For each of the 10 trading strategies, Article Figure 2 presents the mean quarterly net returns, the standard
deviation of these returns, the results of the t-test, the autocorrelation coefficient (the column titled Auto
contains the estimated values of the correlation coefficient between adjacent returns), and the value of the
Shapiro-Wilkes statistic (the column titled S-W). The Shapiro-Wilkes test statistic is bounded between 0
and 1, with small values cause for rejection of the null hypothesis; the distribution of the Shapiro-Wilkes
test statistic is right-skewed and, thus, even relatively large values can lead to rejection. The seven
trading strategies in Article Figure 2 that are marked with a single asterisk are characterized by statistical
significance at the 5% level.