Skip to main content

Table 3 Results of technical trading rules when applied to the FTSE Bursa Malaysia KLC index (Malaysia)

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.

  1. The data cover from January 2000 to December 2013. Due to a data limitation, results of the OBV trading strategy is based on the sample from February 2008 to December 2013. The buy and hold index compares OBV performance with that of the BH strategy over the same period, which is 32.34 %. A “performance” is a percentage measure of how much profit or loss the trading rule generated based on initial equity. An “annualized performance” calculates a performance over a year. It equals to a performance multiplied by 365 and divided by the number of days in the simulation. “Highest Open Drawdown” (HOD) is the maximum distance the equity line fell below the initial investment. A “buy and hold index” shows the percentage of the trading system’s profits when compared to a buy-and-hold strategy’s profits. A “profit and loss index” compares the amount of “Net Profit” (Trade Profit − Trade Loss) to the amount of winning or losing trades. Profit and Loss Index = 100 × (Net Profit)/[Max(Trade Profit, Trade Loss)]. A “reward and risk index” compares risk to reward. In this case, risk is defined as the “Highest Open Drawdown” (HOD) plus positive net profit, whereas reward is defined as the “Net Profit” (Trade Profit − Trade Loss) from the trading system. Reward and Risk Index = 100 × (Net Profit)/[Max(Net Profit,0) + HOD]. A “trade efficiency” for long only strategy is calculated as (Exit price − Entry price)/(Highest price − Lowest price). A “trade efficiency” for short only strategy is calculated as (Entry price − Exit price)/(Highest price − Lowest price). An “average profit/average loss” is a ratio of average profit of profitable trades over average loss of unprofitable trades