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, investigate GP performance for the S&P 500, the S&P 500 Auto, and the S&P 500 Bank indices and report a GP underperformance for the S&P 500 index and the S&P 500 Bank index. The GP on the S&P 500 Auto index outperformed BH on a risk-adjusted basis

T. On-?-{ma, . Rb, and . Gp, T , ? data points used n, with n ? T , ? moving average MA(n) t on day t, calculated for n ? {L, S} data points, and L (S) long (short) MA with S < L, ? percentage band b ? [0.00, ?], 3 ? global minimum of prices m, ? global maximum of prices M, ? local minimum of prices q min (n) t on day t calculated for n data points, ? local maximum of prices q max (n) t on day t calculated for n data points, ON obtains price quotations q t ? [m, M] (0 < m ? M) at points of time t = 1

, There is an initial amount of cash meeting the demands to execute the algorithms in a profitable way

, All algorithms convert non-preemptive, i.e. either the whole amount available is converted in one transaction, or nothing is converted, other words 'all or nothing' is

O. The-algorithms, V. Ma, T. Fma, . Rb, and . Gp, , p.possible

, 1736 and p. 1740] we assume holding periods. One holding period ranges from a buying signal to a selling signal, further buying signals during a holding period must be ignored by all algorithms

, Weekends and country-specific holidays are excluded from the 6-year time interval considered

, Possible transaction prices are daily closing prices

, Each i-th trade (buying and selling) costs 50 basis points, i.e. 25 points equaling 0.25% for each buying (selling) transaction

, The empirical-case performance, measured by the annualized return R(y), 2. the empirical-case competitive ratio c ec , 3. the worst-case risk, measured by the competitive ratios c wc , 4. the empirical-case risk

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