A Novel Online Portfolio Selection Strategy with Multiperiodical Asymmetric Mean Reversion

Table 3

Cumulative wealth achieved by various strategies on the six datasets.

Strategy	Cumulative wealth
	NYSE(O)	NYSE(N)	SP500	DJIA	TSE	MSCI
Market	14.50	18.06	1.34	0.76	1.61	0.91
Best-Stock	54.14	83.51	3.78	1.19	6.28	1.50
BCRP	250.60	120.32	4.07	1.24	6.78	1.51
UP	26.68	31.49	1.62	0.81	1.60	0.92
EG	27.09	31.00	1.63	0.81	1.59	0.93
Anticor	2.41E + 08	6.21E + 06	5.89	2.29	39.36	3.22
PAMR	5.14E + 15	1.25E + 06	5.09	0.68	264.86	15.23
PACS	3.29E + 15	1.01E + 06	5.96	0.56	246.44	13.64
OLMAR	7.21E + 16	4.14E + 08	15.94	2.54	58.51	14.94
WMAAMR	6.25E + 16	4.35E + 08	16.31	2.25	53.26	12.47
MAMR	1.75E + 16	4.45E + 08	16.93	2.55	412.65	16.49
Max (MAMR)	1.86E + 17	4.75E + 08	30.80	3.01	1.28E + 03	25.63