Strategy

No transaction costs

Transaction costs of 0.1%

Transaction costs of 0.5%

Buy and hold

3%

GARCH

4.5%/87.7%

4.8%/91.2%

4.9%/94.5%

ARMAX

5.7%/98%

5.8%/98.5%

5.1%/96.9%

ARX

5.9%/98.2%

5.8%/98.1%

5.9%/98.6%

ARMA

3.6%/66.5%

3.6%/66%

3.5%/64.4%

GARCH (short)

6.1%/95.2%

6.5%/96.3%

9.9%/99.9%

ARMAX (short)

8.4%/99.8%

8.5%/99.8%

10.3%/100%

ARX (short)

8.7%/99.9%

9.1%/99.9%

9.6%/100%

ARMA (short)

4.2%/74%

4.2%/74%

4.2%/72.6%