Strategy

No transaction costs

Transaction costs of 0.1%

Transaction costs of 0.5%

Buy and hold

3.7%

ARMA

3.9%/84.8%

4%/85.5%

3.8%/86.4%

GARCH

4.8%/94%

4.7%/93.9%

4%/92.9%

ARX

5.9%/99%

5.7%/98.8%

5.2%/98.2%

ARMA (short)

4.2%/59.2%

4.5%/63.9%

6.1%/86.3%

GARCH (short)

5.9%/85.1%

6.1%/88%

8.2%/98.3%

ARX (short)

8.1%/98.4%

7.8%/97.8%

8.9%/99.4%