

-0.21

k2 = 100

AR

0.02

-0.13

0.09

-0.19

-0.17

SD

-0.01

0.00

-0.01

0.00

0.00

-0.01

0.01

0.01

0.01

SR

0.13

0.42

-0.53

-0.60

-1.05

0.72

-1.43

-1.28

-1.03

MD

-0.23

-0.46

-0.12

-0.17

-0.07

-0.50

0.11

0.03

0.03
-363

0.05

-0.07

-0.08

-0.14

MDD

-382

-392

-264

-468

-203

-422

-153

-158

k1 = 50

TR

0.16

-0.30

-0.19

-0.07

0.20

0.17

-0.14

-0.40

0.23

k2 = 200

AR

0.05

-0.15

-0.08

-0.06

0.08

0.04

-0.04

-0.13

0.10

SD

0.00

0.01

0.00

0.00

-0.01

0.00

0.01

0.01

0.02

SR

0.42

-1.12

-0.60

-0.46

0.63

0.34

-0.33

-1.02

0.74

MD

-0.46

0.02

-0.17

-0.12

-0.50

-0.25

-0.10

0.01

-0.27

MDD

-392

-114

-468

-392

-422

-506

-262

-193

-496

n1 =589
k1 = 20

TR

0.01

-0.06

0.09

-0.16

0.01

0.02

-0.25

-0.19

-0.15

k2 = 50

AR

0.01

-0.07

0.05

-0.15

0.00

-0.01

-0.28

-0.19

-0.22

SD

0.01

0.01

0.01

0.01

0.01

0.00

0.00

0.01

0.00

SR

0.07

-0.69

0.55

-1.54

-0.03

-0.09

-2.95

-1.91

-2.34

MD

0.00

0.03

-0.12

0.14

0.04

-0.04

0.09

0.05

0.02

MDD

-86

-102

-258

-34

-92

-234

-135

-106

-101

k1 = 20

TR

0.09

-0.06

0.04

-0.16

-0.04

0.04

-0.29

-0.27

-0.12

k2 = 100

AR

0.09

-0.07

0.01

-0.15

-0.09

0.01

-0.27

-0.22

-0.21

SD

0.01

0.01

0.01

0.01

0.01

0.00

0.00

0.00

0.00

SR

0.86

-0.69

0.17

-1.54

-0.81

0.07

-2.85

-2.31

-2.21
0.07

MD

-0.01

0.03

0.04

0.14

0.12

-0.04

0.09

0.08

MDD

-338

-102

-276

-34

-284

-234

-66

-130

-96

k1 = 50

TR

-0.06

-0.06

-0.16

-0.05

0.03

-0.03

0.09

0.01

-0.04

k2 = 200

AR

-0.07

-0.06

-0.15

-0.09

0.00

-0.05

0.07

-0.01

-0.04

SD

0.01

0.01

0.01

0.01

0.00

0.01

0.01

0.00

0.01

SR

-0.69

-0.58

-1.54

-0.91

0.02

-0.46

0.74

-0.07

-0.41

MD

0.03

0.03

0.14

0.00

-0.04

0.02

-0.03

0.01

0.01

MDD

-102

-238

-34

-228

-234

-140

-231

-231

-193

k1 = 20

TR

-0.14

0.05

0.04

-0.24

-0.07

0.08

-0.33

-0.18

-0.14

k2 = 50

AR

-0.02

-0.01

0.00

-0.10

-0.03

0.01

-0.14

-0.09

-0.11

SD

0.01

0.01

0.00

0.01

0.00

0.00

0.01

0.01

0.00

SR

-0.19

-0.11

0.06

-0.88

-0.27

0.06

-1.30

-0.87

-1.07

MD

-0.05

-0.27

-0.15

0.00

-0.03

-0.29

0.03

-0.10

-0.06

MDD

-201

-298

-338

-199

-413

-441

-100

-87

Average across n1 given k1 , k2

-385

k1 = 20

TR

0.01

0.05

-0.11

-0.24

-0.33

0.09

-0.44

-0.42

-0.25

k2 = 100

AR

0.01

-0.01

-0.04

-0.10

-0.11

0.01

-0.16

-0.14

-0.14

SD

0.00

0.01

0.00

0.01

0.01

0.00

0.01

0.01

0.01

SR

0.10

-0.11

-0.38

-0.88

-0.96

0.10

-1.51

-1.26

-1.30

MD

-0.07

-0.27

0.00

0.00

0.05

-0.30

0.09

0.04

0.11

MDD

-407

-298

-340

-199

-135

-441

-343

-61

-261

k1 = 50

TR

0.05

-0.26

-0.24

-0.07

0.08

-0.13

0.03

-0.27

-0.14

k2 = 200

AR

-0.01

-0.09

-0.10

-0.06

0.01

-0.05

0.00

-0.08

-0.04

SD

0.01

0.01

0.01

0.01

0.00

0.01

0.02

0.01

0.02

SR

-0.11

-0.83

-0.88

-0.56

0.07

-0.53

0.04

-0.69

-0.35

MD

-0.27

0.05

0.00

-0.08

-0.29

-0.09

-0.24

0.00

-0.07

MDD

-298

-374

-199

-409

-441

-504

-687

-303

-429

Notes: (1) Table entries have the differences in strategy evaluation statistics between the proposed modified rule and the standard cross-over rules as
in section 2.2 of the main text; (2) M Ai denotes the price cross-over strategy based on ki with W M Ai and EM Ai denoting weighted and exponential
moving averages respectively; (3) M ACO, W M ACO and EM ACO denote the moving averages cross-over strategies; (4) T R is the difference in total
return, AR is the difference in annualized return, SD is the difference in annualized std. deviation, SR is the difference in annualized Sharpe ratios, M D
is the maximum drawdown, M DD is the maximum drawdown duration (in days).

45

Table 11-A. Comparing Long-Only and Long/Short on EUR/GBP using standard criteria
M A1

M A2

W M A1

W M A2

EM A1

EM A2

M ACO

W M ACO

EM ACO

-0.22

n1 =2558
k1 = 20

TR

-0.25

-0.16

-0.05

-0.50

-0.16

-0.07

-0.47

-0.38

k1 = 20

TR

0.34

0.26

0.32

0.32

0.27

0.31

0.26

0.26

0.21

k2 = 50

AR

0.04

0.04

0.04

0.04

0.04

0.04

0.04

0.04

0.04

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.53

0.49

0.53

0.52

0.52

0.52

0.49

0.48

0.46

MD

-0.42

-0.26

-0.37

-0.44

-0.23

-0.31

-0.10

-0.24

-0.09

MDD

-1251

-1284

-1170

-991

-1323

-1242

-1268

-1277

-766

k1 = 20

TR

0.31

0.26

0.25

0.32

0.33

0.31

0.19

0.26

0.26

k2 = 100

AR

0.04

0.04

0.04

0.04

0.04

0.04

0.04

0.04

0.04

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.51

0.49

0.50

0.52

0.52

0.52

0.45

0.49

0.48

MD

-0.40

-0.26

-0.27

-0.44

-0.52

-0.31

-0.07

-0.16

-0.13
-1266

MDD

-1274

-1284

-1246

-991

-983

-1242

-775

-1265

k1 = 50

TR

0.26

0.32

0.32

0.32

0.31

0.27

0.31

0.32

0.30

k2 = 200

AR

0.04

0.04

0.04

0.04

0.04

0.04

0.04

0.04

0.04

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.49

0.52

0.52

0.52

0.52

0.49

0.51

0.52

0.52

MD

-0.26

-0.35

-0.44

-0.31

-0.31

-0.15

-0.30

-0.36

-0.20

-1382

-1293

MDD

-1284

-1272

-991

-1243

-1242

-1274

-1290

k1 = 20

TR

0.15

0.08

0.16

0.10

0.07

0.12

0.04

0.02

0.03

k2 = 50

AR

0.04

0.04

0.04

0.04

0.05

0.05

0.04

0.04

0.05

SD

-0.01

0.01

0.00

0.01

0.00

0.01

0.01

0.01

0.01

SR

0.39

0.37

0.40

0.38

0.43

0.44

0.36

0.34

0.42

n1 =1353

MD

-0.14

-0.06

-0.22

-0.04

-0.06

-0.07

-0.04

-0.05

-0.04

MDD

-285

-316

-281

-464

-193

-326

-319

-66

-334

k1 = 20

TR

0.12

0.08

0.00

0.10

0.15

0.13

0.02

0.06

0.08

k2 = 100

AR

0.04

0.04

0.04

0.04

0.04

0.05

0.04

0.04

0.05

SD

0.00

0.01

0.00

0.01

0.00

0.01

0.01

0.01

0.01

SR

0.39

0.37

0.35

0.38

0.41

0.44

0.33

0.35

0.43

MD

-0.08

-0.06

-0.07

-0.04

-0.09

-0.07

-0.07

-0.05

-0.06

MDD

-447

-316

-9

-464

-446

-326

-315

-314

-338

k1 = 50

TR

0.08

0.14

0.10

0.13

0.12

0.08

0.10

0.15

0.12

k2 = 200

AR

0.04

0.04

0.04

0.04

0.05

0.06

0.05

0.04

0.05

SD

0.01

0.01

0.01

0.01

0.01

0.01

0.01

0.01

0.02

SR

0.37

0.39

0.38

0.39

0.44

0.44

0.39

0.39

0.45

MD

-0.06

-0.08

-0.04

-0.06

-0.07

-0.03

-0.10

-0.16

-0.10

MDD

-316

-350

-464

-340

-326

-349

-346

-344

-348

-0.02

n1 =539
k1 = 20

TR

0.06

0.00

0.07

-0.01

0.03

0.01

-0.03

-0.03

k2 = 50

AR

-0.01

-0.01

-0.01

-0.01

0.00

-0.01

-0.01

-0.01

0.00

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.16

-0.15

-0.16

-0.13

0.00

-0.07

-0.10

-0.11

-0.02

MD

-0.07

-0.02

-0.07

0.00

-0.01

-0.01

-0.04

-0.03

-0.03

MDD

-175

-81

-189

-99

-45

-197

-35

-14

-47

k1 = 20

TR

-0.03

0.00

-0.01

-0.01

0.03

0.01

-0.01

-0.02

0.01

k2 = 100

AR

-0.01

-0.01

-0.01

-0.01

0.00

-0.01

-0.01

-0.01

-0.01

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.13

-0.15

-0.13

-0.13

0.01

-0.07

-0.14

-0.12

-0.08
-0.04

MD

0.00

-0.02

-0.01

0.00

-0.02

-0.01

-0.05

-0.04

MDD

-101

-81

-31

-99

-178

-197

-75

-32

-52

k1 = 50

TR

0.00

0.05

-0.01

0.02

0.02

0.03

0.01

0.07

0.05

k2 = 200

AR

-0.01

-0.04

-0.01

-0.02

-0.01

0.00

-0.02

-0.05

-0.02

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

-0.01

SR

-0.15

-0.48

-0.13

-0.23

-0.07

0.00

-0.25

-0.57

-0.32

MD

-0.02

-0.08

0.00

-0.01

-0.01

-0.08

-0.03

-0.08

-0.05

MDD

-81

-63

-99

-210

-199

-142

-70

-234

-222

Average across n1 given k1 , k2

k1 = 20

TR

0.20

0.13

0.20

0.16

0.13

0.17

0.11

0.10

0.10

k2 = 50

AR

0.03

0.03

0.03

0.03

0.03

0.03

0.03

0.03

0.03

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.01

0.00

SR

0.31

0.29

0.31

0.31

0.36

0.35

0.30

0.29

0.33

MD

-0.20

-0.13

-0.22

-0.17

-0.10

-0.14

-0.06

-0.12

-0.05
-436

MDD

-714

-689

-547

-671

-477

-737

-536

-616

k1 = 20

TR

0.15

0.13

0.08

0.16

0.19

0.17

0.08

0.12

0.13

k2 = 100

AR

0.03

0.03

0.03

0.03

0.03

0.03

0.03

0.03

0.03

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.01

0.00

0.01

SR

0.31

0.29

0.29

0.31

0.36

0.35

0.26

0.29

0.33

MD

-0.17

-0.13

-0.11

-0.17

-0.23

-0.14

-0.06

-0.07

-0.07

MDD

-738

-689

-456

-671

-699

-734

-399

-534

-521

k1 = 50

TR

0.16

0.17

0.17

0.17

0.11

0.18

0.14

0.15

0.14

k2 = 200

AR

0.03

0.02

0.03

0.03

0.02

0.04

0.02

0.01

0.02

SD

0.00

0.01

0.00

0.01

0.00

0.01

0.01

0.00

0.01

SR

0.35

0.19

0.35

0.28

0.21

0.44

0.25

0.12

0.21

MD

-0.14

-0.16

-0.19

-0.14

-0.09

-0.12

-0.12

-0.16

-0.08

MDD

-694

-683

-513

-736

-509

-774

-552

-745

-613

Notes: (1) Table entries have the differences in strategy evaluation statistics between the proposed modified rule and the standard cross-over rules as
in section 2.2 of the main text; (2) M Ai denotes the price cross-over strategy based on ki with W M Ai and EM Ai denoting weighted and exponential
moving averages respectively; (3) M ACO, W M ACO and EM ACO denote the moving averages cross-over strategies; (4) T R is the difference in total
return, AR is the difference in annualized return, SD is the difference in annualized std. deviation, SR is the difference in annualized Sharpe ratios, M D
is the maximum drawdown, M DD is the maximum drawdown duration (in days).

46

Table 12-A. Comparing Long-Only and Long/Short on EUR/GBP using modified criteria
M A1

M A2

W M A1

W M A2

EM A1

EM A2

M ACO

W M ACO

EM ACO

n1 =2558
k1 = 20

TR

0.21

0.40

0.08

0.41

0.31

0.28

0.29

0.40

0.50

k2 = 50

AR

0.03

0.06

0.02

0.06

0.04

0.05

0.04

0.06

0.08

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.01

0.00

SR

0.41

0.75

0.18

0.74

0.51

0.57

0.50

0.68

0.91

MD

-0.19

-0.33

-0.03

-0.45

-0.35

-0.29

-0.25

-0.48

-0.38
-1390

MDD

-1256

-1423

-879

-1240

-1259

-1434

-1248

-1321

k1 = 20

TR

0.58

0.40

0.44

0.41

0.31

0.28

0.21

0.21

0.42

k2 = 100

AR

0.08

0.06

0.06

0.06

0.04

0.05

0.04

0.04

0.06

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.01

0.00

0.00

SR

1.04

0.75

0.75

0.74

0.51

0.57

0.45

0.43

0.77

MD

-0.82

-0.33

-0.66

-0.45

-0.33

-0.29

-0.17

-0.18

-0.30

MDD

-1256

-1423

-1224

-1240

-1288

-1434

-1425

-1203

-1478

k1 = 50

TR

0.40

0.24

0.41

0.17

0.29

0.25

0.16

0.40

0.45

k2 = 200

AR

0.06

0.04

0.06

0.03

0.05

0.04

0.06

0.08

0.08

SD

0.00

0.01

0.00

0.00

0.00

0.00

0.01

0.01

0.01

SR

0.75

0.48

0.74

0.38

0.59

0.45

0.61

0.86

0.91

MD

-0.33

-0.10

-0.45

-0.26

-0.29

-0.16

-0.22

-0.11

-0.23

MDD

-1423

-895

-1240

-1446

-1434

-1450

-434

-966

-1581

n1 =1353
k1 = 20

TR

0.16

0.25

0.06

0.22

0.10

0.12

0.08

0.12

0.17

k2 = 50

AR

0.06

0.11

0.03

0.09

0.05

0.08

0.03

0.04

0.11

SD

0.00

0.01

0.00

0.01

0.00

0.01

0.00

0.01

0.01

SR

0.56

1.00

0.24

0.83

0.43

0.68

0.30

0.39

0.89

MD

-0.12

-0.20

-0.02

-0.19

-0.08

-0.12

-0.09

-0.08

-0.08
-212

MDD

-307

-423

-91

-406

-75

-422

-271

-513

k1 = 20

TR

0.34

0.25

0.23

0.22

0.16

0.10

0.01

0.06

0.21

k2 = 100

AR

0.15

0.11

0.09

0.09

0.06

0.07

0.02

0.04

0.10

SD

0.01

0.01

0.01

0.01

0.01

0.01

0.01

0.01

0.01

SR

1.32

1.00

0.80

0.83

0.57

0.58

0.13

0.33

0.86

MD

-0.33

-0.20

-0.25

-0.19

-0.18

-0.12

-0.03

-0.08

-0.18
-324

MDD

-542

-423

-289

-406

-195

-422

-57

93

k1 = 50

TR

0.25

0.13

0.22

-0.02

0.13

0.07

0.18

0.18

0.22

k2 = 200

AR

0.11

0.05

0.09

-0.01

0.08

0.01

0.11

0.11

0.12

SD

0.01

0.01

0.01

0.01

0.01

0.01

0.01

0.02

0.02

SR

1.00

0.46

0.83

-0.05

0.70

0.08

0.86

0.88

0.97

MD

-0.20

-0.09

-0.19

-0.03

-0.12

-0.03

-0.22

-0.11

-0.19

MDD

-423

-401

-406

-74

-422

-325

-258

-341

-385

n1 =589
k1 = 20

TR

0.06

0.02

0.06

0.05

0.07

-0.05

-0.03

-0.02

-0.03

k2 = 50

AR

-0.01

-0.02

0.01

0.00

0.02

-0.03

-0.03

-0.05

-0.04

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.12

-0.24

0.11

-0.03

0.27

-0.29

-0.37

-0.60

-0.46
-0.04

MD

-0.07

-0.08

-0.07

-0.06

-0.07

-0.03

-0.01

0.00

MDD

-198

-44

-188

-40

-190

-42

-86

-46

-87

k1 = 20

TR

0.15

0.02

0.10

0.05

0.11

-0.05

-0.10

-0.02

0.04

k2 = 100

AR

0.08

-0.02

0.03

0.00

0.04

-0.05

-0.01

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

-0.01

SR

0.87

-0.24

0.31

-0.03

0.47

-0.29

-0.54

-0.17

-0.01
-0.06

-0.03

0.00

MD

-0.20

-0.08

-0.15

-0.06

-0.16

-0.03

-0.04

0.01

MDD

-183

-44

-192

-40

-191

-42

-120

-85

-51

k1 = 50

TR

0.02

0.06

0.05

-0.03

-0.04

0.03

0.17

-0.02

0.11

k2 = 200

AR

-0.02

-0.01

0.00

-0.07

-0.03

-0.02

0.08

-0.05

0.01

SD

0.00

-0.01

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.24

-0.12

-0.03

-0.79

-0.30

-0.32

0.92

-0.54

0.18

MD

-0.08

-0.08

-0.06

-0.06

-0.03

-0.06

-0.19

-0.02

-0.14

MDD

-44

-141

-40

-32

-42

-31

-301

-290

-147

Average across n1 given k1 , k2

k1 = 20

TR

0.18

0.25

0.09

0.27

0.20

0.14

0.14

0.18

0.24

k2 = 50

AR

0.04

0.06

0.02

0.06

0.05

0.04

0.02

0.02

0.05

SD

0.00

0.01

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

0.38

0.58

0.23

0.63

0.50

0.39

0.22

0.24

0.54

MD

-0.12

-0.20

-0.03

-0.25

-0.16

-0.14

-0.13

-0.18

-0.17

-588

-321

-745

-693

-639

-706

-782

-732

MDD

-566

k1 = 20

TR

0.41

0.25

0.30

0.27

0.21

0.13

0.03

0.10

k2 = 100

AR

0.11

0.06

0.07

0.06

0.05

0.04

0.01

0.03

0.06

SD

0.00

0.01

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.23

SR

1.16

0.58

0.74

0.63

0.54

0.35

0.05

0.26

0.56

MD

-0.50

-0.20

-0.38

-0.25

-0.21

-0.14

-0.07

-0.09

-0.18
-619

MDD

-803

-588

-737

-745

-584

-575

-476

-522

k1 = 50

TR

0.25

0.17

0.22

0.12

0.19

0.11

0.26

0.25

0.27

k2 = 200

AR

0.06

0.04

0.05

0.01

0.05

0.01

0.09

0.06

0.07

SD

0.01

0.01

0.00

0.00

0.00

0.00

0.01

0.01

0.01

SR

0.60

0.37

0.52

0.09

0.48

0.11

0.93

0.59

0.70

MD

-0.20

-0.11

-0.20

-0.16

-0.16

-0.06

-0.20

-0.11

-0.17

MDD

-620

-457

-464

-694

-793

-614

-585

-722

-841

Notes: (1) Table entries have the differences in strategy evaluation statistics between the proposed modified rule and the standard cross-over rules as
in section 2.2 of the main text; (2) M Ai denotes the price cross-over strategy based on ki with W M Ai and EM Ai denoting weighted and exponential
moving averages respectively; (3) M ACO, W M ACO and EM ACO denote the moving averages cross-over strategies; (4) T R is the difference in total
return, AR is the difference in annualized return, SD is the difference in annualized std. deviation, SR is the difference in annualized Sharpe ratios, M D
is the maximum drawdown, M DD is the maximum drawdown duration (in days).

47

Table 13-A. Comparing Long-Only and Long/Short on EUR/JPY using standard criteria
M A1

M A2

W M A1

W M A2

EM A1

EM A2

M ACO

W M ACO

EM ACO

0.16

n1 =2558
k1 = 20

TR

0.18

0.14

0.14

0.21

0.15

0.20

-0.01

0.20

k2 = 50

AR

0.01

0.01

0.01

0.02

0.01

0.01

0.01

0.02

0.01

SD

-0.01

-0.02

-0.01

-0.02

-0.02

-0.02

-0.02

-0.02

-0.02

SR

0.10

0.10

0.10

0.10

0.10

0.08

0.12

0.10

0.09

MD

-0.21

-0.25

-0.05

-0.25

-0.25

-0.32

-0.10

-0.29

-0.18
-1005

MDD

-1449

-1719

-605

-1952

-882

-1834

-885

-1507

k1 = 20

TR

0.16

0.14

0.19

0.21

0.20

0.20

0.03

0.11

0.13

k2 = 100

AR

0.01

0.01

0.01

0.02

0.01

0.01

0.01

0.01

0.01

SD

-0.02

-0.02

-0.02

-0.02

-0.02

-0.02

-0.01

-0.02

-0.02

SR

0.10

0.10

0.10

0.10

0.08

0.08

0.10

0.11

MD

-0.14

-0.25

-0.20

-0.25

-0.25

-0.32

-0.12

-0.10

-0.18

MDD

-1290

-1719

-1947

-1952

-1766

-1834

-658

-699

-1150

0.10

k1 = 50

TR

0.14

0.20

0.21

0.22

0.21

0.10

0.22

0.17

0.12

k2 = 200

AR

0.01

0.02

0.02

0.02

0.02

0.01

0.02

0.01

0.01

SD

-0.02

-0.02

-0.02

-0.02

-0.02

-0.03

-0.02

-0.02

-0.03

SR

0.10

0.10

0.10

0.09

0.08

0.11

0.11

0.10

0.11

MD

-0.25

-0.33

-0.25

-0.46

-0.32

-0.11

-0.47

-0.26

-0.15

MDD

-1719

-1057

-1952

-1233

-1834

-1053

-765

-775

-574

-0.14

n1 =1353
k1 = 20

TR

-0.04

-0.19

-0.03

-0.02

-0.04

-0.10

-0.27

-0.11

k2 = 50

AR

-0.08

-0.08

-0.08

-0.09

-0.08

-0.10

-0.08

-0.09

-0.10

SD

-0.02

-0.03

-0.02

-0.03

-0.02

-0.03

-0.03

-0.03

-0.03

SR

-0.55

-0.53

-0.53

-0.65

-0.57

-0.71

-0.46

-0.58

-0.68

MD

-0.19

-0.02

-0.11

-0.20

-0.28

-0.12

-0.03

-0.15

-0.14

MDD

-273

-260

-212

-297

-268

-259

-47

-268

-395

k1 = 20

TR

-0.08

-0.19

-0.04

-0.02

-0.02

-0.10

-0.16

-0.14

-0.17

k2 = 100

AR

-0.08

-0.08

-0.08

-0.09

-0.09

-0.10

-0.09

-0.09

-0.10

SD

-0.03

-0.03

-0.02

-0.03

-0.03

-0.03

-0.02

-0.03

-0.03

SR

-0.57

-0.53

-0.58

-0.65

-0.67

-0.71

-0.53

-0.56

-0.64
-0.20

MD

-0.14

-0.02

-0.19

-0.20

-0.24

-0.12

-0.12

-0.10

MDD

-276

-260

-282

-297

-287

-259

-330

-282

-392

k1 = 50

TR

-0.19

-0.05

-0.02

-0.16

-0.10

-0.20

-0.04

-0.10

-0.21

k2 = 200

AR

-0.08

-0.09

-0.09

-0.09

-0.10

-0.11

-0.09

-0.09

-0.11

SD

-0.03

-0.03

-0.03

-0.03

-0.03

-0.04

-0.02

-0.03

-0.03

SR

-0.53

-0.65

-0.65

-0.55

-0.71

-0.69

-0.64

-0.62

-0.69

MD

-0.02

-0.34

-0.20

-0.10

-0.12

-0.11

-0.34

-0.20

-0.07

MDD

-260

-312

-297

-385

-259

-278

-338

-426

-289

-0.03

n1 =539
k1 = 20

TR

0.07

-0.01

0.04

0.05

0.05

0.04

-0.07

0.01

k2 = 50

AR

-0.07

-0.08

-0.06

-0.09

-0.05

-0.07

-0.07

-0.09

-0.06

SD

0.00

-0.02

0.00

-0.01

-0.01

-0.02

-0.02

-0.02

-0.02

SR

-0.54

-0.70

-0.43

-0.72

-0.40

-0.67

-0.57

-0.81

-0.47

MD

-0.11

-0.05

-0.12

-0.17

-0.12

-0.09

-0.08

-0.12

-0.05

MDD

-190

-49

-122

-188

-125

-198

-50

-52

-48

k1 = 20

TR

0.05

-0.01

0.04

0.05

0.06

0.05

-0.10

-0.04

-0.08

k2 = 100

AR

-0.08

-0.08

-0.08

-0.09

-0.07

-0.07

-0.07

-0.08

-0.05

SD

-0.01

-0.02

-0.01

-0.01

-0.01

-0.02

-0.01

-0.02

-0.01

SR

-0.69

-0.70

-0.65

-0.72

-0.54

-0.68

-0.49

-0.65

-0.32
-0.05

MD

-0.11

-0.05

-0.08

-0.17

-0.16

-0.09

-0.04

-0.15

MDD

-129

-49

-127

-188

-134

-199

-57

-49

-66

k1 = 50

TR

-0.01

0.00

0.05

-0.01

0.04

0.01

0.02

-0.04

-0.02

k2 = 200

AR

-0.08

-0.08

-0.09

-0.08

-0.07

-0.09

-0.10

-0.08

-0.09

SD

-0.02

-0.01

-0.01

-0.01

-0.02

-0.02

0.01

-0.01

-0.01

SR

-0.70

-0.65

-0.72

-0.67

-0.68

-0.80

-0.59

-0.60

-0.67

MD

-0.05

0.00

-0.17

-0.05

-0.08

-0.09

-0.07

0.05

-0.06

MDD

-49

-30

-188

-123

-200

-83

-222

-212

-38

-0.01

Average across n1 given k1 , k2

k1 = 20

TR

0.07

-0.03

0.05

0.08

0.05

0.05

-0.13

0.04

k2 = 50

AR

-0.04

-0.04

-0.03

-0.04

-0.03

-0.04

-0.04

-0.04

-0.04

SD

-0.01

-0.02

-0.01

-0.02

-0.02

-0.02

-0.03

-0.02

-0.02

SR

-0.28

-0.31

-0.24

-0.35

-0.25

-0.36

-0.25

-0.36

-0.29

MD

-0.16

-0.09

-0.08

-0.20

-0.23

-0.14

-0.06

-0.18

-0.13

MDD

-581

-669

-283

-733

-367

-683

-406

-631

-501

k1 = 20

TR

0.04

-0.03

0.06

0.08

0.08

0.05

-0.07

-0.02

-0.04

k2 = 100

AR

-0.04

-0.04

-0.04

-0.04

-0.04

-0.04

-0.04

-0.04

-0.04

SD

-0.02

-0.02

-0.02

-0.02

-0.02

-0.02

-0.02

-0.02

-0.02

SR

-0.32

-0.31

-0.31

-0.35

-0.31

-0.36

-0.26

-0.30

-0.24

MD

-0.13

-0.09

-0.16

-0.20

-0.22

-0.14

-0.10

-0.11

-0.15

MDD

-503

-669

-668

-733

-618

-683

-314

-385

-491

k1 = 50

TR

-0.03

0.04

0.08

0.01

0.05

-0.05

0.07

0.02

-0.04

k2 = 200

AR

-0.04

-0.04

-0.04

-0.04

-0.04

-0.05

-0.04

-0.04

-0.05

SD

-0.02

-0.02

-0.02

-0.02

-0.02

-0.03

-0.01

-0.02

-0.02

SR

-0.31

-0.33

-0.35

-0.31

-0.36

-0.36

-0.31

-0.31

-0.33

MD

-0.09

-0.25

-0.20

-0.18

-0.14

-0.10

-0.28

-0.15

-0.09

MDD

-669

-402

-733

-602

-683

-423

-379

-455

-298

Notes: (1) Table entries have the differences in strategy evaluation statistics between the proposed modified rule and the standard cross-over rules as
in section 2.2 of the main text; (2) M Ai denotes the price cross-over strategy based on ki with W M Ai and EM Ai denoting weighted and exponential
moving averages respectively; (3) M ACO, W M ACO and EM ACO denote the moving averages cross-over strategies; (4) T R is the difference in total
return, AR is the difference in annualized return, SD is the difference in annualized std. deviation, SR is the difference in annualized Sharpe ratios, M D
is the maximum drawdown, M DD is the maximum drawdown duration (in days).

48

Table 14-A. Comparing Long-Only and Long/Short on EUR/JPY using modified criteria
M A1

M A2

W M A1

W M A2

EM A1

EM A2

M ACO

W M ACO

EM ACO

n1 =2558
k1 = 20

TR

0.14

0.22

-0.12

0.14

-0.08

0.11

0.31

-0.13

0.20

k2 = 50

AR

0.00

0.02

-0.03

0.02

-0.03

0.01

0.04

-0.03

0.03

SD

-0.02

-0.02

-0.01

-0.03

-0.01

-0.02

-0.02

-0.02

-0.02

SR

0.01

0.19

-0.24

0.15

-0.33

0.05

0.31

-0.23

0.29

MD

-0.32

-0.54

-0.16

-0.34

-0.03

-0.48

-0.22

-0.21

-0.50
-264

MDD

-909

-51

-164

-649

-763

-194

-1813

19

k1 = 20

TR

0.10

0.22

0.19

0.14

-0.32

0.12

0.11

0.17

0.37

k2 = 100

AR

0.00

0.02

0.02

0.02

-0.04

0.01

0.02

0.02

0.05

SD

-0.02

-0.02

-0.02

-0.02

-0.03

-0.02

SR

0.00

0.19

0.11

0.15

-0.33

0.06

0.25

0.12

0.39

MD

-0.15

-0.54

-0.40

-0.02

-0.34

-0.01

-0.48

-0.02

-0.01

-0.13

-0.44

-0.03

MDD

-1504

-51

-1520

-649

-463

-194

-1239

-1453

-1841

k1 = 50

TR

0.22

-0.24

0.14

-0.09

0.16

0.07

-0.28

0.20

0.14

k2 = 200

AR

0.02

-0.04

0.02

-0.01

0.01

0.00

-0.03

0.02

0.01

SD

-0.02

-0.02

-0.03

-0.02

-0.02

-0.02

-0.02

-0.02

-0.03

SR

0.19

-0.32

0.15

-0.05

0.10

0.03

-0.27

0.18

0.09

MD

-0.54

-0.12

-0.34

-0.32

-0.48

-0.40

0.01

-0.20

-0.31

MDD

-51

-203

-649

-199

-322

-354

-82

-626

-1284

n1 =1353
k1 = 20

TR

0.07

0.13

-0.03

-0.04

-0.05

0.14

-0.01

-0.10

0.12

k2 = 50

AR

-0.03

0.00

-0.10

-0.06

-0.12

-0.02

-0.05

-0.14

0.01

SD

-0.03

-0.04

-0.02

-0.04

-0.02

-0.04

-0.03

-0.02

-0.03

SR

-0.28

-0.14

-0.66

-0.50

-0.85

-0.30

-0.35

-0.98

0.04

MD

-0.32

-0.56

-0.25

-0.36

-0.10

-0.51

-0.11

-0.21

-0.50

MDD

-284

-381

-274

-310

-273

-342

-406

-328

-392

k1 = 20

TR

-0.11

0.13

0.03

-0.04

-0.24

0.14

-0.19

-0.15

-0.03

k2 = 100

AR

-0.10

0.00

-0.06

-0.06

-0.13

-0.02

-0.08

-0.12

-0.06

SD

-0.03

-0.04

-0.02

-0.04

-0.03

-0.04

-0.03

-0.03

-0.03

SR

-0.70

-0.14

-0.46

-0.50

-0.85

-0.30

-0.47

-0.82

-0.44

MD

-0.16

-0.56

-0.18

-0.36

-0.09

-0.51

-0.01

-0.13

-0.23

MDD

-446

-381

-294

-310

-314

-342

-310

-391

-369

k1 = 50

TR

0.13

-0.09

-0.04

-0.02

0.14

0.02

-0.19

-0.01

0.13

k2 = 200

AR

0.00

-0.14

-0.06

-0.07

-0.01

-0.05

-0.13

-0.09

-0.07

SD

-0.04

-0.03

-0.04

-0.03

-0.04

-0.03

-0.03

-0.03

0.04

SR

-0.14

-1.03

-0.50

-0.49

-0.26

-0.38

-0.86

-0.65

-0.14

MD

-0.56

-0.18

-0.36

-0.32

-0.52

-0.35

-0.05

-0.31

-0.30

MDD

-381

-351

-310

-411

-414

-350

-364

-475

-394

n1 =589
k1 = 20

TR

0.07

0.14

-0.17

-0.03

-0.08

0.17

0.03

0.06

0.08

k2 = 50

AR

-0.01

0.04

-0.20

-0.06

-0.14

0.07

-0.08

-0.07

-0.01

SD

-0.01

-0.02

0.00

-0.02

-0.01

-0.02

-0.01

-0.01

-0.01

SR

-0.10

0.19

-1.41

-0.47

-1.04

0.40

-0.66

-0.56

-0.10

MD

-0.09

-0.24

0.05

-0.13

0.03

-0.32

-0.05

-0.15

-0.12

MDD

-209

-96

59

-152

49

-143

-135

-221

-128

k1 = 20

TR

-0.12

0.14

-0.07

-0.03

-0.19

0.17

-0.08

-0.06

k2 = 100

AR

-0.20

0.04

-0.12

-0.06

-0.17

0.07

-0.13

-0.16

0.03

SD

-0.02

-0.02

-0.01

-0.02

-0.02

-0.02

-0.01

-0.01

-0.01

SR

-1.64

0.19

-0.91

-0.47

-1.30

0.39

-0.94

-1.23

0.18

0.09

MD

-0.02

-0.24

-0.08

-0.13

-0.02

-0.32

-0.04

-0.05

-0.15

MDD

27

-96

28

-152

36

-143

-36

-31

-117

k1 = 50

TR

0.14

0.07

-0.03

-0.01

0.18

0.15

-0.05

0.14

0.14

k2 = 200

AR

0.04

-0.07

-0.06

-0.07

0.08

0.07

-0.17

-0.09

-0.08

SD

-0.02

0.00

-0.02

-0.01

-0.02

0.00

0.00

-0.01

-0.01

SR

0.19

-0.55

-0.47

-0.55

0.45

0.51

-1.23

-0.82

-0.70

MD

-0.24

-0.08

-0.13

-0.09

-0.32

-0.27

-0.05

-0.24

-0.26

MDD

-96

-221

-152

-62

-143

-189

-207

-256

-249

0.14

Average across n1 given k1 , k2

k1 = 20

TR

0.11

0.17

-0.10

0.02

-0.07

0.14

0.10

-0.06

k2 = 50

AR

-0.01

0.02

-0.09

-0.03

-0.09

0.02

-0.02

-0.07

0.02

SD

-0.02

-0.03

-0.01

-0.03

-0.02

-0.03

-0.02

-0.02

-0.02

SR

-0.11

0.09

-0.69

-0.21

-0.67

0.05

-0.15

-0.53

0.14

MD

-0.26

-0.47

-0.13

-0.30

-0.03

-0.45

-0.12

-0.20

-0.40
-294

-592

-188

-335

-325

-221

-690

-215

k1 = 20

TR

-0.02

0.17

0.07

0.02

-0.26

0.14

-0.05

-0.05

k2 = 100

MDD

AR

-0.08

0.02

-0.04

-136

-0.03

-0.10

0.02

-0.05

-0.07

0.01

SD

-0.02

-0.03

-0.02

-0.03

-0.02

-0.03

-0.02

-0.02

-0.03

0.14

SR

-0.65

0.09

-0.34

-0.21

-0.75

0.05

-0.28

-0.54

0.08

MD

-0.10

-0.47

-0.23

-0.30

-0.03

-0.45

-0.02

-0.11

-0.26
-674

MDD

-708

-188

-571

-335

-239

-221

-490

-561

k1 = 50

TR

0.17

-0.09

0.02

-0.05

0.15

0.11

-0.18

0.08

0.13

k2 = 200

AR

0.02

-0.07

-0.03

-0.04

0.02

0.01

-0.09

-0.04

-0.03

SD

-0.03

-0.02

-0.03

-0.02

-0.03

-0.02

-0.02

-0.02

-0.01

SR

0.09

-0.55

-0.21

-0.29

0.09

0.08

-0.67

-0.37

-0.17

MD

-0.47

-0.12

-0.30

-0.26

-0.45

-0.35

-0.02

-0.24

-0.26

MDD

-188

-241

-335

-271

-271

-278

-199

-392

-638

Notes: (1) Table entries have the differences in strategy evaluation statistics between the proposed modified rule and the standard cross-over rules as
in section 2.2 of the main text; (2) M Ai denotes the price cross-over strategy based on ki with W M Ai and EM Ai denoting weighted and exponential
moving averages respectively; (3) M ACO, W M ACO and EM ACO denote the moving averages cross-over strategies; (4) T R is the difference in total
return, AR is the difference in annualized return, SD is the difference in annualized std. deviation, SR is the difference in annualized Sharpe ratios, M D
is the maximum drawdown, M DD is the maximum drawdown duration (in days).

49

Table 15-A. Comparing Long-Only and Long/Short on EUR/CHF using standard criteria
M A1

M A2

W M A1

W M A2

EM A1

EM A2

M ACO

W M ACO

EM ACO

n1 =2558
k1 = 20

TR

-0.06

0.01

-0.06

0.05

0.06

0.03

0.00

-0.02

0.02

k2 = 50

AR

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

SD

0.00

-0.01

0.00

-0.01

0.00

-0.01

-0.01

-0.01

-0.01

SR

-0.22

-0.25

-0.21

-0.27

-0.25

-0.29

-0.24

-0.22

-0.27
-0.04

MD

0.01

-0.04

0.02

-0.08

-0.09

-0.02

0.00

-0.04

MDD

-858

-991

-405

-996

-1011

-1471

-616

-1212

-990

k1 = 20

TR

0.06

0.01

0.01

0.05

0.06

0.03

0.00

-0.01

-0.01

k2 = 100

AR

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

SD

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.29

-0.25

-0.26

-0.25

-0.24

-0.27

-0.27

-0.23

-0.28

MD

-0.11

-0.04

-0.04

-0.08

-0.10

-0.02

0.02

0.00

-0.04

MDD

SR

-1362

-991

-1447

-996

-997

-1471

-630

-628

-997

k1 = 50

TR

0.01

0.07

0.05

0.04

0.03

0.03

0.05

0.01

0.04

k2 = 200

AR

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

SD

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.02

SR

-0.25

-0.34

-0.27

-0.28

-0.29

-0.29

-0.30

-0.29

-0.33

MD

-0.04

-0.09

-0.08

-0.03

-0.02

-0.03

-0.05

-0.04

-0.04

MDD

-991

-1705

-996

-1001

-1471

-990

-1875

-1302

-1224

k1 = 20

TR

-0.14

-0.06

-0.12

-0.02

-0.02

-0.05

-0.08

-0.11

-0.07

k2 = 50

AR

-0.08

-0.10

-0.08

-0.11

-0.10

-0.12

-0.10

-0.09

-0.11

SD

0.00

0.00

0.00

0.00

0.00

-0.01

0.00

0.00

0.00

SR

-0.92

-1.23

-0.89

-1.37

-1.16

-1.49

-1.17

-1.03

-1.36

MD

0.02

-0.02

0.05

-0.02

0.00

-0.01

0.00

-0.02

0.01

MDD

-165

-415

-292

-360

-323

-377

-382

-377

-434
-0.10

n1 =1353

k1 = 20

TR

0.00

-0.06

-0.04

-0.02

-0.02

-0.05

-0.06

-0.10

k2 = 100

AR

-0.10

-0.10

-0.09

-0.11

-0.11

-0.12

-0.10

-0.09

SD

-0.01

0.00

0.00

0.00

0.00

-0.01

0.00

0.00

-0.01

SR

-1.31

-1.23

-1.15

-1.37

-1.34

-1.49

-1.27

-1.07

-1.37
-0.01

-0.10

MD

-0.10

-0.02

-0.04

-0.02

-0.05

-0.01

0.02

0.02

MDD

-332

-415

-328

-360

-361

-377

-421

-380

-444

k1 = 50

TR

-0.06

0.00

-0.02

-0.05

-0.05

-0.05

-0.06

-0.07

-0.03

k2 = 200

AR

-0.10

-0.14

-0.11

-0.12

-0.12

-0.16

-0.11

-0.12

-0.18

SD

0.00

-0.01

0.00

0.00

-0.01

-0.01

-0.01

-0.01

-0.02

SR

-1.23

-1.89

-1.37

-1.46

-1.49

-2.06

-1.48

-1.53

-3.00

MD

-0.02

-0.08

-0.02

0.01

-0.01

-0.03

-0.02

-0.04

-0.07

MDD

-415

-399

-360

-446

-377

-462

-445

-454

-458

n1 =539
k1 = 20

TR

-0.14

-0.08

-0.08

-0.07

-0.06

-0.07

-0.06

-0.10

-0.07

k2 = 50

AR

-0.10

-0.13

-0.11

-0.14

-0.13

-0.16

-0.14

-0.12

-0.15

SD

0.00

0.01

0.01

0.01

0.01

0.01

0.00

0.01

0.01

SR

-1.18

-1.44

-1.19

-1.51

-1.30

-1.73

-1.55

-1.28

-1.62
-0.03

MD

0.00

-0.02

0.02

-0.02

0.02

-0.02

-0.01

-0.02

MDD

71

62

-19

60

-9

-89

-16

85

43

k1 = 20

TR

-0.07

-0.08

-0.09

-0.07

-0.06

-0.07

-0.06

-0.07

-0.09

k2 = 100

AR

-0.13

-0.13

-0.14

-0.14

-0.15

-0.14

-0.12

-0.16

-0.15

SD

0.00

0.01

0.01

0.01

0.01

0.01

0.01

0.01

0.00

SR

-1.40

-1.44

-1.32

-1.51

-1.48

-1.73

-1.59

-1.47

-1.65
-0.02

MD

0.01

-0.02

0.02

-0.02

0.00

-0.02

0.00

-0.02

MDD

-42

62

41

60

-74

-89

-26

18

-33

k1 = 50

TR

-0.08

-0.02

-0.07

-0.07

-0.07

-0.04

-0.07

-0.09

-0.05

k2 = 200

AR

-0.13

-0.25

-0.14

-0.17

-0.16

-0.23

-0.23

-0.19

-0.36

SD

0.01

0.01

0.01

0.01

0.01

0.01

0.02

0.01

0.00

SR

-1.44

-2.56

-1.51

-1.75

-1.73

-2.22

-2.28

-1.96

-3.86

MD

-0.02

-0.07

-0.02

-0.04

-0.02

-0.04

-0.08

-0.06

-0.07

MDD

62

-111

60

-99

-89

-126

-130

-125

-118

Average across n1 given k1 , k2

k1 = 20

TR

-0.11

-0.04

-0.08

-0.01

0.00

-0.03

-0.04

-0.07

-0.03

k2 = 50

AR

-0.05

-0.07

-0.06

-0.07

-0.06

-0.08

-0.07

-0.06

-0.07

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

SR

-0.69

-0.85

-0.68

-0.92

-0.80

-1.02

-0.86

-0.74

-0.95

MD

0.01

-0.02

0.03

-0.03

-0.02

-0.01

0.00

-0.03

-0.01

MDD

-404

-449

-330

-486

-611

-620

-422

-488

-451

k1 = 20

TR

0.00

-0.04

-0.03

-0.01

0.00

-0.03

-0.04

-0.06

-0.06

k2 = 100

AR

-0.07

-0.07

-0.06

-0.07

-0.07

-0.08

-0.07

-0.07

-0.07

SD

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

-0.01

SR

-0.88

-0.85

-0.80

-0.92

-0.91

-1.02

-0.91

-0.81

-0.97
-0.02

MD

-0.07

-0.02

-0.02

-0.03

-0.04

-0.01

0.01

0.00

MDD

-526

-449

-513

-486

-479

-620

-402

-416

-518

k1 = 50

TR

-0.04

0.02

-0.01

-0.02

-0.03

-0.01

-0.02

-0.04

-0.01

k2 = 200

AR

-0.07

-0.11

-0.07

-0.08

-0.08

-0.11

-0.10

-0.09

-0.14

SD

0.00

-0.01

0.00

0.00

0.00

-0.01

0.00

0.00

-0.01

SR

-0.85

-1.37

-0.92

-1.02

-1.02

-1.30

-1.17

-1.09

-1.99

MD

-0.02

-0.08

-0.03

-0.01

-0.01

-0.03

-0.03

-0.05

-0.05

MDD

-449

-702

-486

-688

-630

-542

-931

-617

-595

Notes: (1) Table entries have the differences in strategy evaluation statistics between the proposed modified rule and the standard cross-over rules as
in section 2.2 of the main text; (2) M Ai denotes the price cross-over strategy based on ki with W M Ai and EM Ai denoting weighted and exponential
moving averages respectively; (3) M ACO, W M ACO and EM ACO denote the moving averages cross-over strategies; (4) T R is the difference in total
return, AR is the difference in annualized return, SD is the difference in annualized std. deviation, SR is the difference in annualized Sharpe ratios, M D
is the maximum drawdown, M DD is the maximum drawdown duration (in days).

50

Table 16-A. Comparing Long-Only and Long/Short on EUR/CHF using modified criteria
M A1

M A2

W M A1

W M A2

EM A1

EM A2

M ACO

W M ACO

EM ACO

n1 =2558
k1 = 20

TR

0.01

-0.01

0.07

0.09

0.07

-0.01

-0.04

-0.01

0.01

k2 = 50

AR

-0.01

-0.01

0.00

0.00

0.00

-0.02

-0.02

-0.02

-0.01

SD

0.00

-0.01

0.00

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

SR

-0.21

-0.31

0.04

-0.08

-0.03

-0.36

-0.40

-0.33

-0.22

MD

-0.12

-0.10

-0.17

-0.10

-0.14

-0.05

-0.05

0.01

-0.02

MDD

-445

-116

-615

-279

-1287

-737

-176

-1358

31

k1 = 20

TR

0.10

-0.01

0.08

0.09

0.04

-0.01

-0.06

0.02

0.05

k2 = 100

AR

0.00

-0.01

0.00

0.00

-0.01

-0.02

-0.02

-0.02

0.00

SD

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

SR

-0.05

-0.31

-0.10

-0.08

-0.23

-0.36

-0.38

-0.39

-0.10

MD

-0.20

-0.10

-0.16

-0.10

-0.15

-0.05

-0.03

-0.05

-0.10

MDD

-989

-116

-1146

-279

-1210

-737

27

-749

-904

k1 = 50

TR

-0.01

0.06

0.09

-0.09

-0.01

0.04

0.02

0.05

0.03

k2 = 200

AR

-0.01

-0.01

0.00

-0.02

-0.02

-0.01

-0.02

0.00

-0.01

SD

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.01

-0.02

SR

-0.31

-0.42

-0.08

-0.35

-0.35

-0.32

-0.42

-0.14

-0.31

MD

-0.10

-0.12

-0.10

-0.01

-0.05

-0.06

-0.14

-0.09

-0.15

MDD

-116

-181

-279

-731

-738

-762

-1158

-615

-1068

k1 = 20

TR

0.00

-0.01

0.06

0.03

0.03

-0.05

-0.03

-0.05

-0.04

k2 = 50

AR

-0.06

-0.10

-0.02

-0.10

-0.05

-0.12

-0.13

-0.10

-0.10

SD

0.00

0.00

0.00

-0.01

0.00

0.00

0.01

0.00

0.00

SR

-0.70

-1.28

-0.20

-1.36

-0.63

-1.51

-1.41

-1.24

-1.17

n1 =1353

MD

-0.04

-0.11

-0.10

-0.09

-0.06

-0.06

-0.05

-0.04

-0.03

MDD

-441

-454

-483

-390

-403

-463

-418

-431

-474

k1 = 20

TR

0.03

-0.01

0.06

0.03

-0.03

-0.05

-0.05

0.00

0.02

k2 = 100

AR

-0.07

-0.10

-0.07

-0.10

-0.10

-0.12

-0.11

-0.12

-0.09

SD

-0.01

0.00

-0.01

-0.01

-0.01

0.00

0.00

0.00

0.00

SR

-1.03

-1.28

-1.00

-1.36

-1.48

-1.51

-1.24

-1.39

-1.18

MD

-0.14

-0.11

-0.12

-0.09

-0.06

-0.06

-0.03

-0.07

-0.10

MDD

-371

-454

-368

-390

-430

-463

-471

-452

-485

k1 = 50

TR

-0.01

0.03

0.03

-0.10

-0.05

0.00

-0.07

-0.01

-0.06

k2 = 200

AR

-0.10

-0.16

-0.10

-0.10

-0.12

-0.16

-0.15

-0.16

-0.37

SD

0.00

0.00

-0.01

0.00

0.00

-0.01

-0.01

0.00

0.01

SR

-1.28

-1.98

-1.36

-1.18

-1.51

-2.12

-2.06

-1.90

-4.01

MD

-0.11

-0.17

-0.09

-0.01

-0.06

-0.12

-0.09

-0.08

-0.10

MDD

-454

-462

-390

-391

-463

-488

-480

-506

-599

n1 =589
k1 = 20

TR

-0.10

-0.03

-0.04

-0.04

-0.07

-0.10

-0.01

-0.06

-0.03

k2 = 50

AR

-0.16

-0.12

-0.12

-0.15

-0.12

-0.19

-0.15

-0.08

-0.10

SD

0.00

0.01

0.00

0.00

0.00

0.01

0.00

0.00

0.00

SR

-1.85

-1.26

-1.34

-1.68

-1.35

-1.99

-1.60

-0.91

-1.03
-0.07

MD

0.04

-0.07

0.00

-0.03

0.01

-0.03

-0.05

-0.07

MDD

-137

-89

-205

-85

-48

-47

-116

-71

-149

k1 = 20

TR

-0.03

-0.03

-0.04

-0.04

-0.13

-0.10

-0.11

-0.01

-0.04

k2 = 100

AR

-0.15

-0.22

-0.10

-0.12

-0.12

-0.19

-0.16

-0.11

-0.15

SD

0.00

0.01

0.00

0.00

0.00

0.01

0.01

0.01

0.01

SR

-1.13

-1.26

-1.45

-1.68

-2.55

-1.99

-1.70

-1.17

-1.53

MD

-0.05

-0.07

-0.01

-0.03

0.03

-0.03

0.00

-0.07

-0.10

MDD

-63

-89

28

-85

-33

-47

-18

-111

-152

k1 = 50

TR

-0.03

-0.02

-0.04

-0.08

-0.10

0.03

-0.02

0.00

0.02

k2 = 200

AR

-0.12

-0.18

-0.15

-0.11

-0.19

-0.03

-0.06

-0.04

-0.03

SD

0.01

0.00

0.00

0.00

0.01

-0.02

-0.01

-0.01

0.00

SR

-1.26

-2.20

-1.68

-1.21

-1.99

-0.64

-0.94

-0.69

-0.37

MD

-0.07

-0.10

-0.03

-0.04

-0.03

-0.06

0.01

0.00

-0.05

MDD

-89

-133

-85

-19

-47

-39

-110

-118

-104

Average across n1 given k1 , k2

k1 = 20

TR

-0.01

-0.02

0.05

0.03

0.03

-0.05

-0.04

-0.04

-0.02

k2 = 50

AR

-0.06

-0.07

-0.03

-0.06

-0.04

-0.09

-0.08

-0.06

-0.06

SD

0.00

0.00

0.00

-0.01

0.00

0.00

0.00

0.00

0.00

SR

-0.75

-0.85

-0.36

-0.86

-0.52

-1.09

-1.03

-0.77

-0.71

MD

-0.06

-0.10

-0.11

-0.08

-0.08

-0.05

-0.05

-0.03

-0.04

MDD

-434

-249

-481

-313

-653

-428

-250

-575

-306

k1 = 20

TR

0.05

-0.02

0.05

0.03

-0.02

-0.05

-0.06

0.00

0.02

k2 = 100

AR

-0.05

-0.07

-0.05

-0.06

-0.09

-0.09

-0.08

-0.07

-0.06

SD

-0.01

0.00

-0.01

-0.01

-0.01

0.00

0.00

0.00

0.00

SR

-0.61

-0.85

-0.69

-0.86

-1.19

-1.09

-0.93

-0.90

-0.77

MD

-0.14

-0.10

-0.11

-0.08

-0.08

-0.05

-0.02

-0.06

-0.10

MDD

-646

-249

-658

-313

-706

-428

-203

-434

-471

k1 = 50

TR

-0.02

0.03

0.03

-0.10

-0.05

0.01

-0.03

0.01

0.00

k2 = 200

AR

-0.07

-0.09

-0.06

-0.06

-0.09

-0.06

-0.07

-0.06

-0.11

SD

0.00

-0.01

-0.01

-0.01

0.00

-0.01

-0.01

-0.01

-0.01

SR

-0.85

-1.30

-0.86

-0.81

-1.10

-0.93

-1.04

-0.76

-1.35

MD

-0.10

-0.13

-0.08

-0.02

-0.05

-0.08

-0.07

-0.07

-0.08

MDD

-249

-352

-313

-349

-428

-425

-553

-400

-753

Notes: (1) Table entries have the differences in strategy evaluation statistics between the proposed modified rule and the standard cross-over rules as
in section 2.2 of the main text; (2) M Ai denotes the price cross-over strategy based on ki with W M Ai and EM Ai denoting weighted and exponential
moving averages respectively; (3) M ACO, W M ACO and EM ACO denote the moving averages cross-over strategies; (4) T R is the difference in total
return, AR is the difference in annualized return, SD is the difference in annualized std. deviation, SR is the difference in annualized Sharpe ratios, M D
is the maximum drawdown, M DD is the maximum drawdown duration (in days).

51