Table 4 Mean excess return obtained by several algorithms on the four data-sets with transaction costs.

Algorithms	NYSE(O)			NYSE(N)			TSE			MSCI
Algorithms	0	0.0025	0.005	0	0.0025	0.005	0	0.0025	0.005	0	0.0025	0.005
BEST	0.0003	0.0003	0.0003	0.0003	0.0003	0.0003	0.0016	0.0016	0.0016	0.0004	0.0004	0.0004
TCO1	0.0056	0.0051	0.0035	0.0024	0.0020	0.0013	0.0047	0.0046	0.0028	0.0024	0.0009	0.0003
TCO2	0.0052	0.0038	0.0020	0.0026	0.0017	0.0010	0.0048	0.0050	0.0034	0.0019	0.0007	0.0001
TCO-RMR	0.0053	0.0052	0.0052	0.0027	0.0027	0.0026	0.0048	0.0048	0.0048	0.0019	0.0018	0.0017
TCO-GLR	0.0054	0.0053	0.0052	0.0026	0.0026	0.0025	0.0049	0.0049	0.0049	0.0012	0.0011	0.0010
DENRPO1-PARM	0.0065	0.0069	0.0038	0.0022	0.0023	0.0014	0.0068	0.0060	0.0039	0.0026	0.0017	0.0005
DENRPO1-OLMAR	0.0069	0.0052	0.0024	0.0031	0.0021	0.0015	0.0059	0.0040	0.0027	0.0029	0.0012	0.0001
DENRPO1-RMR	0.0072	0.0053	0.0028	0.0033	0.0028	0.0016	0.0058	0.0047	0.0043	0.0030	0.0012	0.0003
DENRPO1-GLR	0.0076	0.0064	0.0033	0.0035	0.0027	0.0014	0.0056	0.0052	0.0049	0.0024	0.0008	0.0000
DENRPO2-PARM	0.0065	0.0069	0.0038	0.0022	0.0023	0.0014	0.0068	0.0060	0.0039	0.0025	0.0017	0.0004
DENRPO2-OLMAR	0.0069	0.0052	0.0024	0.0031	0.0021	0.0015	0.0059	0.0040	0.0027	0.0029	0.0012	0.0001
DENRPO2-RMR	0.0072	0.0053	0.0028	0.0033	0.0028	0.0016	0.0058	0.0047	0.0043	0.0030	0.0012	0.0003
DENRPO2-GLR	0.0076	0.0064	0.0033	0.0035	0.0027	0.0014	0.0056	0.0052	0.0049	0.0024	0.0008	0.0000

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