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 | 20.27 % | −64.99 % | 37.48 % | −39.33 % | 319.44 % | 84.58 % | 202.27 % | 223.29 % | 112.62 % | −8.89 % | 111.97 % | 49.56 % | 125.53 % |
Annualized performance | 1.45 % | −4.64 % | 2.68 % | −2.81 % | 22.81 % | 6.04 % | 14.44 % | 15.95 % | 8.04 % | −0.63 % | 18.95 % | 8.39 % | 8.96 % |
Highest open drawdown (HOD) | 25.24 % | 66.38 % | 27.70 % | 41.30 % | 7.55 % | 4.70 % | 12.39 % | 0.00 % | 9.43 % | 8.96 % | 5.89 % | 0.00 % | 31.81 % |
Buy and hold index | −83.85 % | −151.77 % | −70.14 % | −131.33 % | 154.47 % | −32.62 % | 61.13 % | 77.88 % | −10.28 % | −107.08 | 246.23 % | 53.25 % | 0.00 % |
Profit/loss index | 24.19 % | −54.17 % | 18.54 % | −23.11 % | 34.82 % | 14.14 % | 58.04 % | 25.13 % | 62.19 % | −9.19 % | 66.69 % | 43.23 % | 100.00 % |
Reward/risk index | 44.53 % | −97.90 % | 57.51 % | −95.23 % | 97.69 % | 94.74 % | 94.23 % | 100.00 % | 92.27 % | −99.22 % | 95.00 % | 100.00 % | 79.78 % |
Total trades | 22 | 26 | 179 | 179 | 718 | 718 | 109 | 204 | 74 | 75 | 122 | 122 | n.a. |
Trade efficiency | 35.63 % | 0.32 % | 17.39 % | 2.05 % | 1.24 % | −8.08 % | 7.33 % | −19.25 % | −2.86 % | −23.24 % | 4.52 % | −6.35 % | n.a. |
Avg. profit/avg. loss | 0.29 | 0.46 | 0.67 | 0.64 | 1.89 | 1.71 | 1.68 | 4.72 | 2.79 | 1.93 | 3.21 | 2.54 | n.a. |
Profitable trades | 82 % | 50 % | 65 % | 55 % | 45 % | 41 % | 59 % | 22 % | 49 % | 32 % | 48 % | 41 % | n.a. |
Optimal parameters | |||||||||||||
N1 | 25 | 25 | 7 | 5 | 12 | 12 | 10 | 10 | 5 | 5 | 9 | 8 | n.a. |
N2 | n.a. | n.a. | 2 | 1 | 1 | 1 | 20 | 20 | n.a. | n.a. | n.a. | n.a. | n.a. |
N3 | n.a. | n.a. | n.a. | n.a. | 3 | 3 | 5 | 5 | n.a. | n.a. | n.a. | n.a. | n.a. |
Performance | 52.87 % | −44.53 % | 41.64 % | −39.33 % | 634.26 % | 226.86 % | 372.74 % | 563.07 % | 148.18 % | 16.56 % | 118.20 % | 55.93 % | 125.53 % |
Annualized performance | 3.78 % | −3.18 % | 2.97 % | −2.81 % | 45.30 % | 16.20 % | 26.62 % | 40.21 % | 10.58 % | 1.18 % | 20.00 % | 9.46 % | 8.96 % |
Highest open drawdown (HOD) | 24.21 % | 51.08 % | 24.32 % | 41.30 % | 0.26 % | 1.58 % | 4.22 % | 0.33 % | 3.66 % | 4.53 % | 3.43 % | 0.00 % | 31.81 % |
Buy and hold index | −57.88 % | −135.47 % | −66.83 % | −131.33 % | 405.27 % | 80.72 % | 196.93 % | 348.55 % | 18.04 % | −86.81 % | 265.49 % | 72.94 % | 0.00 % |
Profit/loss index | 58.13 % | −49.88 % | 23.83 % | −23.11 % | 43.49 % | 23.95 % | 60.92 % | 33.86 % | 58.66 % | 10.65 % | 65.96 % | 42.07 % | 100.00 % |
Reward/RISK index | 68.59 % | −87.18 % | 63.12 % | −95.23 % | 99.96 % | 99.31 % | 98.88 % | 99.94 % | 97.59 % | 78.54 % | 97.18 % | 100.00 % | 79.78 % |
Total trades | 9 | 10 | 109 | 179 | 641 | 641 | 165 | 228 | 156 | 149 | 127 | 139 | n.a. |
Trade efficiency | 44.29 % | −3.79 % | 18.47 % | 2.05 % | 3.33 % | −7.82 % | 6.80 % | −12.98 % | 0.63 % | −18.02 % | 4.18 % | −5.98 % | n.a. |
Avg. profit/avg. loss | 1.19 | 0.50 | 0.70 | 0.64 | 1.91 | 1.90 | 2.24 | 3.41 | 2.75 | 2.43 | 3.18 | 2.34 | n.a. |
Profitable trades | 67 % | 50 % | 65 % | 55 % | 48 % | 41 % | 53 % | 31 % | 47 % | 32 % | 48 % | 42 % | n.a. |