Table 10 Standard test results from JSX Composite index (Indonesia)
From: Performance of technical trading rules: evidence from Southeast Asian stock markets
Long | Short | Long–short | |
|---|---|---|---|
RSI | |||
Average daily return of a strategy | 0.00 % | 0.07 % | −0.07 % |
SD of daily return of a strategy | 1.32 % | 1.17 % | 1.25 % |
Z statistics | −0.05 | 2.48 | −1.16 |
Breakeven trading cost (round trip) | Unprofitable | Unprofitable | Unprofitable |
Number of signal generated | 15 | 21 | 36 |
STOCH | |||
Average daily return of a strategy | 0.04 % | 0.03 % | 0.01 % |
SD of daily return of a strategy | 1.40 % | 1.13 % | 1.25 % |
Z statistics | 1.05 | 1.32 | 0.09 |
Breakeven trading cost (round trip) | 0.47 % | Unprofitable | Unprofitable |
Number of signal generated | 174 | 175 | 349 |
STOCH-D | |||
Average daily return of a strategy | 0.14 % | -0.08 % | 0.22 % |
SD of daily return of a strategy | 1.17 % | 1.30 % | 1.25 % |
Z statistics | 4.98** | −2.44** | 3.61** |
Breakeven trading cost (round trip) | 0.54 % | 0.28 % | 0.41 % |
Number of signal generated | 689 | 690 | 1379 |
MACD | |||
Average daily return of a strategy | 0.05 % | −0.03 % | 0.08 % |
SD of daily return of a strategy | 1.06 % | 1.51 % | 1.27 % |
Z statistics | 2.17* | −0.65 | 1.25 |
Breakeven trading cost (round trip) | 1.12 % | 0.21 | 0.53 % |
Number of signal generated | 130 | 241 | 371 |
DMI | |||
Average daily return of a strategy | 0.10 % | −0.04 % | 0.14 % |
SD of daily return of a strategy | 1.04 % | 1.66 % | 1.35 % |
Z statistics | 3.14 %** | −0.69 | 1.59 |
Breakeven trading cost (round trip) | 2.69 %a | 0.84 % | 1.79 %a |
Number of signal generated | 60 | 57 | 117 |
OBV | |||
Average daily return of a strategy | 0.07 % | −0.04 % | 0.11 % |
SD of daily return of a strategy | 1.05 % | 1.55 % | 1.25 % |
Z statistics | 3.36** | −0.86 | 1.81* |
Breakeven trading cost (round trip) | 0.76 % | 0.20 % | 0.48 % |
Number of signal generated | 330 | 331 | 661 |