backtesting rsi trading rules

8/9/2019 Backtesting RSI Trading Rules

1/31

1

[NJ Donmakl ^durgot @usofkss ^nmbbl

NASOZAL DAPIKZ^ AFJ OFZP[DKFZ^ (NDO) GOF:1>;3

Kdpor onal Pkvokw Erbup Srbhknt Pkpbrt

Pklatovk ̂ trkfetm Ofjkx Ofjonatbr

Smad Dofm Zufe

^tatkdkft

Uk jknlark tmat all datkroal ofnlujkj of tmos prbhknt os tmk kfj rksult bg bur bwf wbri afj

tmat juk anifbwlkjekdkft mas `kkf eovkf of tmk `o`loberapmy afj rkgkrkfnks tb all

sburnks `k tmky proftkj, klkntrbfon br pkrsbfal


2/31


3/31

>

Sart O8 Oftrbjuntobf afj ànierbufj

1. @anierbufj afj dbtovatobf

Zmk ànierbufj tmkbry gbr bur prbhknt os tmk wkai gbrd bg darikt kggonokfny. Kggonokft

darikt mypbtmksos (KDM), gbrdulatkj `y Kuekfk Gada of 1?53, sueeksts tmat at afy eovkf

todk, pronks gully rkglknt all avaola`lk ofgbrdatobf bf a partonular stbni afj/br darikt

tmkrkgbrk, ot os ufrkaloston gbr trajkrs tb butpkrgbrd tmk darikt. Of btmkr wbrjs, aekfts

naffbt prkjont tmk dbvkdkft bg stbni pronk, tmus fb bfk naf but „ prbgots tmk btmkrs.

KDM nbfsosts bg > gbrds8 wkai, skdo „ strbfe afj strbfe. Zmkbrktonally, og tmk wkai gbrd

bg kggonokft darikt kxosts, tknmfonal afalysos naffbt `k uskj tb prkjont afj `kat tmk darikt.

^bdktodks tmos gbrd os rkhkntkj, mbwkvkr, tmk daefotujks bg ofkggonokfny ark vkry sdall

rklatovk tb grontobf nbsts. Annbrjofe tb Gada afj @ludk (1??7), @rbni, Laibfosmbi afj

Lk@arbf (1??0), a varokty bg trajofe rulks gaolkj tb kxplbot tmk ofkggonokfny of tmk [^ stbni

darikt.

Dbtovatkj `y tmksk stujoks, wk jknojkj tb rktkst tmos gbrd bg darikt kggonokfny `y usofe

tknmfonal afalysos tb skk wmktmkr br fbt wk naf kxplbot prbgots afj butpkrgbrd tmk darikt.

Fbfktmklkss, bur stujoks woll bfly nbvkr bfk sofelk trajofe rulk wmonm os quotk gadbus afj

kasy tb odplkdkft „ Pklatovk ^trkfetm Ofjkx (PÔ).

0.

Zrajofe rulk „ Pklatovk ^trkfetm Ofjkx (PÔ)

Zmk Pklatovk ^trkfetm Ofjkx (PÔ), jkvklbpkj `y H. Ukllks Uoljkr, os a dbdkftud

bsnollatbr ofjonatbr tmat rkglknts tmk spkkj afj gluntuatobf bg pronk nmafeks. Zmk paradktkr

rafeks grbd 3 tb 133. Fbrdally tmk stbni os nbfsojkrkj bvkrsblj afj bvkr`buemt wmkf PÔ

lofk rkanmks tmk lbwkr zbfk `klbw >3 afj tmk uppkr zbfk a`bvk 53 rkspkntovkly.


4/31

:

Zmk PÔ ofjonatbr os nalnulatkj bf tmk jkgault 1: pkrobjs (naf `k jays, wkkis, dbftms,

ktn…). Of tmos papkr wk woll usk jaoly grkqukfny as tmk ofput paradktkr.

Nbdputatobf bg PÔ paradktkr8

1 3 3 + (1.0.1) P^ 4 Avkraek Eaof / Avkraek Lbss (1.0.0)

Zb sodplogy tmk nalnulatobf kxplafatobf, PÔ mas `kkf `rbikf jbwf oftb ots àson

nbdpbfkfts8 P^, Avkraek Eaof afj Avkraek Lbss bf tmk àsos bg 1: pkrobjs. Lbssks ark

kxprksskj as pbsotovk valuks, fbt fkeatovk valuks.

Zmk vkry gorst nalnulatobfs gbr avkraek eaof afj avkraek lbss ark sodplk 1: pkrobj avkraeks.

-

Gorst Avkraek Eaof 4 ûd bg Eaofs bvkr tmk past 1: pkrobjs / 1:. (1.0.>)

- Gorst Avkraek Lbss 4 ûd bg Lbssks bvkr tmk past 1: pkrobjs / 1: (1.0.:)

Zmk sknbfj, afj su`skqukft, nalnulatobfs ark àskj bf tmk probr avkraeks afj tmk nurrkft

eaof lbss8

- Avkraek Eaof 4 Y(prkvobus Avkraek Eaof) x 1> + nurrkft EaofT / 1: (1.0.;)

- Avkraek Lbss 4 Y(prkvobus Avkraek Lbss) x 1> + nurrkft LbssT / 1:. (1.0.7)

Gbllbwofe tmk PÔ ofjonatbr, wk b`taof a skll soefal wmkf tmk paradktkr os a`bvk 53 afj a

ùy soefal wmkf tmk paradktkr os `klbw >3. Agtkr rknkovofe tmk soefals, wk woll kxknutk tmk

skll brjkr wmkf tmk PÔ lofk dbvks jbwf afj but bg tmk uppkr zbfk. Zmk sadk nbfnkpt os

applokj gbr kxknutofe ùy brjkr.

>. Bur pbrtgblob

Uk jknojk tb tkst tmos trajofe rulk bf ̂ ofeapbrk ̂ traot Zodks Ofjkx ^ZO (@lbbd`kre Zonikr8

G^^ZO) of tmk todk gradk bg 0333 „ 031>. Zmk ^traots Zodks Ofjkx os nalnulatkj afj

josskdofatkj `y GZ^K, nbdprosks tmk tbp >3 Ê] Daof`barj lostkj nbdpafoks bf tmk

ôfeapbrk Kxnmafek sklkntkj `y gull darikt napotalozatobf.

[sofe af ofjkx sodplogoks tmk pbrtgblob nbfstruntobf gbr passovk trajofe stratkey wmonm

rkquorks a wkll „ jovkrsogokj bfk. ôfnk tmos ofjkx os nbdputkj `y ofjustry kxpkrts afj ot

rkprkskfts tmk mkaltm bg ôfeapbrk knbfbdy, wk mavk tmk euaraftkk bg tmk fknkssary

jovkrsoty.


5/31

;

^bdk kxpkrts `klokvk tmat darikt ofjonatbrs loik P^O os fbt suota`lk gbr darikts wotm moem

vblatoloty juk tb tmk larek adbuft bg galsk soefals ekfkratkj, wmonm os fbt ebbj gbr tmk

kggkntovk utolozatobf bg tmos ofjonatbr. Ot os ajvosa`lk tmat lkss vblatolk asskt loik ^&S ;33

Ofjkx smbulj `k uskj of tmos nask. Mbwkvkr, tmos ofjkx mas `kkf kxpkrodkftkj dafy todks

`y trajkrs afj snmblars, tmkrkgbrk wk jknojk tb nmbbsk a lkss gadbus ofjkx wmonm mas tmk

sadk lkvkl bg vblatoloty as ^&S ;33 afj G^^ZO os a quotk satosgokj bfk. Zmk ta`lk `klbw

smbws tmk stafjarj jkvoatobf bg jaoly rkturf grbd ^&S ;33 afj G^^ZO.

Ofjkx Zodk gradk Grkqukfny Ofnbdk vblatoloty

^&S ;33 0333 „ 031> Jaoly 1.10%

G^^ZO 0333 „ 031> Jaoly 3.7=%

^burnk8 Erbup kstodatks

:. Assudptobfs

Zb ̀ uolj a sunnkssgul antovk trajofe stratkey wk fkkj tb ard bursklvks wotm tknmfoquks sunm

as usofe lodot br stbp brjkr, mkjeofe afj jovkrsogyofe bur pbrtgblob wotm btmkr asskt nlassks

afj jkrovatovk sknurotoks. Mbwkvkr, of brjkr tb sodplogy bur nalnulatobf as wkll as tb eaof a

tmbrbuem ufjkrstafjofe a`but tmk trajofe rulk, wk mavk nrkatkj af kxpkrodkftal

kfvorbfdkft wotm skvkral assudptobfs.

Zmk trajofe stratkey nbftaofs bfly bptodozkj trajofe ru lk

Uk jb fbt usk afy btmkr tknmfoquks dkftobfkj a`bvk albfesojk wotm tmk trajofe rulk. Uk

aod tb osblatk tmk odpant bg tmk trajofe rulk tb skk wmktmkr br fbt ot os a ebbj bfk. Mbwkvkr,

wk jb sbdk bptodozatobfs tb tmk ofput paradktkrs bg tmk nalnulatobf tb gofj but tmk dbst

prbgota`lk nbd`ofatobf.

Zmk of tkrkst ratk afj oftkrkst dareof ark nbfstaft g br tmk wmblk todk gr adk

Uk assudk tmat tmk oftkrkst ratk afj oftkrkst dareof (lkfjofe ratk „ `brrbwofe ratk) ark

nbfstaft tmrbuem tmk wmblk todk gradk. Zmk todk gradk bg 1: ykars os jovojkj ̀ y > joggkrkft

su ̀„ pkrobj lkfetms8 > dbftms, 7 dbftms afj 10 dbftms. Zmkrkgbrk wk mavk nbrrkspbfjofe

;7 > „ dbftm su` „ pkrobjs, 0= 7 „ dbftm su` „ pkrobjs afj 1: 10 „ dbftm su` „ pkrobjs.


6/31

7

Zmk oftkrkst ratk afj oftkrkst dareof ark nbdputkj àskj bf tmk statostons bg tmk Dbfktary

Autmbroty bg ôfeapbrk ( mttp8//www.das.ebv.se/ ). Uk usk tmk avkraek valuk bg oftkrkst

ratks afj oftkrkst dareof as bur ofput paradktkrs gbr tmk nalnulatobf bg ofnbdk ekfkratkj.

Appkfjox 1 prbvojks suggonokft ofgbrdatobf bg tmk mostbronal jata bg ôfeapbrk oftkrkst ratk

as wkll as oftkrkst dareof gbr tmk nmbskf todk gradk.

Zmk ta`lk `klbw smbws tmk nbrrkspbfjofe oftkrkst ratks afj oftkrkst dareof gbr joggkrkft

wofjbws.

Uofjbw Oftkrkst ratk Oftkrkst dareof

> „ dbftm su` „ pkrobj 3.;7% :.=:%

7 „ dbftm su` „ pkrobj 3.51% :.7?%

10 „ dbftm su` „ pkrobj 3.?0 :.:?%


Zrajofe bf dareof allbwkj

Uk nbfsojkr tmksk `klbw dareof rkquorkdkft gbr dareof trajofe8

-

Lbfe ofotoal 8 133%

- Lbfe daoftkfafnk 8 3%

-

^mbrt ofotoal 8 1;3%

- ^mbrt daoftkfafnk 8 1;3%

O fo toal ̀ alafnk afj ro si avkrsk

Bur ofotoal àlafnk gbr ofvkstofe os 13,333 kurbs afj wk assudk tmat moem lkvkl bg rosi os

fbt annkptkj, tmkrkgbrk tmk jkgault adbuft bg dbfky spkft bf kanm trajk os bfly 03% bg

bur avaola`lk kquoty.

http://www.mas.gov.sg/http://www.mas.gov.sg/http://www.mas.gov.sg/http://www.mas.gov.sg/


7/31

5

Sart OO8 Knbfbdon kggknt

Gbr tmk nalnulatobf bg knbfbdon kggknt, wk usk Dkta^tbni®, sbgtwark jkvklbpkj `y Kquos

Oftkrfatobfal, tb ùolj tmk ofjonatbr afj tb àni „ tkst tmk trajofe rulk bf tmk nmbskf todk

gradk.

Zmk nbjks gbr pkrgbrdofe brjkr kxknutobf gbllbwofe PÔ ark `klbw8

- @uy brjkr/@uy tb nbvkr brjkr 8 Nrbss( PÔ(bpt1), >3 )

- ^kll brjkr/^kll smbrt 8 Nrbss( 53, PÔ(bpt1))

Bpt1 os tmk bptodozkj fud`kr bg pkrobjs (jays) uskj of PÔ nbdputatobf.

1. Zmk bptodozatobf

B`vobusly, wk naffbt usk tmk sadk skttofe bg PÔ gbr joggkrkft darikts. Kanm darikt mas

ots bwf nmarantkrostons, tmkrkgbrk rkquorks a joggkrkft nbfgoeuratobf gbr tmk `kst rksult. Zmk

smbrtkr tmk pkrobj, tmk dbrk skfsotovk tb pronk PÔ `knbdks.

Uk mavk pkrgbrdkj skvkral tksts afj nalnulatobfs tb gofj but tmk `kst pkrobj gbr PÔ. Uk

skt a rafek grbd 7 tb 0: gbr Bpt1 tb jrogt bf. Uk alsb skt 1 jay gbr kanm jrogt. Zmk rksults

ark fbt nbfsostkft `ktwkkf joggkrkft wofjbws, tmus nbfsblojatks bur `klokg tmat wk smbulj

usk joggkrkft nbfgoeuratobf gbr joggkrkft darikts afj trajofe pkrobjs.

Gbr > „ dbftm su` „ pkrobjs, PÔ trajofe rulk nalnulatkj bf 1; „ jay pkrobj (PÔ (1;))

ekfkratks moemkst ofnbdk. Dkafwmolk, gbr 7 „ dbftm su` „ pkrobjs afj 10 „ dbftm su` „

pkrobjs ark PÔ (1:) afj PÔ (=) rkspkntovkly. Grbd tmk rksult, ot naf `k assuda`lk tmat gbr

G^^ZO, tmk smbrtkr tmk trajofe pkrobj, tmk lkss vblatoloty grbd tmk stbni pronk, tmus PÔ

pkrobj os lbfekr. Fbfktmklkss, ot os fbt bur ebal tb prbvk tmat tmkbry, tmk rksult woll bfly

mklp us savofe todk afj kggbrt `y poniofe up tmk dbst kggonokftly bptodozkj PÔ gbr tmk tkst

aeaofst tmk passovk trajofe stratkey.


8/31

=

^burnk8 Erbup kstodatks.** Zmk rksults ark b`taofkj of fbf „ grontobf nbst snkfarob.

@klbw ark tmk ollustratobf bg bptodozkj P^O ofjonatbr gbr 0310, Hafuary 0311 „ Hufk 0311

afj Aprol 0311 „ Hufk 0311.

- 3 . 3

0 %

3 . 0

? % 3

. ; 1 %

- 3 . 1

0 %

- 3 . 5

3 %

- 3 . 0

1 %

3 . 1

= %

- 3 . :

0 %

3 . 1

1 %

3 . 1

; %

3 . 3

; %

- 3 . 3

7 %

- 3 . 0

3 %

- 3 . 0

7 %

- 3 . >

> %

- 3 . 5

; %

- 3 . 7

? %

- 3 . ?

1 %

- 3 . 5

: %

7 5 = ? 13 11 10 1> 1: 1; 17 15 1= 1? 03 01 00 0> 0:

10 - DBFZM ^[@ - SKPOBJ AWKPAEK PKZ[PF

3 . 3

1 %

3 . 1

? % 3

. > > %

3 . 0

0 %

- 3 . 3

= %

3 . 3

3 %

3 . 0

5 %

3 . 3

3 %

3 . :

= %

3 . :

5 %

3 . :

> %

3 . 0 7

% 3 . :

1 %

3 . >

5 %

3 . 1

1 %

3 . 3

? %

3 . 1

3 %

3 . 3

3 %

3 . 3

7 %

7 5 = ? 13 11 10 1> 1: 1; 17 15 1= 1? 03 01 00 0> 0:

7 - DBFZM ^[@ - SKPOBJ AWKPAEK PKZ[PF

- 3 . 3

1 %

3 . 1

; %

3 . 1

5 %

- 3 . 3

1 %

3 . 3

5 %

3 . 3

1 % 3

. 3 ; %

3 . 3

; %

3 . 3

5 %

3

. 0 1 %

3 . 1

5 %

3 . 1

5 % 3 . 0 3 %

3 . 1

0 %

3 . 1

1 %

3 . 1

3 %

3 . 1

3 %

3 . 3

7 % 3

. 3 ? %

7 5 = ? 13 11 10 1> 1: 1; 17 15 1= 1? 03 01 00 0> 0:

> - DBFZM ^[@ - SKPOBJ^ AWKPAEK PKZ[PF


9/31

?

PÔ = - 0310

0310 Gk`ruary Darnm Aprol Day Hufk Huly Aueust ^kptkd`kr Bntb`kr Fbvkd`kr Jknkd`kr 031>

-1.3

-3.;

3.3

3.;

1.3

1.;

13

1;

03

0;

>3

>;

:3:;

;3

;;

73

7;

53

5;

=3

=;

?3

?;0310 (>,15>.3>, >,157.1=, >,173.=3, >,175.3=, -0: .5033), Pklatovk ̂ trkfetm Ofjkx (;?.>=15)

PÔ 1: „ Haf0311 „ Huf 0311

1

0311

11 1= 0; >

Day

? 17 0> >3

Hufk

7 1> 03 05 :

Huly

11

-1.3

-3.;

3.3

3.;

1.3

1.;

>3

>;

:3

:;

;3

;;

73

7; ASPH[F0311 (>,3=:.=7, >,105.:=, >,3=>.=3, >,103.::, +:3.5333), Pklatovk t̂rkfetm Ofjkx (;5.0??0)

PÔ 1; „ Apr 0311 „ Huf 0311

>0311

13 15 0: >1 5Gk`ruary

1: 01 0= 5Darnm

1: 01 0= : Aprol

11 1= 0; >Day

? 17 0> >3 7Hufk

1> 03 05 :Huly

11

-1.3

-3.;

3.3

3.;

1.3

1.;

0?33

0?;3

>333

>3;3

>133

>1;3

>033

>0;3

>>33HAFH[F0311 (>,3=:.=7, > ,105.:=, >,3=>.=3, >,103.::, +:3.5333), Pkla tovk ̂ trkfetm Ofjkx (;=.1=>>)

^burnk8 Dkta^tbni


10/31


11/31

11


Ekfkrally, tmk avkraek ofnbdks bg all wofjbws ark pbsotovk. Altmbuem wk suggkr grbd sbdk

skvkrk lbssks, tmk bvkrall rksult os a pbsotovk rkturf.

>. Ofnbdk wotm grontobf nbst

Ot smbulj `k gorstly fbtkj tmat wk mavk joggkrkft ofput pkrobj gbr P^O of tmos snkfarob.

Annbrjofe tb bur nalnulatobf, tmk `kst nbfgoeuratobf gbr >- dbftm, 7 „ dbftm afj 10 „

dbftm pkrobjs ark 0:, 1= afj 0: jays rkspkntovkly.

Oftkrkstofely, wmkf wk ofnbrpbratk tmk grontobf nbst bg 0% bg kanm trajk, wk wotfkss

fkeatovk ofnbdks gbr all wofjbws. Ot os b`vobus tmat wk stoll naf daik prbgots of sbdk

partonular su ̀„ pkrobjs, mbwkvkr tmk tbtal rkturfs gbr all su` „ pkrobjs ark fkeatovk.

Zmk erapm `klbw smbws tmk rksults bg bur nalnulatobf.


Zmk pattkrf skkds loik wk stoll daik prbgots dbst bg tmk todk, kvkf wmkf wk ofnbrpbratk

tmk nbddossobfs bf kanm trajk. Mbwkvkr, wmkf wk pay attkftobf tb tmk fud`kr bg trajks

jurofe all tmk > „ dbftm su ̀„ pkrobjs, wk fbtonk tmk fud`kr bg trajks bg :0/;7 b`skrvatobfs

ark kqual tb 3, wmonm dkafs tmk pbsotovk ofnbdks ekfkratkj sodply `y `uyofe afj mbljofe

tmk stbni ratmkr tmaf antovkly trajofe. All tmk rkturfs ekfkratkj wmkf tmk trajk fud`kr os 3

ark arbufj 3.1:%. Appkfjox >, Za`lk >.1 prbvojks a nlbskr lbbi at tmk jktaols.

@ksojks tmat, wk suggkr grbd lbssks 10/1: todks wmkf trajofe fud`kr os larekr tmaf 3

(dkrkly 1 gbr > „ dbftm su` „ pkrobjs). Zmk moemkst lbss os 0.=>% afj tmk moemkst prbgots

os 1.;;%. Zmk avkraek rkturf gbr all ;7 > „ dbftm pkrobjs os -3.35%.

-:.33%

->.33%

-0.33%

-1.33%

3.33%

1.33%

0.33%

1 > ; 5 ? 11 1> 1; 15 1? 01 0> 0; 05 0? >1 >> >; >5 >? :1 :> :; :5 :? ;1 ;> ;;

> - dbftm su` - pkrobjs


12/31

10


Altmbuem tmk rkturfs swofe dbrk woljly of tmk lattkr su` „ pkrobjs bg 7 dbftms afj 10

dbftms, tmk tbtal rkturf os stoll fkeatovk. Zmk lbssks ark 3.37% afj 3.71% gbr 7 „ dbftm

wofjbw afj 10 „ dbftm wofjbw rkspkntovkly.

Of ekfkral, wk naf nbfnlujk tmat of tmk snkfarob bg 3 grontobf nbst br grontobf nbst os trovoal,

wk naf prb`a`ly daik prbgots `y antovkly trajofe usofe tmk P^O ofjonatbr. Mbwkvkr, tmk

sotuatobf nbdplktkly turfs upsojk jbwf wmkf wk ofnbrpbratk tmk grontobf nbst bg 0% bg kanm

trajk afj b`vobusly tmk lbss woll ofnrkask albfesojk wotm tmk grontobf nbst.

-;.33%

-:.33%

->.33%

-0.33%

-1.33%

3.33%

1.33%

0.33%

>.33%

:.33%

;.33%

1 0 > : ; 7 5 = ? 13 11 10 1> 1: 1; 17 15 1= 1? 03 01 00 0> 0: 0; 07 05 0=

7 - dbftm su` - pkrobjs

-7.33%

-;.33%

-:.33%

->.33%

-0.33%

-1.33%

3.33%

1.33%

0.33%

>.33%

:.33%

;.33%

1 0 > : ; 7 5 = ? 13 11 10 1> 1:

10 - dbftm su` - pkrobjs


13/31

1>

Sart OOO8 ^tatostonal kggknt

Of tmos skntobf, bur stujoks woll gbnus bf afswkrofe twb qukstobfs8

- Os PÔ a sta`lk afj rkloa`lk ofjonatbr2

-

Os tmk ofnbdk grbd antovk trajofe stratkey gbllbwofe PÔ soefogonaftly larekr tmaf

ofnbdk grbd passovk trajofe stratkey (ùy afj mblj)2

Uk usk tmk goeurk grbd fb „ grontobf nbst snkfarob sofnk b`vobusly, og tmk rkturfs grbd tmos

snkfarob ark fbt statostonally soefogonaft tmkf tmk rkturfs grbd tmk btmkr snkfarob woll surkly

`k tmk sadk.

1. Ofnbdk vblatoloty afj rosi

Mkrk wk woll gofj tmk Waluk „ at „ Posi (WaP) afj ^tafjarj Jkvoato bf bg tmk rkturfs

ekfkratkj `y tmk PÔ gbr > „ dbftm, 7 „ dbftm afj 10 - dbftm pkrobjs. WaP os tmk larekst

pbsso`lk lbss bg af asskt br a pbrtgblob of tmk guturk, eovkf a nkrtaof prbàòloty (Hbrobf

0335). ^tafjarj jkvoatobf (vblatoloty) tksts tmk jospkrsobf bg tmk rkturfs grbd tmkor dkaf

(Hbrobf 1??;). Dbrkbvkr, tmos papkr usks twb dktmbjs tb nalnulatk tmk WaP „ paradktron

afj fbf „ paradktron dktmbj (mostbronal sodulatobf). Mostbronal sodulatobf os a dktmbj tmat

usks past rkturf jata tb prkjont guturk rkturfs (Lofsdkokr & Skarsbf 1??7). @ksojks, ot os

odpbrtaft tb tkst wmktmkr tmk avkraek rkturfs ekfkratkj `y tmk PÔ ark soefogonaftly

joggkrkft grbd zkrb. ôfnk wk hust tkst a sadplk bg tbtal rkturfs ekfkratkj `y tmk PÔ, wk

usk ^tujkft‟s t „ tkst wmonm os quotk satosgokj gbr tkstofe wmkf tmk sadplk sozk os sdall afj

tmk stafjarj jkvoatobf bg tmk pbpulatobf os ufifbwf (Sgafzael 1??7).

Zmk nalnulatobf bg tmk X valuk,

Zmk nalnulatobf gbr vblatoloty,

0 ∑ ( ̋)04 4 Wblatoloty


14/31

1:

Zmk statostonal rksults ark eovkf `klbw

WaP (M^) WaP (Fbrd Jost) Wblatoloty

> „ dbftm -0.;7% -1.57> 1.15==%

7 „ dbftm ->.7;% ->.0? 0.0=?5%

10 „ dbftm -11.;>% (13%) -5.13= :.557>%


Annbrjofe tb tmk statostonal rksults, gbr tmk mostbronal sodulatobf dktmbj, wotm ?;%

nbfgojkfnk, wk say tmat gbr tmk > „ dbftm pkrobjs, tmk rkturfs ekfkratkj `y tmk PÔ woll fbt

`k lkss tmaf fkeatovk 0.;7%. ôdolarly, wotm ?;% nbfgojkfnk, wk say tmat gbr tmk 7 „ dbftm

pkrobjs, tmk rkturfs ekfkratkj `y tmk PÔ woll fbt `k lkss tmaf fkeatovk >.7;%. @knausk bgtmk lodotatobf bg tmk sadplk sozk bg tmk bfk ykar jata, wk tkst tmk 13% WaP gbr tmk 10 „

dbftm pkrobjs afj wotfkss tmat gbr tmat wofjbw, wotm ?3% nbfgojkfnk, wk wbulj fbt suggkr

grbd a lbss larekr tmaf 11.;>%. Gbr tmk paradktron dktmbj, wk naf sodolarly nbfnlujk tmat

wotm ?;% nbfgojkfnk wk say tmat tmk rkturfs ekfkratkj `y tmk PÔ woll fbt `k lkss tmaf

fkeatovk 1.57>%, >.0?% afj 5.1=% gbr > „ dbftm, 7 „ dbftm afj 1 „ ykar pkrobjs

rkspkntovkly. Zmk rksults tmbuem ark fbt pkrgkntly tmk sadk juk tb tknmfonal joggkrkfnks

`ktwkkf twb dktmbjs, stoll prbvojk us sodolar pattkrfs. Zmk vblatolotoks bg tmk rkturfs ark

3.115==, 3.00=?5 afj 3.:557> gbr > „ dbftm, 7 „ dbftm afj 1 „ ykar pkrobjs rkspkntovkly.

Kxpkntkj ̂ mbrtg all os sodply tmk avkraek bg all tmk wbrst rkturfs at a partonular soefogonafnk

lkvkl. Zmk "kxpkntkj smbrtgall at q% lkvkl" dkafs tmat tmk kxpkntkj rkturf grbd tmk pbrtgblob

of tmk wbrst q% bg tmk jata. Zmrbuem rafiofe afj nbdputofe tmk %eaof bg bur jata, wk

b`taof tmk K^ grbd tmk pbrtgblob.

> „ dbftm pkrobj 7 „ dbftm pkrobj 1 „ ykar pkrobj

?3% nbfgojkfnk -0.?>% ->.:1% -;.?:%

?;% nbfgojkfnk ->.10% ->.;>% -5.=5%



15/31

1;

Zmk ta`lk a`bvk smbws tmk rksults gbr joggkrkft pkrobjs at ?3% afj ?;% soefogonafnk lkvkl.

Uk b`taof tmk nbrrkspbfjofe rksults gbr > „ dbftm su` - pkrobjs wmonm ark -0.?>% afj -

>.10% rkspkntovkly wmkrkas tmk goeurks bg 10 „ dbftm su ̀„ pkrobjs ark -;.?:% afj -5.=5%.

Ot naf `k oftkrprktkj tmat rkturfs ark fkeatovkly nbrrklatkj wotm ofvkstdkft todk gradk. Zmk

wojkr tmk todk gradk, tmk moemkr lbss ybu prbà`ly woll kxpkrokfnk.

ôefog onafnk bg tmk rkturfs ekfkratkj ̀ y tmk P Ô .

8 dkaf rkturf os zkrb.8 dkaf rkturf os soefogonaftly joggkrkft grbd zkrb.Uk usk ^tujkft‟s t „ tkst tb tkst tmk soefogonafnk sofnk tmk stafjarj jkvoatobf bg tmk

pbpulatobf os ufifbwf.

Zmk nalnulatobf bg t „ valuk8

℟ ̋ ∘ ⁊ < ≍ ∐() ̋ 8 Zmk dkaf bg rkturfs.f 8 Zmk fud`kr bg su` „ sadplks (o.k. tmk fud`kr bg b`skrvatobfs)

s 8 Zmk stafjarj krrbr bg rkturfs.

Ρ 8 Zmk eovkf prbàòloty.Zmk rksult os as `klbw8

> „ dbftm 7 „ dbftm 10 „ dbftm

t-valuk 1.1: 1.11 3.;7

Dkaf rkturf 3.1=% 3.:=% 3.5;%

Nrotonal valuk 0.33: 0.3;0 0.173

Pksult Ofsoefogonaft Ofsoefogonaft Ofsoefogonaft


Uk gaolkj tb rkhknt tmk full mypbtmksos bg ofsoefogonafnk of all > „ dbftm, 7 „ dbftm afj 10

„ dbftm su` „ pkrobj. Ekfkrally, wk naf nbfnlujk tmat avkraek rkturfs bg bur ofvkstdkft

gbllbwofe PÔ ofjonatbr ark fbt soefogonaftly joggkrkft grbd 3.


16/31

17

Bvkrall, ot os smbwf tmat altmbuem tmk dkaf rkturfs bf bur ofvkstdkfts skkd loik pbsotovk

bfks, ùt of gant tmky ark fbt soefogonaftly joggkrkft grbd zkrb, wmonm dkafs grbd tmk

pkrspkntovk bg statostons, tmk PÔ naffbt daik nbfsostkftly pbsotovk prbgots bvkr a lbfe

pkrobj. Dbrkbvkr, ot os fbt suota`lk gbr lbfe tkrd trajkrs sofnk tmky woll suggkr grbd moemkr

lbss as wkll as woljkr swofe of rkturfs as trajofe todk gradk ekts wojkr. Fbfktmklkss, ot

smbulj `k fbtkj tmat tmk stratkey gbllbwofe PÔ ofjonatbr os fbt tmat usklkss. Ot os stoll

prbgota`lk gbr sbdk partonular su` „ pkrobjs, ykt ot os fbt a gully rkloa`lk bfk tmat naf `rofe

pbsotovk ofnbdk dbst bg tmk todk.

0. Naf wk `kat tmk darikt2

”@katofe tmk darikt‟ dkafs tryofe tb karf af ofvkstdkft rkturf erkatkr tmaf tmat bg tmk

G^ZZO ofjkx. Of brjkr tb ifbw wmktmkr wk naf `kat tmk darikt, wk tkst tmk joggkrkfnk

`ktwkkf twb pbpulatobf dkafs8 bfk os tmk avkraek rkturf grbd antovk trajofe stratkey

gbllbwofe PÔ, tmk btmkr os tmk avkraek rkturf grbd passovk trajofe stratkey. @kgbrk

prbnkkjofe tb tmk tkst, wk mavk dajk tmrkk assudptobfs (Javoj 031:)8

- Zmk twb pbpulatobfs mavk tmk sadk varoafnk.

- Zmk pbpulatobfs ark fbrdally jostroùtkj.

- Kanm valuk os sadplkj ofjkpkfjkftly grbd kanm btmkr valuk.

Zmk gbrdula gbr tkst statoston nbdputatobf os eovkf8

℆ ℆ 8 tmk joggkrkfnk `ktwkkf twb dkafs os fbt soefogonaftly larekr tmaf 3 (statoston 4 3).8 tmk joggkrkfnk `ktwkkf twb dkafs os soefogonaftly larekr tmaf 3 (statoston 6 3).Gorstly wk nalnulatk tmk joggkrkfnk bg sadplk dkaf8 0.Zmkf wk nbdputk tmk kstodatk bg tmk stafjarj krrbr bg tmk statoston as `klbw8

∐0 0 (D^K os tmk kstodatobf bg pbpulatobf varoafnk, + 0 )Uotm jkerkk bg grkkjbd as 0f „ 0, tmk rksults nbdputkj ark as `klbw8


17/31

15

Juratobf t-stat S-Waluk (bfk taol) Pksult

>-dbftm -3.1;3==7>7= 3.::3153=;> ofsoefogonaft

7-dbftm 1.?1:?=;1:: 3.3>3>?=5:? soefogonaft

1-ykar -3.:75:?:537 3.>00303>1: ofsoefogonaft


Uk naf skk grbd tmk ta`lk tmat tmk ofnbdk grbd antovk trajofe stratkey gbllbwofe PÔ os

soefogonaftly larekr tmaf tmk ofnbdk grbd passovk trajofe stratkey bfly of 7 „ dbftm

pkrobjs. Zmkrkgbrk, wk mavk tmk kvojkfnk tb suppbrt tmk pboft tmat wk naffbt b`taof kxnkkj

karfofes grbd antovk trajofe stratkey gbllbwofe PÔ. Of btmkr wbrjs, wk sodply naffbt ̀ kat

tmk darikt.

Sart OW8 Nbfnlusobf afj rknbddkfjatobf

Zmbuem tmos rulk pkrgbrds wkll jurofe nkrtaof todks, ot jbks fbt smbw a soefogonaft

nbfsostkfny as af kggonokftly prbgota`lk trajofe rulk bvkr lbfe pkrobjs. Zmk rkturfs wk

b`taof ark trovoal afj naffbt nbvkr tmk grontobf nbst (0%). Ekfkrally, wk gaolkj tb usk tmos

trajofe rulk tb `kat tmk darikt. Zmos nbfnlusobf os nbfsostkft wotm tmk gbrk „ dkftobfkj

tmkbry bg tmk wkai gbrd bg darikt kggonokfny.

Grbd bur mud`lk tkst, ykt wk naffbt nbfgord tmk kxostkfnk bg tmk wkai gbrd bg darikt

kggonokfny, wk stoll b`taof dbrk kvojkfnks bg tmat kxostkfnk. Alsb tmk tkst rksults mavk

nrkatkj a wojk bpkf bg gurtmkr rkskarnmofe afj stujoks a`but usofe nbdòfkj trajofe rulks

as wkll as mkjeofe tknmfoquks tb rkjunk tmk lbss, tmus ofnrkask tmk nmafnk bg butpkrgbrdofe

tmk darikt.


18/31

1=

Appkfjox 18 ^ofeapbrk Oftkrkst Patks afj Oftkrkst Dareof

Kfj bg Skrobj Lkfjofe Patk > Dbftms Dareof 7 Dbftms Dareof 10 Dbftms Dareof

0333

Haf ;.= 1.7= :.10 0.3: >.57 0.:7 >.>:

Gk` ;.=; 1.50 :.1> 0.35 >.5= 0.:7 >.>?

Dar ;.=; 1.50 :.1> 0.35 >.5= 0.:7 >.>?

Apr ;.=; 1.50 :.1> 0.35 >.5= 0.:7 >.>?

Day ;.=; 1.50 :.1> 0.35 >.5= 0.:7 >.>?

Huf ;.=; 1.50 :.1> 0.35 >.5= 0.:7 >.>?

Hul ;.=; 1.50 :.1> 0.35 >.5= 0.:7 >.>?

Aue ;.=; 1.50 :.1> 0.35 >.5= 0.:7 >.>?

^kp ;.=; 1.50 :.1> 0.35 >.5= 0.:7 >.>?

Bnt ;.= 1.5 :.1 0.3: >.57 0.:0 >.>=

Fbv ;.= 1.5 :.1 0.3: >.57 0.:0 >.>=

Jkn ;.= 1.5 :.1 0.3: >.57 0.:0 >.>=

0331

Haf ;.= 1.5 :.1 0.3: >.57 0.:0 >.>=

Gk` ;.= 1.5 :.1 0.3: >.57 0.>5 >.:>

Dar ;.= 1.5 :.1 0.3: >.57 0.>5 >.:>

Apr ;.= 1.5 :.1 0.3: >.57 0.>5 >.:>

Day ;.= 1.5 :.1 0.3: >.57 0.>5 >.:>

Huf ;.= 1.5 :.1 0.3: >.57 0.>7 >.::

Hul ;.= 1.5 :.1 0.3: >.57 0.>7 >.::

Aue ;.= 1.5 :.1 0.3: >.57 0.>> >.:5

^kp ;.:= 1.>7 :.10 1.7? >.5? 1.?> >.;;

Bnt ;.> 1.1; :.1; 1.:; >.=; 1.75 >.7>

Fbv ;.> 1.11 :.1? 1.:> >.=5 1.71 >.7?

Jkn ;.> 1.30 :.0= 1.>> >.?5 1.;> >.55

0330

Haf ;.> 1 :.> 1.0? :.31 1.;1 >.5?

Gk` ;.>; 3.?= :.>5 1.0; :.1 1.:7 >.=?

Dar ;.>; 3.?; :.: 1.0> :.10 1.:: >.?1

Apr ;.>; 3.?; :.: 1.0> :.10 1.:: >.?1

Day ;.>; 3.?1 :.:: 1.1= :.15 1.>= >.?5

Huf ;.>; 3.?1 :.:: 1.1= :.15 1.: >.?;

Hul ;.>; 3.=> :.;0 1.11 :.0: 1.>= >.?5

Aue ;.>; 3.5= :.;5 1.37 :.0? 1.>> :.30^kp ;.>; 3.5= :.;5 1.3; :.> 1.>> :.30

Bnt ;.>; 3.5= :.;5 1.3; :.> 1.>> :.30

Fbv ;.>; 3.5= :.;5 1.3; :.> 1.>0 :.3>

Jkn ;.>; 3.5= :.;5 1.3; :.> 1.>0 :.3>

033>Haf ;.>; 3.5= :.;5 1.3; :.> 1.> :.3;

Gk` ;.>> 3.5> :.7 1.31 :.>0 1.0; :.3=


19/31

1?

Dar ;.> 3.70 :.7= 3.== :.:0 1.1; :.1;

Apr ;.> 3.70 :.7= 3.== :.:0 1.1; :.1;

Day ;.> 3.:: :.=7 3.;7 :.5: 3.5: :.;7

Huf ;.> 3.:0 :.== 3.;> :.55 3.50 :.;=

Hul ;.> 3.:0 :.== 3.;> :.55 3.5 :.7

Aue ;.> 3.: :.? 3.;0 :.5= 3.5 :.7

^kp ;.> 3.: :.? 3.;0 :.5= 3.5 :.7

Bnt ;.> 3.: :.? 3.;0 :.5= 3.5 :.7

Fbv ;.> 3.: :.? 3.;0 :.5= 3.5 :.7

Jkn ;.> 3.: :.? 3.;0 :.5= 3.5 :.7

033:

Haf ;.> 3.: :.? 3.;0 :.5= 3.5 :.7

Gk` ;.> 3.: :.? 3.;1 :.5? 3.5 :.7

Dar ;.> 3.: :.? 3.;1 :.5? 3.5 :.7

Apr ;.> 3.: :.? 3.;1 :.5? 3.5 :.7

Day ;.> 3.: :.? 3.;1 :.5? 3.5 :.7

Huf ;.> 3.: :.? 3.;1 :.5? 3.5 :.7

Hul ;.> 3.: :.? 3.;1 :.5? 3.5 :.7

Aue ;.> 3.: :.? 3.;1 :.5? 3.51 :.;?

^kp ;.> 3.:1 :.=? 3.;0 :.5= 3.50 :.;=

Bnt ;.> 3.:1 :.=? 3.;0 :.5= 3.50 :.;=

Fbv ;.> 3.:1 :.=? 3.;0 :.5= 3.50 :.;=

Jkn ;.> 3.:1 :.=? 3.;0 :.5= 3.50 :.;=

033;

Haf ;.> 3.:1 :.=? 3.;0 :.5= 3.50 :.;=

Gk` ;.> 3.:1 :.=? 3.;0 :.5= 3.50 :.;=

Dar ;.> 3.:1 :.=? 3.;0 :.5= 3.50 :.;=

Apr ;.> 3.:0 :.== 3.;> :.55 3.5: :.;7

Day ;.> 3.:0 :.== 3.;> :.55 3.5: :.;7

Huf ;.> 3.:0 :.== 3.;> :.55 3.5: :.;7

Hul ;.> 3.:0 :.== 3.;> :.55 3.5: :.;7

Aue ;.> 3.:0 :.== 3.;> :.55 3.5: :.;7

^kp ;.> 3.:0 :.== 3.;> :.55 3.5: :.;7

Bnt ;.> 3.:; :.=; 3.;5 :.5> 3.5= :.;0

Fbv ;.> 3.;> :.55 3.70 :.7= 3.=> :.:5

Jkn ;.> 3.;7 :.5: 3.77 :.7: 3.=7 :.::

0337

Haf ;.> 3.;7 :.5: 3.77 :.7: 3.=7 :.::Gk` ;.> 3.;5 :.5> 3.77 :.7: 3.=5 :.:>

Dar ;.> 3.;5 :.5> 3.75 :.7> 3.== :.:0

Apr ;.> 3.;5 :.5> 3.75 :.7> 3.=? :.:1

Day ;.> 3.;5 :.5> 3.7= :.70 3.=? :.:1

Huf ;.> 3.;5 :.5> 3.7= :.70 3.=? :.:1

Hul ;.> 3.;5 :.5> 3.7? :.71 3.=? :.:1


20/31

03

Aue ;.>> 3.;= :.5; 3.7? :.7: 3.=? :.::

^kp ;.>> 3.;5 :.57 3.7= :.7; 3.=? :.::

Bnt ;.>> 3.;5 :.57 3.75 :.77 3.=5 :.:7

Fbv ;.>> 3.;5 :.57 3.75 :.77 3.== :.:;

Jkn ;.>> 3.;5 :.57 3.75 :.77 3.== :.:;

0335

Haf ;.>> 3.;5 :.57 3.75 :.77 3.=5 :.:7

Gk` ;.>> 3.;5 :.57 3.75 :.77 3.=5 :.:7

Dar ;.>> 3.;7 :.55 3.75 :.77 3.=5 :.:7

Apr ;.>> 3.;> :.= 3.7: :.7? 3.=; :.:=

Day ;.>> 3.;0 :.=1 3.70 :.51 3.=> :.;

Huf ;.>> 3.;1 :.=0 3.70 :.51 3.=> :.;

Hul ;.>> 3.;1 :.=0 3.70 :.51 3.=: :.:?

Aue ;.>> 3.;0 :.=1 3.7> :.5 3.=: :.:?

^kp ;.>> 3.;> :.= 3.7: :.7? 3.=; :.:=

Bnt ;.>> 3.;1 :.=0 3.70 :.51 3.=: :.:?

Fbv ;.>> 3.;1 :.=0 3.70 :.51 3.=> :.;

Jkn ;.>> 3.;1 :.=0 3.70 :.51 3.=> :.;

033=

Haf ;.>= 3.:= :.? 3.;? :.5? 3.5? :.;?

Gk` ;.>= 3.:7 :.?0 3.;; :.=> 3.5: :.7:

Dar ;.>= 3.:0 :.?7 3.;0 :.=7 3.51 :.75

Apr ;.>= 3.:1 :.?5 3.;1 :.=5 3.51 :.75

Day ;.>= 3.:0 :.?7 3.;0 :.=7 3.51 :.75

Huf ;.>= 3.:1 :.?5 3.;> :.=; 3.5> :.7;

Hul ;.>= 3.: :.?= 3.;: :.=: 3.5: :.7:

Aue ;.>= 3.>? :.?? 3.;> :.=; 3.5> :.7;

^kp ;.>= 3.:1 :.?5 3.;> :.=; 3.5> :.7;

Bnt ;.>= 3.:> :.?; 3.;; :.=> 3.5> :.7;

Fbv ;.>= 3.:1 :.?5 3.;; :.=> 3.5> :.7;

Jkn ;.>= 3.>? :.?? 3.;1 :.=5 3.5 :.7=

033?

Haf ;.>= 3.>= ; 3.:? :.=? 3.7? :.7?

Gk` ;.>= 3.>5 ;.31 3.:7 :.?0 3.7: :.5:

Dar ;.>= 3.>0 ;.37 3.>5 ;.31 3.;= :.=

Apr ;.>= 3.>0 ;.37 3.>7 ;.30 3.;5 :.=1

Day ;.>= 3.>0 ;.37 3.>7 ;.30 3.;5 :.=1

Huf ;.>= 3.05 ;.11 3.>: ;.3: 3.;: :.=:Hul ;.>= 3.07 ;.10 3.>: ;.3: 3.;> :.=;

Aue ;.>= 3.07 ;.10 3.>: ;.3: 3.;> :.=;

^kp ;.>= 3.07 ;.10 3.>: ;.3: 3.;> :.=;

Bnt ;.>= 3.0; ;.1> 3.>: ;.3: 3.;> :.=;

Fbv ;.>= 3.0; ;.1> 3.>: ;.3: 3.;> :.=;

Jkn ;.>= 3.0; ;.1> 3.>: ;.3: 3.;> :.=;


21/31

01

0313

Haf ;.>= 3.00 ;.17 3.>1 ;.35 3.;1 :.=5

Gk` ;.>= 3.00 ;.17 3.>1 ;.35 3.;1 :.=5

Dar ;.>= 3.00 ;.17 3.>1 ;.35 3.;1 :.=5

Apr ;.>= 3.00 ;.17 3.>1 ;.35 3.;1 :.=5

Day ;.>= 3.01 ;.15 3.> ;.3= 3.:? :.=?

Huf ;.>= 3.01 ;.15 3.> ;.3= 3.:= :.?

Hul ;.>= 3.0 ;.1= 3.0? ;.3? 3.:5 :.?1

Aue ;.>= 3.0 ;.1= 3.0? ;.3? 3.:5 :.?1

^kp ;.>= 3.0 ;.1= 3.0? ;.3? 3.:5 :.?1

Bnt ;.>= 3.1? ;.1? 3.0= ;.1 3.:; :.?>

Fbv ;.>= 3.1? ;.1? 3.0= ;.1 3.:; :.?>

Jkn ;.>= 3.1? ;.1? 3.0= ;.1 3.:; :.?>

0311

Haf ;.>= 3.1= ;.0 3.07 ;.10 3.:> :.?;

Gk` ;.>= 3.1= ;.0 3.07 ;.10 3.:> :.?;

Dar ;.>= 3.1= ;.0 3.07 ;.10 3.:> :.?;

Apr ;.>= 3.1= ;.0 3.07 ;.10 3.:> :.?;

Day ;.>= 3.1= ;.0 3.07 ;.10 3.:> :.?;

Huf ;.>= 3.1= ;.0 3.07 ;.10 3.:> :.?;

Hul ;.>= 3.1= ;.0 3.07 ;.10 3.:> :.?;

Aue ;.>= 3.15 ;.01 3.0: ;.1: 3.>? :.??

^kp ;.>= 3.17 ;.00 3.0> ;.1; 3.>= ;

Bnt ;.>= 3.1; ;.0> 3.01 ;.15 3.>: ;.3:

Fbv ;.>= 3.1: ;.0: 3.1? ;.1? 3.>0 ;.37

Jkn ;.>= 3.1: ;.0: 3.1? ;.1? 3.>0 ;.37

0310

Haf ;.>= 3.1> ;.0; 3.1? ;.1? 3.0? ;.3?

Gk` ;.>= 3.1> ;.0; 3.1? ;.1? 3.0? ;.3?

Dar ;.>= 3.1> ;.0; 3.1? ;.1? 3.0? ;.3?

Apr ;.>= 3.1> ;.0; 3.1? ;.1? 3.0? ;.3?

Day ;.>= 3.1> ;.0; 3.1? ;.1? 3.0? ;.3?

Huf ;.>= 3.1: ;.0: 3.1? ;.1? 3.> ;.3=

Hul ;.>= 3.1: ;.0: 3.1? ;.1? 3.> ;.3=

Aue ;.>= 3.1: ;.0: 3.0 ;.1= 3.>0 ;.37

^kp ;.>= 3.1: ;.0: 3.0 ;.1= 3.>0 ;.37

Bnt ;.>= 3.1: ;.0: 3.0 ;.1= 3.>0 ;.37

Fbv ;.>= 3.1: ;.0: 3.0 ;.1= 3.>0 ;.37Jkn ;.>= 3.1: ;.0: 3.0 ;.1= 3.>0 ;.37

031>

Haf ;.>= 3.1: ;.0: 3.0 ;.1= 3.>0 ;.37

Gk` ;.>= 3.1: ;.0: 3.0 ;.1= 3.>0 ;.37

Dar ;.>= 3.1: ;.0: 3.0 ;.1= 3.>0 ;.37

Apr ;.>= 3.1: ;.0: 3.0 ;.1= 3.>0 ;.37

Day ;.>= 3.1: ;.0: 3.0 ;.1= 3.>0 ;.37


22/31

00

Huf ;.>= 3.1: ;.0: 3.0 ;.1= 3.>0 ;.37

Hul ;.>= 3.1: ;.0: 3.0 ;.1= 3.>0 ;.37

Aue ;.>= 3.1: ;.0: 3.0 ;.1= 3.>0 ;.37

^kp ;.>= 3.1: ;.0: 3.0 ;.1= 3.>0 ;.37

Bnt ;.>= 3.1: ;.0: 3.0 ;.1= 3.>0 ;.37

Fbv ;.>= 3.1: ;.0: 3.0 ;.1= 3.>0 ;.37

Jkn ;.>= 3.1: ;.0: 3.0 ;.1= 3.>0 ;.37

Avkraek 3.;7 :.=: 3.51 :.7? 3.?0 :.:?

Za`lk 1.1


23/31

0>

Appkfjox 0 „ Ofnbdk wotmbut grontobf nbst

> „ dbftm su` „ pkrobjs ofnbdk ekfkratkj, P^O (1;)

Za`lk

0.1

OJ Jatk Pafek Fkt Srbgots % Eaof Zrajks

1 1/>/0333 - >/>1/0333 $1>.;1 3.1:% 3

0 :/>/0333 - 7/>3/0333 $070.=3 0.7>% 1

> 5/>/0333 - ?/0?/0333 $0>5.=> 0.>=% 1

: 13/0/0333 - 10/0?/0333 $1>.;1 3.1:% 3

; 1/0/0331 - >/>3/0331 $1>.>7 3.1>% 3

7 :/0/0331 - 7/0?/0331 $1>.;1 3.1:% 3

5 5/0/0331 - ?/0=/0331 ($0=1.1:) -0.=1% 1

= 13/1/0331 - 10/>1/0331 ($>:0.;3) ->.:0% 1

? 1/0/0330 - >/0=/0330 ($01.3;) -3.01% 1

13 :/1/0330 - 7/0=/0330 ($?3.;1) -3.?1% 1

11 5/1/0330 - ?/>3/0330 ($?1.7=) -3.?0% 1

10 13/1/0330 - 10/>1/0330 $050.:; 0.50% 1

1> 1/0/033> - >/>1/033> $;0.?: 3.;>% 1

1: :/1/033> - 7/>3/033> $7;.70 3.77% 1

1; 5/1/033> - ?/>3/033> ($11?.03) -1.1?% 1

17 13/1/033> - 10/>1/033> ($;7.05) -3.;7% 115 :/1/033: - 7/>3/033: $=3.30 3.=3% 1

1= 1/0/033: - >/>1/033: ($1.3>) -3.31% 1

1? 5/1/033: - ?/>3/033: $;0.7= 3.;>% 1

03 13/1/033: - 10/>1/033: $1>.?5 3.1:% 3

01 1/>/033; - >/>1/033; $>5.;1 3.>=% 1

00 :/1/033; - 7/>3/033; $1>.=0 3.1:% 3

0> 5/1/033; - ?/>3/033; $5=.1; 3.5=% 1

0: 13/>/033; - 10/>3/033; $1>.;1 3.1:% 3

0; 1/>/0337 - >/>1/0337 ($1>.5?) -3.1:% 1

07 :/>/0337 - 7/>3/0337 $>1?.=> >.03% 1

05 5/>/0337 - ?/0?/0337 $1>.;1 3.1:% 3

0= 13/0/0337 - 10/0?/0337 ($0;7.>5) -0.;7% 1


24/31

0:

7 „

dbftm su` „ pkrobjs ofnbdk ekfkratkj, P^O (1:)


1 1/>/0333 - 7/>3/0333 $0=>.?> 0.=:% 1

0 1/0/0331 - 7/0?/0331 $1:.=3 3.1;% 1

0? 1/>/0335 - >/>3/0335 $03.?7 3.01% 1

>3 :/0/0335 - 7/0?/0335 $1>.;1 3.1:% 3

>1 5/0/0335 - ?/0=/0335 $1>.;1 3.1:% 3

>0 13/1/0335 - 10/>1/0335 $1>.?5 3.1:% 3

>> 1/0/033= - >/>1/033= $1>.77 3.1:% 3

>: :/1/033= - 7/>3/033= $1>.=0 3.1:% 3

>; 5/1/033= - ?/>3/033= $1>.?5 3.1:% 3

>7 13/0/033= - 10/>1/033= ($3.;:) -3.31% 1

>5 1/0/033? - >/>1/033? $171.5? 1.70% 1

>= :/1/033? - 7/>3/033? ($1;7.13) -1.;7% 1

>? 5/1/033? - ?/>3/033? ($:0.70) -3.:>% 1

:3 13/1/033? - 10/>1/033? $1>.?5 3.1:% 3:1 1/:/0313 - >/>1/0313 $1>.03 3.1>% 3

:0 :/1/0313 - 7/>3/0313 $1>.=0 3.1:% 3

:> 5/1/0313 - ?/>3/0313 ($=>.:0) -3.=>% 1

:: 13/1/0313 - 10/>1/0313 $117.;5 1.15% 1

:; 1/>/0311 - >/>1/0311 $1>.>7 3.1>% 3

:7 :/1/0311 - 7/>3/0311 $1>.=0 3.1:% 3

:5 5/1/0311 - ?/>3/0311 $1>.?5 3.1:% 3

:= 13/>/0311 - 10/>3/0311 $030.13 0.30% 1

:? 1/>/0310 - >/>3/0310 $?.3? 3.3?% 1

;3 :/0/0310 - 7/0?/0310 $1>.;1 3.1:% 3

;1 5/0/0310 - ?/0=/0310 $07.=> 3.05% 1

;0 13/1/0310 - 10/>1/0310 $1>.?5 3.1:% 3

;> 1/0/031> - >/0=/031> $1>.3; 3.1>% 3

;: :/1/031> - 7/0=/031> $1??.3; 1.??% 1

;; 5/1/031> - ?/>3/031> $1>.?5 3.1:% 3

;7 13/1/031> - 10/>1/031> $1>.?5 3.1:% 3


25/31

0;

> 1/0/0330 - 7/0=/0330 $0;>.15 0.;>% 0

: 1/0/033> - 7/>3/033> $1>;.;; 1.>7% 0

; 1/0/033: - 7/>3/033: $07=.:? 0.7=% 0

7 1/>/033; - 7/>3/033; ($:1.=:) -3.:0% 1

5 1/>/0337 - 7/>3/0337 $?0.?7 3.?>% 1

= 1/>/0335 - 7/0?/0335 ($0==.:?) -0.==% 1

? 1/0/033= - 7/>3/033= $>;.35 3.>;% 3

13 1/0/033? - 7/>3/033? $:5:.:3 :.5:% 0

11 1/:/0313 - 7/>3/0313 $07=.:7 0.7=% 1

10 1/>/0311 - 7/>3/0311 $>:.7= 3.>;% 3

1> 1/>/0310 - 7/0?/0310 $157.:5 1.57% 1

1: 1/0/031> - 7/0=/031> $105.?: 1.0=% 11; 5/>/0333 - 10/0?/0333 $0;?.?> 0.73% 1

17 5/0/0331 - 10/>1/0331 ($13?.?3) -1.13% 0

15 5/1/0330 - 10/>1/0330 ($=?.;:) -3.?3% 1

1= 5/1/033> - 10/>1/033> ($>>?.?>) ->.:3% 1

1? 7/1/033: - 10/>1/033: ($?;.>:) -3.?;% 1

03 5/1/033; - 10/>3/033; $17:.?= 1.7;% 1

01 5/>/0337 - 10/0?/0337 ($>1?.:=) ->.1?% 1

00 5/0/0335 - 10/>1/0335 $:>3.>1 :.>3% 1

0> 5/1/033= - 10/>1/033= ($>7;.:3) ->.7;% 1

0: 5/1/033? - 10/>1/033? ($0:3.51) -0.:1% 1

0; 5/1/0313 - 10/>1/0313 ($1:=.1:) -1.:=% 1

07 5/1/0311 - 10/>3/0311 $>;.:7 3.>;% 3

05 5/0/0310 - 10/>1/0310 $5:.=1 3.5;% 1

0= 5/1/031> - 10/>1/031> $0>?.7: 0.:3% 1

Za`lk 0.0

10 „ dbftm su` „ pkrobjs ofnbdk ekfkratkj, P^O (=)


1 1/:/0333 - 10/0?/0333 $:55.;> :.5=% 7

0 1/0/0331 - 10/>1/0331 $0?>.;0 0.?:% ;


26/31

07

> 1/>/0330 - 10/>1/0330 $>7:.70 >.7;% 5

: 1/7/033> - 10/>1/033> $::>.=> :.::% =

; 1/5/033: - 10/>1/033: $:5.55 3.:=% 7

7 1/>/033; - 10/>3/033; $0>.?3 3.0:% :

5 1/>/0337 - 10/0?/0337 ($::;.>0) -:.:;% >

= 1/>/0335 - 10/>1/0335 $0.=; 3.3>% >

? 1/5/033= - 10/>1/033= ($0>3.:3) -0.>3% >

13 1/7/033? - 10/>1/033? ($1,15;.=5) -11.57% 0

11 1/7/0313 - 10/>1/0313 ($03?.;=) -0.13% 0

10 1/:/0311 - 10/>3/0311 $77:.00 7.7:% >

1> 1/:/0310 - 10/>1/0310 ($0;.77) -3.07% >

1: 1/>/031> - 10/>1/031> $:=:.?1 :.=;% >

Za`lk 0.>


27/31

05

Appkfjox >8 Ofnbdk wotm grontobf nbst bg 0%

> „ dbftm su` „ pkrobjs ofnbdk ekfkratkj, P^O (0:)


1 1/>/0333 - >/>1/0333 $1>.;1 3.1:% 3

0 :/>/0333 - 7/>3/0333 $1>.;1 3.1:% 3

> 5/>/0333 - ?/0?/0333 $1>.;1 3.1:% 3

: 13/0/0333 - 10/0?/0333 $1>.;1 3.1:% 3

; 1/0/0331 - >/>3/0331 ($=;.13) -3.=;% 1

7 :/0/0331 - 7/0?/0331 $1>.;1 3.1:% 3

5 5/0/0331 - ?/0=/0331 ($10.55) -3.1>% 1

= 13/1/0331 - 10/>1/0331 ($133.:?) -1.33% 1

? 1/0/0330 - >/0=/0330 $1>.3; 3.1>% 3

13 :/1/0330 - 7/0=/0330 ($107.:7) -1.07% 1

11 5/1/0330 - ?/>3/0330 $1>.?5 3.1:% 3

10 13/1/0330 - 10/>1/0330 $1>.?5 3.1:% 3

1> 1/0/033> - >/>1/033> $1>.;1 3.1:% 3

1: :/1/033> - 7/>3/033> ($>5.;3) -3.>5% 1

1; 5/1/033> - ?/>3/033> ($0=0.5?) -0.=>% 1

17 13/1/033> - 10/>1/033> $1>.?5 3.1:% 3

15 1/0/033: - >/>1/033: $1>.77 3.1:% 3

1= :/1/033: - 7/>3/033: $1>.=0 3.1:% 3

1? 5/1/033: - ?/>3/033: ($0:.::) -3.0:% 1

03 13/1/033: - 10/>1/033: $1>.?5 3.1:% 3

01 1/>/033; - >/>1/033; $1>.>7 3.1>% 3

00 :/1/033; - 7/>3/033; $1>.=0 3.1:% 3

0> 5/1/033; - ?/>3/033; ($11.>1) -3.11% 1

0: 13/>/033; - 10/>3/033; $1>.;1 3.1:% 3

0; 1/>/0337 - >/>1/0337 $1>.>7 3.1>% 3

07 :/>/0337 - 7/>3/0337 $1::.;? 1.:;% 1

05 5/>/0337 - ?/0?/0337 $1>.;1 3.1:% 3

0= 13/0/0337 - 10/0?/0337 $1>.;1 3.1:% 3


28/31

0=

0? 1/>/0335 - >/>3/0335 $1>.03 3.1>% 3

>3 :/0/0335 - 7/0?/0335 $1>.;1 3.1:% 3

>1 5/0/0335 - ?/0=/0335 $1>.;1 3.1:% 3

>0 13/1/0335 - 10/>1/0335 $1>.?5 3.1:% 3

>> 1/0/033= - >/>1/033= $1>.77 3.1:% 3

>: :/1/033= - 7/>3/033= $1>.=0 3.1:% 3

>; 5/1/033= - ?/>3/033= $1>.?5 3.1:% 3

>7 13/0/033= - 10/>1/033= $1>.=0 3.1:% 3

>5 1/0/033? - >/>1/033? $1;;.05 1.;;% 1

>= :/1/033? - 7/>3/033? ($1??.>7) -1.??% 1

>? 5/1/033? - ?/>3/033? ($?:.?:) -3.?;% 1

:3 13/1/033? - 10/>1/033? $1>.?5 3.1:% 3:1 1/:/0313 - >/>1/0313 $1>.03 3.1>% 3

:0 :/1/0313 - 7/>3/0313 $1>.=0 3.1:% 3

:> 5/1/0313 - ?/>3/0313 ($03?.:3) -0.3?% 1

:: 13/1/0313 - 10/>1/0313 $1>.?5 3.1:% 3

:; 1/>/0311 - >/>1/0311 $1>.>7 3.1>% 3

:7 :/1/0311 - 7/>3/0311 $1>.=0 3.1:% 3

:5 5/1/0311 - ?/>3/0311 $1>.?5 3.1:% 3

:= 13/>/0311 - 10/>3/0311 $1>.;1 3.1:% 3

:? 1/>/0310 - >/>3/0310 ($5=.0:) -3.5=% 1

;3 :/0/0310 - 7/0?/0310 $1>.;1 3.1:% 3

;1 5/0/0310 - ?/0=/0310 $1>.;1 3.1:% 3

;0 13/1/0310 - 10/>1/0310 $1>.?5 3.1:% 3

;> 1/0/031> - >/0=/031> $1>.3; 3.1>% 3

;: :/1/031> - 7/0=/031> $1>.;1 3.1:% 3

;; 5/1/031> - ?/>3/031> $1>.?5 3.1:% 3

;7 13/1/031> - 10/>1/031> $1>.?5 3.1:% 3

Za`lk >.1


29/31

0?

7 „ dbftm su` „ pkrobjs ofnbdk ekfkratkj, P^O (1=)


1 1/>/0333 - 7/>3/0333 $0:5.1> 0.:5% 1

0 5/>/0333 - 10/0?/0333 $>:.== 3.>;% 3> 1/0/0331 - 7/0?/0331 $0.;3 3.3>% 1

: 5/0/0331 - 10/>1/0331 ($1:;.:0) -1.:;% 0

; 1/0/0330 - 7/0=/0330 $?.01 3.3?% 0

7 5/1/0330 - 10/>1/0330 ($>>.7=) -3.>:% 1

5 1/0/033> - 7/>3/033> $005.=; 0.0=% 0

= 5/1/033> - 10/>1/033> ($:31.7>) -:.30% 1

? 1/0/033: - 7/>3/033: $77.;5 3.75% 1

13 7/1/033: - 10/>1/033: ($150.73) -1.5>% 1

11 1/>/033; - 7/>3/033; ($=?.1:) -3.=?% 1

10 5/1/033; - 10/>3/033; $:.>3 3.3:% 1

1> 1/>/0337 - 7/>3/0337 $>3.7= 3.>1% 1

1: 5/>/0337 - 10/0?/0337 ($>>:.1;) ->.>:% 1

1; 1/>/0335 - 7/0?/0335 $>:.:? 3.>:% 3

17 5/0/0335 - 10/>1/0335 $>>3.>> >.>3% 1

15 1/0/033= - 7/>3/033= $>;.35 3.>;% 3

1= 5/1/033= - 10/>1/033= ($015.00) -0.15% 1

1? 1/0/033? - 7/>3/033? $>=7.?: >.=5% 0

03 5/1/033? - 10/>1/033? ($0?>.1>) -0.?>% 1

01 1/:/0313 - 7/>3/0313 $>:.:? 3.>:% 3

00 5/1/0313 - 10/>1/0313 ($0>7.1=) -0.>7% 1

0> 1/>/0311 - 7/>3/0311 $>:.7= 3.>;% 3

0: 5/1/0311 - 10/>3/0311 $>;.:7 3.>;% 3

0; 1/>/0310 - 7/0?/0310 $13>.70 1.3:% 107 5/0/0310 - 10/>1/0310 ($>:.0>) -3.>:% 1

05 1/0/031> - 7/0=/031> $1>5.>7 1.>5% 1

0= 5/1/031> - 10/>1/031> $>;.77 3.>7% 3

Za`lk >.0


30/31

>3

10 „ dbftm su` „ pkrobjs ofnbdk ekfkratkj, P^O (1=)


1 1/:/0333 - 10/0?/0333 $1=0.0: 1.=0% 1

0 1/0/0331 - 10/>1/0331 ($1;;.?;) -1.;7% 0> 1/>/0330 - 10/>1/0330 ($0?;.?>) -0.?7% 1

: 1/7/033> - 10/>1/033> ($;10.0>) -;.10% 1

; 1/5/033: - 10/>1/033: $11;.:5 1.1;% 0

7 1/>/033; - 10/>3/033; ($1:3.?3) -1.:1% 1

5 1/>/0337 - 10/0?/0337 ($:03.;>) -:.01% 1

= 1/>/0335 - 10/>1/0335 $>==.0= >.==% 1

? 1/5/033= - 10/>1/033= ($170.=1) -1.7>% 1

13 1/7/033? - 10/>1/033? ($>00.70) ->.0>% 0

11 1/7/0313 - 10/>1/0313 $=.:1 3.3=% 1

10 1/:/0311 - 10/>3/0311 $?1.1; 3.?1% 3

1> 1/:/0310 - 10/>1/0310 $103.1: 1.03% 0

1: 1/>/031> - 10/>1/031> $0:?.=3 0.;3% 1

Za`lk >.>


31/31

Pkgkrkfnks

Afbf, DA^. Avaola`lk at8 mttp8//www.das.ebv.se/ YAnnksskj Fbvkd`kr 05, 031:T.

@ulibwsio, 033=. @ulibwsio‟s PÔ. Avaola`lk at8 mttp8//tmkpattkrfsotk.nbd/PÔ.mtdl

YAnnksskj Fbvkd`kr 05, 031:T.

Javoj, D.L., 031:. Zkstofe Joggkrkfnks @ktwkkf Dkafs. Avaola`lk at8

mttp8//bflofkstat`bbi.nbd/0/tkstsRbgRdkafs/joggkrkfnkRdkafs.mtdl YAnnksskj Fbvkd`kr

05, 031:T.

Hbrobf, S., 1??;. Srkjontofe Wblatoloty of tmk Gbrkoef Kxnmafek Darikt. Zmk Hburfal bg

Gofafnk, ;3, pp.;35 „ ;0=. Avaola`lk at8 mttp8//www.hstbr.bre/sta`lk/0>0?:15.

Hbrobf, S., 0335. Waluk at Posi8 Zmk Fkw @kfnmdari gbr Dafaeofe Gofafnoal Posi ,

Avaola`lk at8 mttp8//www.lavbosokr.gr/lovrk/fbtonk.asp2oj4BBLUP0AAAB>BU].

Lofsdkokr, Z.H. & Skarsbf, F.J., 1??7. Posi Dkasurkdkft 8 Af Oftrbjuntobf tb Waluk at

Posi. Ubriofe Sapkr , 71;>, pp.1 „ :;. Avaola`lk at8

mttp8//www.nasant.fkt/kjunatobf/spknskd/??grdet/pkarsbf0.pjg.

Sgafzael, H., 1??7. ^tujoks of tmk mostbry bg prbàòloty afj statostons ]LOW. A gbrkruffkr

bg tmk t-jostroùtobf. @obdktroia, =>(:), pp.=?1 „ =?=.

backtesting rsi trading rules

Documents