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 | 20.27 % | 37.48 % | 319.44 % | 202.27 % | 112.62 % | 111.97 % | 125.53 % |
Annualized performance | 1.45 % | 2.68 % | 22.81 % | 14.44 % | 8.04 % | 18.95 % | 8.96 % |
Highest open drawdown (HOD) | 25.24 % | 27.70 % | 7.55 % | 12.39 % | 9.43 % | 5.89 % | 31.81 % |
Standard deviation of daily returns | 0.81 % | 0.80 % | 0.70 % | 0.80 % | 0.62 % | 0.52 % | 0.72 % |
Performance indices | |||||||
Buy and hold index | −83.85 % | −70.14 % | 154.47 % | 61.13 % | −10.28 % | 246.23 % | 0.00 % |
Profit/loss index | 24.19 % | 18.54 % | 34.82 % | 58.04 % | 62.19 % | 66.69 % | 100.00 % |
Reward/risk index | 44.53 % | 57.51 % | 97.69 % | 94.23 % | 92.27 % | 95.00 % | 79.78 % |
Trade summary | |||||||
Total trades | 22 | 179 | 718 | 109 | 74 | 122 | n.a. |
Trade efficiency | 35.63 % | 17.39 % | 1.24 % | 7.33 % | −2.86 % | 4.52 % | n.a. |
Avg. profit/avg. loss | 0.29 | 0.67 | 1.89 | 1.68 | 2.79 | 3.21 | n.a. |
Profitable trades | 82 % | 65 % | 45 % | 59 % | 49 % | 48 % | n.a. |
Short strategy | |||||||
Performance | −64.99 % | −39.33 % | 84.58 % | 223.29 % | −8.89 % | 49.56 % | 125.53 % |
Annualized performance | −4.64 % | −2.81 % | 6.04 % | 15.95 % | −0.63 % | 8.39 % | 8.96 % |
Highest open drawdown (HOD) | 66.38 % | 41.30 % | 4.70 % | 0.00 % | 8.96 % | 0.00 % | 31.81 % |
Standard deviation of daily returns | 0.64 % | 0.64 % | 0.72 % | 0.64 % | 0.86 % | 0.79 % | 0.72 % |
Performance indices | |||||||
Buy and hold index | −151.77 % | −131.33 % | −32.62 % | 77.88 % | −107.08 | 53.25 % | 0.00 % |
Profit/loss index | −54.17 % | −23.11 % | 14.14 % | 25.13 % | −9.19 % | 43.23 % | 100.00 % |
Reward/risk index | −97.90 % | −95.23 % | 94.74 % | 100.00 % | −99.22 % | 100.00 % | 79.78 % |
Trade summary | |||||||
Total trades | 26 | 179 | 718 | 204 | 75 | 122 | n.a. |
Trade efficiency | 0.32 % | 2.05 % | −8.08 % | −19.25 % | −23.24 % | −6.35 % | n.a. |
Avg. profit/avg. loss | 0.46 | 0.64 | 1.71 | 4.72 | 1.93 | 2.54 | n.a. |
Profitable trades | 50 % | 55 % | 41 % | 22 % | 32 % | 41 % | n.a. |