5. Use the spreadsheet developed for the SRY model to answer the following questions:

a. Vary the size of the difference, in standard deviation units, required before trading to see its influence on back-test results. Back Test Band Measurement Period Band Width in Std. Dev. Active Annualized Return Standard Deviation Sharpe Ratio Annual Turnover 1 3 years 1.0 1.1% 8.4% 1.32 96% 2 3 years 1.5 3 3 years 2.0

b. Complete the above table.

c. Which parameter levels offer the most promising results?