From: Performance of technical trading rules: evidence from Southeast Asian stock markets
Trading rule results | RSI | Stochastic | MACD | DMI | OBV | Buy and hold (BH) | |
---|---|---|---|---|---|---|---|
STOCH | STOCH-D | ||||||
Long strategy | |||||||
Performance | 7.39 % | 2.62 % | 382.46 % | 400.75 % | 176.71 % | 60.57 % | 161.86 % |
Annualized performance | 0.53 % | 0.19 % | 27.34 % | 28.65 % | 12.63 % | 10.25 % | 11.57 % |
Highest open drawdown (HOD) | 37.84 % | 39.03 % | 22.64 % | 10.44 % | 33.67 % | 15.98 % | 49.71 % |
Standard deviation of daily returns | 1.22 % | 1.42 % | 1.19 % | 1.03 % | 1.09 % | 0.95 % | 1.24 % |
Performance indices | |||||||
Buy and hold index | −95.43 % | −98.38 % | 136.29 % | 147.59 % | 9.17 % | 1.39 % | 0.00 % |
Profit/loss index | 7.00 % | 1.00 % | 25.91 % | 52.45 % | 60.35 % | 28.31 % | 100.00 % |
Reward/risk index | 16.33 % | 6.29 % | 94.41 % | 97.46 % | 84.00 % | 79.13 % | 76.50 % |
Trade summary | |||||||
Total trades | 16 | 192 | 720 | 130 | 60 | 140 | n.a. |
Trade efficiency | 25.11 % | 14.60 % | 2.32 % | −1.97 % | −1.89 % | −6.52 % | n.a. |
Avg. profit/Avg. loss | 0.49 | 0.59 | 1.47 | 2.24 | 2.52 | 1.97 | n.a. |
Profitable trades | 69 % | 63 % | 48 % | 48 % | 50 % | 41 % | n.a. |
Short strategy | |||||||
Performance | −82.51 % | −75.04 % | 24.76 % | 145.93 % | 3.57 % | −11.65 % | 161.86 % |
Annualized performance | −5.90 % | −5.36 % | 1.77 % | 10.43 % | 0.20 % | −1.97 % | 11.57 % |
Highest open drawdown (HOD) | 85.32 % | 77.11 % | 18.83 % | 0.74 % | 25.11 % | 21.09 % | 49.71 % |
Standard deviation of daily returns | 1.24 % | 1.06 % | 1.28 % | 1.49 % | 1.52 % | 1.48 % | 1.24 % |
Performance indices | |||||||
Buy and hold index | −150.98 % | −146.36 % | −84.70 % | −9.84 % | −97.79 % | −119.50 % | 0.00 % |
Profit/loss index | −65.54 % | −32.64 % | 3.48 % | 16.08 % | 2.98 % | −7.35 % | 100.00 % |
Reward/risk index | −96.71 % | −97.31 % | 56.80 % | 99.50 % | 12.45 % | −55.25 % | 76.50 % |
Trade summary | |||||||
Total trades | 20 | 192 | 722 | 197 | 62 | 141 | n.a. |
Trade efficiency | −5.38 % | −0.78 % | −9.80 % | −19.81 % | −14.16 % | −21.17 % | n.a. |
Avg. profit/avg. loss | 0.34 | 0.61 | 1.63 | 3.00 | 1.43 | 1.80 | n.a. |
Profitable trades | 50 % | 53 % | 39 % | 28 % | 42 % | 34 % | n.a. |