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 | −7.45 % | −94.33 % | 82.14 % | −83.80 % | 1,391.21 % | 62.70 % | 396.61 % | −6.85 % | 378.26 % | 23.21 % | 863.60 % | 15.96 % | 517.05 % |
Annualized performance | −0.53 % | −6.74 % | 5.87 % | −5.99 % | 99.39 % | 4.48 % | 28.33 % | −0.49 % | 27.02 % | 1.66 % | 61.70 % | 1.14 % | 36.94 % |
Highest open drawdown (HOD) | 50.35 % | 95.19 % | 46.08 % | 87.45 % | 16.79 % | 1.64 % | 18.48 % | 20.36 % | 2.05 % | 8.50 % | 19.89 % | 0.00 % | 49.48 % |
Buy and hold index | −101.44 % | −118.24 % | −84.11 % | −116.21 % | 169.07 % | −87.87 % | −23.29 % | −101.32 % | −26.84 % | −95.51 % | 67.02 % | −96.91 % | 0.00 % |
Profit/loss index | −7.49 % | −78.32 % | 27.41 % | −40.08 % | 35.80 % | 6.26 % | 44.32 % | −1.32 % | 72.19 % | 17.75 % | 38.88 % | 4.14 % | 100.00 % |
Reward/risk index | −14.79 % | −99.10 % | 64.06 % | −95.82 % | 98.81 % | 97.45 % | 95.55 % | −33.65 % | 99.46 % | −73.19 % | 97.75 % | 100.00 % | 91.27 % |
Total trades | 15 | 21 | 174 | 175 | 690 | 690 | 130 | 241 | 60 | 57 | 331 | 331 | n.a. |
Trade efficiency | 23.26 % | −20.51 % | 14.88 % | 2.39 % | 6.81 % | −11.59 % | −1.61 % | −22.60 % | 6.18 % | −17.58 % | −1.53 % | −17.92 % | n.a. |
Avg. profit/avg. loss | 0.34 | 0.43 | 0.78 | 0.44 | 1.54 | 1.82 | 2.37 | 3.19 | 3.60 | 1.93 | 2.00 | 2.38 | n.a. |
Profitable trades | 73 % | 33 % | 64 % | 58 % | 50 % | 37 % | 43 % | 24 % | 50 % | 39 % | 45 % | 31 % | n.a. |
Optimal parameters | |||||||||||||
N1 | 23 | 11 | 5 | 5 | 14 | 14 | 10 | 11 | 5 | 5 | 2 | 2 | n.a. |
N2 | n.a. | n.a. | 1 | 1 | 1 | 1 | 29 | 26 | n.a. | n.a. | n.a. | n.a. | n.a. |
N3 | n.a. | n.a. | n.a. | n.a. | 4 | 4 | 5 | 9 | n.a. | n.a. | n.a. | n.a. | n.a. |
Performance | 39.22 % | −92.52 % | 82.14 % | -83.80 % | 2,278.45 % | 125.70 % | 528.91 % | 7.52 % | 443.81 % | 35.77 % | 1688.09 % | 97.13 % | 517.05 % |
Annualized performance | 2.80 % | −6.61 % | 5.87 % | −5.99 % | 162.78 % | 8.98 % | 37.79 % | 0.54 % | 31.71 % | 2.56 % | 120.60 % | 6.94 % | 36.94 % |
Highest open drawdown (HOD) | 40.66 % | 93.98 % | 46.08 % | 87.45 % | 8.13 % | 0.00 % | 13.03 % | 9.15 % | 7.10 % | 8.50 % | 18.44 % | 1.86 % | 49.48 % |
Buy and hold index | −92.41 % | −117.89 % | −84.11 % | −116.21 % | 340.66 % | −75.69 % | 2.29 % | −98.55 % | −14.16 % | −93.08 % | 226.48 % | −81.21 % | 0.00 % |
Profit/loss index | 47.11 % | −71.90 % | 27.41 % | −40.08 % | 45.39 % | 12.03 % | 44.73 % | 1.19 % | 61.07 % | 15.98 % | 36.77 % | 9.44 % | 100.00 % |
Reward/risk index | 49.10 % | −98.44 % | 64.06 % | −95.82 % | 99.64 % | 100.00 % | 97.60 % | 45.10 % | 98.43 % | 80.79 % | 98.92 % | 98.12 % | 91.27 % |
Total trades | 7 | 28 | 174 | 175 | 551 | 551 | 167 | 244 | 135 | 135 | 777 | 777 | n.a. |
Trade efficiency | 31.63 % | −10.77 % | 14.88 % | 2.39 % | 6.99 % | −13.57 % | −2.06 % | −22.78 % | 5.41 % | −17.29 % | 2.93 % | −12.77 % | n.a. |
Avg. profit/avg. loss | 0.76 | 0.37 | 0.78 | 0.44 | 1.72 | 2.01 | 2.22 | 3.32 | 2.32 | 2.46 | 1.84 | 2.03 | n.a. |
Profitable trades | 71 % | 43 % | 64 % | 58 % | 52 % | 36 % | 45 % | 23 % | 53 % | 33 % | 46 % | 35 % | n.a. |