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 | −28.57 % | −68.15 % | −55.39 % | −75.65 % | −12.73 % | −52.14 % | 53.52 % | −56.22 % | 40.07 % | −30.59 % | 113.21 % | 19.96 % | 26.57 % |
Annualized performance | −2.04 % | −4.87 % | −3.96 % | −5.40 % | −0.91 % | −3.72 % | 3.82 % | −4.02 % | 2.86 % | −2.18 % | 8.08 % | 1.43 % | 1.90 % |
Highest open drawdown (HOD) | 60.14 % | 71.24 % | 63.53 % | 77.50 % | 37.12 % | 53.14 % | 24.65 % | 71.01 % | 11.42 % | 37.18 % | 22.44 % | 22.52 % | 49.13 % |
Buy and hold index | −207.53 % | −356.49 % | −308.47 % | −384.72 % | −147.91 % | −296.24 % | 101.43 % | −311.59 % | 50.81 % | −215.13 % | 326.08 % | −24.88 % | 0.00 % |
Profit/loss index | −40.84 % | −75.35 % | −30.67 % | −42.25 % | −2.85 % | −12.41 % | 23.70 % | −21.13 % | 39.33 % | −36.02 % | 26.17 % | 6.61 % | 100.00 % |
Reward/risk index | −47.51 % | −95.67 % | −87.19 % | −97.61 % | −34.29 % | −98.12 % | 68.47 % | −79.17 % | 77.82 % | −82.26 % | 83.45 % | 46.98 % | 35.10 % |
Total trades | 13 | 14 | 204 | 203 | 784 | 785 | 141 | 248 | 58 | 57 | 361 | 361 | n.a. |
Trade efficiency | 19.36 % | −3.54 % | 5.35 % | −5.20 % | −3.94 % | −11.71 % | −8.81 % | −26.96 % | −7.70 % | −27.32 % | −6.10 % | −13.95 % | n.a. |
Avg. PROFIT/Avg. loss | 0.51 | 0.33 | 0.57 | 0.64 | 1.15 | 1.32 | 1.82 | 2.83 | 2.18 | 1.97 | 1.91 | 2.00 | n.a. |
Profitable trades | 54 % | 43 % | 55 % | 47 % | 46 % | 40 % | 42 % | 22 % | 43 % | 25 % | 42 % | 35 % | n.a. |
Optimal parameters | |||||||||||||
N1 | 8 | 8 | 7 | 7 | 7 | 7 | 15 | 15 | 10 | 10 | 6 | 6 | n.a. |
N2 | n.a. | n.a. | 2 | 2 | 5 | 5 | 30 | 30 | n.a. | n.a. | n.a. | n.a. | n.a. |
N3 | n.a. | n.a. | n.a. | n.a. | 5 | 5 | 15 | 15 | n.a. | n.a. | n.a. | n.a. | n.a. |
Performance | 36.43 % | −40.90 % | 55.12 % | −13.44 % | 153.52 % | 35.13 % | 95.91 % | −18.82 % | 62.12 % | −18.47 % | 130.51 % | 29.03 % | 26.57 % |
Annualized performance | 2.60 % | −2.92 % | 3.94 % | −0.96 % | 10.96 % | 2.51 % | 6.85 % | −1.34 % | 4.44 % | −1.32 % | 9.32 % | 2.07 % | 1.90 % |
Highest open drawdown (HOD) | 22.31 % | 57.36 % | 28.31 % | 31.72 % | 16.02 % | 1.60 % | 20.33 % | 62.64 % | 12.99 % | 29.13 % | 27.02 % | 16.00 % | 49.13 % |
Buy and hold index | 37.11 % | −253.93 % | 107.45 % | −150.58 % | 477.79 % | 32.22 % | 260.97 % | −170.83 % | 133.80 % | −169.51 % | 391.19 % | 9.26 % | 0.00 % |
Profit/loss index | 26.07 % | −21.20 % | 21.27 % | −6.64 % | 26.23 % | 8.72 % | 37.75 % | −6.81 % | 47.79 % | −22.42 % | 24.57 % | 7.17 % | 100.00 % |
Reward/risk index | 62.02 % | −71.31 % | 66.07 % | −42.37 % | 90.55 % | 95.63 % | 82.51 % | −30.04 % | 82.71 % | −63.38 % | 82.85 % | 64.48 % | 35.10 % |
Total trades | 40 | 41 | 130 | 129 | 282 | 281 | 104 | 204 | 70 | 66 | 485 | 484 | n.a. |
Trade efficiency | 27.40 % | 11.22 % | 12.00 % | 4.88 % | 0.15 % | −7.46 % | −3.63 % | −25.52 % | −3.84 % | −24.28 % | −5.62 % | −14.51 % | n.a. |
Avg. profit/avg. loss | 0.45 | 0.56 | 0.85 | 0.67 | 1.36 | 1.29 | 2.03 | 3.70 | 2.15 | 2.24 | 1.71 | 2.08 | n.a. |
Profitable trades | 75 % | 59 % | 60 % | 58 % | 50 % | 46 % | 44 % | 20 % | 47 % | 26 % | 44 % | 34 % | n.a. |