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 | −40.04 % | −91.59 % | 147.58 % | −37.66 % | 1176.80 % | 213.29 % | 397.85 % | 457.66 % | 87.21 % | −17.88 % | 27.02 % | −1.74 % | 175.49 % |
Annualized performance | −2.86 % | −6.55 % | 10.55 % | −2.69 % | 84.11 % | 15.24 % | 28.43 % | 32.71 % | 6.23 % | −1.28 % | 13.60 % | −0.88 % | 12.54 % |
Highest open drawdown (HOD) | 65.39 % | 92.95 % | 54.97 % | 50.51 % | 28.75 % | 3.84 % | 3.20 % | 1.45 % | 23.61 % | 25.83 % | 2.64 % | 17.80 % | 52.70 % |
Buy and hold index | −122.82 % | −152.19 % | −15.90 % | −121.46 % | 570.58 % | 21.54 % | 126.71 % | 160.79 % | −50.30 % | −110.19 % | −13.17 % | −105.59 % | 0.00 % |
Profit/loss index | −51.85 % | −94.43 % | 37.61 % | −15.00 % | 45.83 % | 19.44 % | 55.91 % | 25.81 % | 49.28 % | −14.96 % | 39.52 % | −5.31 % | 100.00 % |
Reward/risk index | −61.23 % | −98.53 % | 72.86 % | −74.56 % | 97.62 % | 98.23 % | 99.20 % | 99.68 % | 78.64 % | −69.21 % | 91.11 % | −9.77 % | 76.91 % |
Total trades | 13 | 16 | 205 | 206 | 676 | 677 | 118 | 183 | 71 | 70 | 56 | 55 | n.a. |
Trade efficiency | 2.93 % | −31.56 % | 17.17 % | 4.68 % | 2.35 % | −5.49 % | 0.39 % | −14.95 % | −11.26 % | −18.97 % | 1.26 % | −18.37 % | n.a. |
Avg. profit/avg. loss | 0.41 | 0.12 | 0.83 | 0.66 | 1.98 | 1.72 | 2.51 | 3.79 | 2.86 | 1.53 | 2.05 | 2.12 | n.a. |
Profitable trades | 54 % | 31 % | 66 % | 56 % | 48 % | 42 % | 47 % | 26 % | 41 % | 36 % | 45 % | 31 % | n.a. |
Optimal parameters | |||||||||||||
N1 | 6 | 5 | 6 | 6 | 15 | 15 | 13 | 14 | 10 | 10 | 3 | 3 | n.a. |
N2 | n.a. | n.a. | 1 | 1 | 1 | 1 | 28 | 24 | n.a. | n.a. | n.a. | n.a. | n.a. |
N3 | n.a. | n.a. | n.a. | n.a. | 4 | 4 | 9 | 8 | n.a. | n.a. | n.a. | n.a. | n.a. |
Performance | 16.37 % | −75.81 % | 168.13 % | −34.01 % | 2,070.96 % | 431.77 % | 491.93 % | 533.57 % | 156.67 % | 14.62 % | 68.92 % | 24.88 % | 175.49 % |
Annualized performance | 1.17 % | −5.42 % | 12.02 % | −2.43 % | 148.01 % | 30.86 % | 35.16 % | 38.13 % | 11.20 % | 1.04 % | 34.70 % | 12.53 % | 12.54 % |
Highest open drawdown (HOD) | 55.33 % | 79.05 % | 46.97 % | 46.90 % | 18.01 % | 0.00 % | 2.91 % | 0.00 % | 20.30 % | 20.53 % | 0.00 % | 11.00 % | 52.70 % |
Buy and hold index | −90.67 % | −143.20 % | −4.19 % | −119.38 % | 1,080.10 % | 146.04 % | 180.32 % | 204.05 % | −10.72 % | −91.67 % | 121.47 % | −20.05 % | 0.00 % |
Profit/loss index | 10.88 % | −40.60 % | 38.84 % | −13.15 % | 54.75 % | 28.88 % | 58.54 % | 26.79 % | 62.70 % | 10.15 % | 60.92 % | 38.14 % | 100.00 % |
Reward/risk index | 22.83 % | −95.90 % | 78.16 % | −72.50 % | 99.14 % | 100.00 % | 99.41 % | 100.00 % | 88.53 % | 41.60 % | 100.00 % | 69.34 % | 76.91 % |
Total trades | 59 | 81 | 180 | 180 | 526 | 525 | 118 | 184 | 78 | 77 | 89 | 88 | n.a. |
Trade efficiency | 23.84 % | 8.01 % | 19.63 % | 5.81 % | 4.01 % | −5.36 % | 0.42 % | −14.62 % | −6.24 % | −14.24 % | 11.20 % | −6.92 % | n.a. |
Avg. profit/avg. loss | 0.42 | 0.45 | 0.68 | 0.65 | 2.33 | 1.86 | 2.67 | 3.76 | 3.29 | 1.84 | 1.91 | 2.83 | n.a. |
Profitable trades | 73 % | 57 % | 71 % | 57 % | 49 % | 43 % | 47 % | 27 % | 45 % | 38 % | 57 % | 36 % | n.a. |