An Intelligent Model for Pairs Trading Using Genetic Algorithms

Table 2

Comparisons of the annualized returns of the GA-based model and the benchmark for the 10 semiconductor stocks from years 2003 to 2012.

TV	Training period	Annualized benchmark return	Mean of annualized model return	Standard deviation	Testing period	Annualized benchmark return	Mean of annualized model return	Standard deviation
1	2003Q1	−27.23%	157.55%	0.0494	2003Q2–2012Q4	3.60%	0.01%	0.5125
2	2003Q1–2003Q2	36.06%	137.35%	0.1117	2003Q3–2012Q4	0.80%	−4.42%	0.5494
3	2003Q1–2003Q3	39.79%	119.60%	0.1119	2003Q4–2012Q4	0.21%	3.49%	0.5392
4	2003Q1–2003Q4	20.67%	85.98%	0.1498	2004Q1–2012Q4	0.59%	2.05%	0.4707
5	2003Q1–2004Q1	24.25%	72.06%	0.1553	2004Q2–2012Q4	−0.19%	2.55%	0.4833
6	2003Q1–2004Q2	5.26%	59.23%	0.1626	2004Q3–2012Q4	2.22%	5.14%	0.7364
7	2003Q1–2004Q3	−2.64%	55.70%	0.3206	2004Q4–2012Q4	3.80%	4.49%	0.6824
8	2003Q1–2004Q4	−1.33%	53.64%	0.3889	2005Q1–2012Q4	3.83%	5.17%	0.8286
9	2003Q1–2005Q1	0.03%	45.19%	0.3904	2005Q2–2012Q4	3.20%	2.58%	0.6446
10	2003Q1–2005Q2	4.49%	42.85%	0.4555	2005Q3–2012Q4	1.88%	3.24%	0.6986
11	2003Q1–2005Q3	5.36%	42.02%	0.4171	2005Q4–2012Q4	1.48%	1.58%	0.4788
12	2003Q1–2005Q4	11.17%	34.85%	0.3509	2006Q1–2012Q4	−0.77%	4.70%	0.5345
13	2003Q1–2006Q1	9.63%	34.61%	0.2917	2006Q2–2012Q4	−0.57%	5.29%	0.5652
14	2003Q1–2006Q2	6.65%	32.14%	0.2780	2006Q3–2012Q4	0.71%	5.92%	0.5332
15	2003Q1–2006Q3	7.54%	31.70%	0.3518	2006Q4–2012Q4	−0.22%	4.58%	0.4451
16	2003Q1–2006Q4	9.38%	30.56%	0.3527	2007Q1–2012Q4	−2.03%	4.16%	0.3340
17	2003Q1–2007Q1	11.74%	30.21%	0.4362	2007Q2–2012Q4	−3.41%	5.25%	0.3628
18	2003Q1–2007Q2	15.86%	27.98%	0.5660	2007Q3–2012Q4	−7.02%	8.11%	0.6571
19	2003Q1–2007Q3	16.65%	31.03%	0.7558	2007Q4–2012Q4	−8.30%	7.48%	0.4423
20	2003Q1–2007Q4	10.80%	32.33%	0.7995	2008Q1–2012Q4	−4.31%	7.86%	0.5680
21	2003Q1–2008Q1	7.98%	31.33%	1.0381	2008Q2–2012Q4	−2.88%	8.24%	0.3712
22	2003Q1–2008Q2	5.50%	35.78%	1.4992	2008Q3–2012Q4	−0.23%	7.87%	0.3083
23	2003Q1–2008Q3	2.35%	34.33%	1.9692	2008Q4–2012Q4	3.05%	6.84%	0.2409
24	2003Q1–2008Q4	−2.29%	34.66%	1.9921	2009Q1–2012Q4	9.29%	8.63%	0.2430
25	2003Q1–2009Q1	1.88%	31.07%	1.7270	2009Q2–2012Q4	3.90%	9.78%	0.2099
26	2003Q1–2009Q2	4.43%	29.88%	1.6957	2009Q3–2012Q4	−0.90%	10.43%	0.2683
27	2003Q1–2009Q3	8.62%	31.06%	2.1604	2009Q4–2012Q4	−8.58%	8.68%	0.2157
28	2003Q1–2009Q4	9.09%	31.06%	2.3144	2010Q1–2012Q4	−11.09%	6.66%	0.1684
29	2003Q1–2010Q1	8.39%	31.53%	2.3984	2010Q2–2012Q4	−11.47%	5.74%	0.2323
30	2003Q1–2010Q2	5.83%	30.06%	2.5543	2010Q3–2012Q4	−5.19%	5.89%	0.1809
31	2003Q1–2010Q3	5.83%	27.71%	2.2193	2010Q4–2012Q4	−7.93%	6.05%	0.1847
32	2003Q1–2010Q4	5.80%	27.26%	2.7974	2011Q1–2012Q4	−8.53%	5.48%	0.1443
33	2003Q1–2011Q1	3.86%	29.38%	2.8889	2011Q2–2012Q4	−3.09%	1.32%	0.1056
34	2003Q1–2011Q2	3.11%	28.69%	3.3213	2011Q3–2012Q4	0.29%	0.20%	0.1043
35	2003Q1–2011Q3	1.82%	27.14%	2.7034	2011Q4–2012Q4	11.66%	5.24%	0.0842
36	2003Q1–2011Q4	1.22%	27.73%	3.7890	2003Q1–2012Q4	18.89%	11.33%	0.0745
37	2003Q1–2012Q1	2.03%	25.98%	3.3508	2003Q1–2012Q4	13.27%	12.24%	0.0604
38	2003Q1–2012Q2	1.58%	25.08%	3.2671	2003Q1–2012Q4	26.57%	11.28%	0.0582
39	2003Q1–2012Q3	2.50%	25.38%	3.6955	2012Q4	10.91%	12.68%	0.0414