Table III. Difference in yearly loss...

Table III.

Difference in yearly loss between TC including entry and exit costs and TC excluding entry and exit costs, for each portfolio, under an EW strategy, over a five-year period, and for the PBC portfolio

	Amount	Difference in yearly loss TC per share	Difference in yearly loss TC per percentage	Difference in yearly loss TC per trade
PBC	30,000	0.27	0.54	0.08
	100,000	0.27	0.33	0.02
	300,000	0.27	0.31	0.01
	1,000,000	0.27	0.31	0.00
	3,000,000	0.27	0.31	0.00
	10,000,000	0.27	0.31	0.00
PPS	30,000	0.78	1.07	0.14
	100,000	0.77	0.38	0.04
	300,000	0.77	0.34	0.01
	1,000,000	0.77	0.33	0.00
	3,000,000	0.77	0.33	0.00
	10,000,000	0.77	0.33	0.00
ABE	30,000	0.02	0.74	0.11
	100,000	0.02	0.36	0.03
	300,000	0.02	0.33	0.01
	1,000,000	0.02	0.32	0.00
	3,000,000	0.02	0.32	0.00
	10,000,000	0.02	0.32	0.00
APE	30,000	0.28	0.44	0.05
	100,000	0.28	0.32	0.02
	300,000	0.28	0.31	0.01
	1,000,000	0.28	0.31	0.00
	3,000,000	0.28	0.31	0.00
	10,000,000	0.28	0.31	0.00

	Amount	Difference in yearly loss TC per share	Difference in yearly loss TC per percentage	Difference in yearly loss TC per trade
PBC	30,000	0.27	0.54	0.08
	100,000	0.27	0.33	0.02
	300,000	0.27	0.31	0.01
	1,000,000	0.27	0.31	0.00
	3,000,000	0.27	0.31	0.00
	10,000,000	0.27	0.31	0.00
PPS	30,000	0.78	1.07	0.14
	100,000	0.77	0.38	0.04
	300,000	0.77	0.34	0.01
	1,000,000	0.77	0.33	0.00
	3,000,000	0.77	0.33	0.00
	10,000,000	0.77	0.33	0.00
ABE	30,000	0.02	0.74	0.11
	100,000	0.02	0.36	0.03
	300,000	0.02	0.33	0.01
	1,000,000	0.02	0.32	0.00
	3,000,000	0.02	0.32	0.00
	10,000,000	0.02	0.32	0.00
APE	30,000	0.28	0.44	0.05
	100,000	0.28	0.32	0.02
	300,000	0.28	0.31	0.01
	1,000,000	0.28	0.31	0.00
	3,000,000	0.28	0.31	0.00
	10,000,000	0.28	0.31	0.00

Source: The authors’ elaboration

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