A Novel Online Portfolio Selection Strategy with Multiperiodical Asymmetric Mean Reversion

Table 2

Summary of the six datasets from real markets.

Dataset	Market	Region	Time frame	No. of periods	No. of assets
NYSE(O)	Stock	US	1962.7.3–1984.12.31	5651	36
NYSE(N)	Stock	US	1985.1.1–2010.6.30	6431	23
SP500	Stock	US	1998.1.2–2003.1.31	1276	25
DJIA	Stock	US	2001.1.14–2003.1.14	507	30
TSE	Stock	Canada	1994.1.4–1998.12.31	1259	88
MSCI	Index	Global	2006.4.1–2010.5.31	1043	24