Sharpe ratio and buy-and-hold break-even transaction costs of the best single agent minority and majority model, and the two-agents model, during the dotcom bubble and financial crisis (F.C.).

‘Buy-and-hold break-even transaction costs’ is the fee level per one-way transaction (counted in bps, which stands for ‘basis points’, i.e. 0.01%) that would reduce the performance to that of the buy-and-hold strategy. The cumulative returns over time of the individual models are shown in Figs 5 and 6. The two-agents models outperform the single agent models in annualised Sharpe ratio above the 95% confidence level.