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Table 12 Results from SET index (Thailand) with standard parameters compared to optimized parameters

From: Performance of technical trading rules: evidence from Southeast Asian stock markets

 

RSI

STOCH

STOCH-D

MACD

DMI

OBV

Buy and hold (BH)

Long

Short

Long

Short

Long

Short

Long

Short

Long

Short

Long

Short

Standard parameters

 N1

14

14

5

5

5

5

12

12

14

14

3

3

n.a.

 N2

n.a.

n.a.

1

1

1

1

26

26

n.a.

n.a.

n.a.

n.a.

n.a.

 N3

n.a.

n.a.

n.a.

n.a.

3

3

9

9

n.a.

n.a.

n.a.

n.a.

n.a.

 Performance

7.39 %

−82.51 %

2.62 %

−75.04 %

382.46 %

24.76 %

400.75 %

145.93 %

176.71 %

3.57 %

60.57 %

−11.65 %

161.86 %

 Annualized performance

0.53 %

−5.90 %

0.19 %

−5.36 %

27.34 %

1.77 %

28.65 %

10.43 %

12.63 %

0.20 %

10.25 %

−1.97 %

11.57 %

 Highest open drawdown (HOD)

37.84 %

85.32 %

39.03 %

77.11 %

22.64 %

18.83 %

10.44 %

0.74 %

33.67 %

25.11 %

15.98 %

21.09 %

49.71 %

 Buy and hold index

−95.43 %

−150.98 %

−98.38 %

−146.36 %

136.29 %

−84.70 %

147.59 %

−9.84 %

9.17 %

−97.79 %

1.39 %

−119.50 %

0.00 %

 Profit/loss index

7.00 %

−65.54 %

1.00 %

−32.64 %

25.91 %

3.48 %

52.45 %

16.08 %

60.35 %

2.98 %

28.31 %

−7.35 %

100.00 %

 Reward/risk index

16.33 %

−96.71 %

6.29 %

−97.31 %

94.41 %

56.80 %

97.46 %

99.50 %

84.00 %

12.45 %

79.13 %

−55.25 %

76.50 %

 Total trades

16

20

192

192

720

722

130

197

60

62

140

141

n.a.

 Trade efficiency

25.11 %

−5.38 %

14.60 %

−0.78 %

2.32 %

−9.80 %

−1.97 %

−19.81 %

−1.89 %

−14.16 %

−6.52 %

−21.17 %

n.a.

 Avg. profit/avg. loss

0.49

0.34

0.59

0.61

1.47

1.63

2.24

3.00

2.52

1.43

1.97

1.80

n.a.

 Profitable trades

69 %

50 %

63 %

53 %

48 %

39 %

48 %

28 %

50 %

42 %

41 %

34 %

n.a.

Optimal parameters

 N1

12

6

8

5

15

8

10

11

8

5

23

23

n.a.

 N2

n.a.

n.a.

5

2

2

2

30

26

n.a.

n.a.

n.a.

n.a.

n.a.

 N3

n.a.

n.a.

n.a.

n.a.

5

5

5

5

n.a.

n.a.

n.a.

n.a.

n.a.

 Performance

42.33 %

−78.42 %

29.10 %

−74.27 %

638.20 %

81.58 %

630.38 %

423.29 %

287.14 %

51.92 %

113.19 %

14.46 %

161.86 %

 Annualized performance

3.03 %

−5.61 %

2.08 %

−5.31 %

45.62 %

5.83 %

45.06 %

30.26 %

20.53 %

3.71 %

19.16 %

2.45 %

11.57 %

 Highest open drawdown (HOD)

37.84 %

81.99 %

31.58 %

77.47 %

14.45 %

2.20 %

4.11 %

0.00 %

21.53 %

16.44 %

13.79 %

7.32 %

49.71 %

 Buy and hold index

−73.84 %

−148.45 %

−82.02 %

−145.89 %

294.30 %

−49.60 %

289.47 %

161.53 %

77.40 %

−67.92 %

89.47 %

−75.80 %

0.00 %

 Profit/loss index

28.91 %

−45.11 %

13.06 %

−39.53 %

36.28 %

9.94 %

50.83 %

20.95 %

70.64 %

20.04 %

49.76 %

12.94 %

100.00 %

 Reward/risk index

52.80 %

−95.64 %

47.95 %

−95.87 %

97.79 %

97.38 %

99.35 %

100.00 %

93.03 %

75.95 %

89.14 %

66.40 %

76.50 %

 Total trades

22

61

64

142

374

394

164

214

87

139

81

82

n.a.

 Trade efficiency

34.66 %

2.81 %

17.17 %

2.25 %

4.89 %

−11.29 %

2.08 %

−17.10 %

1.53 %

−13.07 %

−9.54 %

−19.29 %

n.a.

 Avg. profit/avg. loss

0.31

0.44

0.69

0.48

1.49

1.68

2.14

2.84

3.18

1.97

4.21

3.13

n.a.

 Profitable trades

82 %

56 %

63 %

56 %

51 %

40 %

49 %

31 %

52 %

39 %

32 %

27 %

n.a.

  1. The data cover from January 2000 to December 2013. Due to a data limitation, results of the OBV trading strategy is based on the sample from February 2008 to December 2013. A performance of the BH strategy over the same period is 59.74 %. A “performance” is a percentage measure of how much profit or loss the trading rule generated based on initial equity. An “annualized performance” calculates a performance over a year. It equals to a performance multiplied by 365 and divided by the number of days in the simulation. “Highest Open Drawdown” (HOD) is the maximum distance the equity line fell below the initial investment. A “buy and hold index” shows the percentage of the trading system’s profits when compared to a buy-and-hold strategy’s profits. A “profit and loss index” compares the amount of “Net Profit” (Trade Profit − Trade Loss) to the amount of winning or losing trades. Profit and Loss Index = 100 × (Net Profit)/[Max(Trade Profit, Trade Loss)]. A “reward and risk index” compares risk to reward. In this case, risk is defined as the “Highest Open Drawdown” (HOD) plus positive net profit, whereas reward is defined as the “Net Profit” (Trade Profit − Trade Loss) from the trading system. Reward and Risk Index = 100×(Net Profit)/[Max(Net Profit,0) + HOD]. A “trade efficiency” for long only strategy is calculated as (Exit price − Entry price)/(Highest price − Lowest price). A “trade efficiency” for short only strategy is calculated as (Entry price − Exit price)/(Highest price − Lowest price). An “average profit/average loss” is a ratio of average profit of profitable trades over average loss of unprofitable trades. MACD’s parameter 1, 2 and 3 are optimized over 10–15, 20–30 and 5–15, respectively. RSI’s parameter 1 is optimized over 5–25. STO’s parameter 1 and 2 are optimized over 5–15 and 1–5, respectively. STOD’s parameter 1, 2 and 3 are optimized over 5–15, 1–5 and 3–5, respectively
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