Quintiles

Trading#

MA’s Average

HP (days)

MA’s Min

HP (days)

MA’s Max

HP (days)

BHR (%)

MA20 (%)

MAP (%)

MAP’s

Sharpe Ratio

Low

268

12.7

1

113

2.83

17.25

14.42

1.01

(0.77)

(7.63)***

(4.95)***

Q2

273

12.9

1

82

8.40

18.62

10.22

0.62

(1.92)*

(6.75)***

(3.03)***

Q3

278

12.7

1

82

8.10

18.76

10.66

0.62

(1.79)*

(6.56)***

(3.05)***

Q4

293

11.8

1

92

9.29

16.52

7.24

0.43

(2.09)**

(5.89)***

(2.10)**

High

309

10.7

1

67

8.81

13.61

4.80

0.58

(1.82)*

(4.45)***

(1.28)

Low-High

−41

2

0

46

−5.98

3.64

9.62

0.43

(−1.80)*

(1.90)*

(3.47)***