From: Cost-benefit analysis of trading strategies in the stock index futures market
Types | Source of variation | Sum of squares of deviations | Degree of freedom | Mean square error | F value | P value |
---|---|---|---|---|---|---|
ANOVA of wealth growth rates | ||||||
 Informed trader-Technical trader | Difference between groups | 2.89E-09 | 1 | 2.89E-09 | 3.21 | 0.081* |
Difference in the group | 3.60E-08 | 40 | 8.99E-10 | |||
Total square deviation | 3.88E-08 | 41 | ||||
 Technical trader-Noise trader | Difference between groups | 3.72E-09 | 1 | 3.72E-09 | 2.74 | 0.106 |
Difference in the group | 5.43E-08 | 40 | 1.36E-09 | |||
Total square deviation | 5.80E-08 | 41 | ||||
 Noise trader-Arbitrage trader | Difference between groups | 2.80E-09 | 1 | 2.80E-09 | 3.25 | 0.079* |
Difference in the group | 3.45E-08 | 40 | 8.62E-10 | |||
Total square deviation | 3.73E-08 | 41 | ||||
 Between the four types of trading strategies | Difference between groups | 1.32E-08 | 3 | 4.41E-09 | 5.01 | 0.003*** |
Difference in the group | 7.04E-08 | 80 | 8.80E-10 | |||
Total square deviation | 8.37E-08 | 83 | ||||
ANOVA of wealth growth rate volatility | ||||||
 Informed trader-Technical trader | Difference between groups | 1.13E-05 | 1 | 1.13E-05 | 56.69 | 3.47E-09*** |
Difference in the group | 7.95E-06 | 40 | 1.99E-07 | |||
Total square deviation | 1.92E-05 | 41 | ||||
 Technical trader-Noise trader | Difference between groups | 1.43E-05 | 1 | 1.43E-05 | 83.24 | 2.54E-11*** |
Difference in the group | 6.88E-06 | 40 | 1.72E-07 | |||
Total square deviation | 2.12E-05 | 41 | ||||
 Noise trader-Arbitrage trader | Difference between groups | 4.66E-07 | 1 | 4.66E-07 | 14.43 | 5.00E-04*** |
Difference in the group | 1.29E-06 | 40 | 3.22E-08 | |||
Total square deviation | 1.76E-06 | 41 | ||||
 Between the four types of trading strategies | Difference between groups | 1.80E-05 | 3 | 5.99E-06 | 51.85 | 0.0000*** |
Difference in the group | 9.24E-06 | 80 | 1.15E-07 | |||
Total square deviation | 2.72E-05 | 83 |