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Table 4 Results of technical trading rules when applied to the FTSE Straits Times index (Singapore)

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

−28.57 %

−55.39 %

−12.73 %

53.52 %

40.07 %

113.21 %

26.57 %

 Annualized performance

−2.04 %

−3.96 %

−0.91 %

3.82 %

2.86 %

8.08 %

1.90 %

 Highest open drawdown (HOD)

60.14 %

63.53 %

37.12 %

24.65 %

11.42 %

22.44 %

49.13 %

 Standard deviation of daily returns

1.23 %

1.15 %

1.04 %

0.91 %

0.94 %

0.92 %

1.04 %

Performance indices

 Buy and hold index

−207.53 %

−308.47 %

−147.91 %

101.43 %

50.81 %

326.08 %

0.00 %

 Profit/loss index

−40.84 %

−30.67 %

−2.85 %

23.70 %

39.33 %

26.17 %

100.00 %

 Reward/risk index

−47.51 %

−87.19 %

−34.29 %

68.47 %

77.82 %

83.45 %

35.10 %

Trade summary

 Total trades

13

204

784

141

58

361

n.a.

 Trade efficiency

19.36 %

5.35 %

−3.94 %

−8.81 %

−7.70 %

−6.10 %

n.a.

 Avg. profit/avg. loss

0.51

0.57

1.15

1.82

2.18

1.91

n.a.

 Profitable trades

54 %

55 %

46 %

42 %

43 %

42 %

n.a.

Short strategy 

 Performance

−68.15 %

−75.65 %

−52.14 %

−56.22 %

−30.59 %

19.96 %

26.57 %

 Annualized performance

−4.87 %

−5.40 %

−3.72 %

−4.02 %

−2.18 %

1.43 %

1.90 %

 Highest open drawdown (HOD)

71.24 %

77.50 %

53.14 %

71.01 %

37.18 %

22.52 %

49.13 %

 Standard deviation of daily returns

0.76 %

0.89 %

1.01 %

1.17 %

1.55 %

1.16 %

1.04 %

Performance indices

 Buy and hold index

−356.49 %

−384.72 %

−296.24 %

−311.59 %

−215.13 %

−24.88 %

0.00 %

 Profit/loss index

−75.35 %

−42.25 %

−12.41 %

−21.13 %

−36.02 %

6.61 %

100.00 %

 Reward/risk index

−95.67 %

−97.61 %

−98.12 %

−79.17 %

−82.26 %

46.98 %

35.10 %

Trade summary

 Total trades

14

203

785

248

57

361

n.a.

 Trade efficiency

−3.54 %

−5.20 %

−11.71 %

−26.96 %

−27.32 %

−13.95 %

n.a.

 Avg. profit/Avg. loss

0.33

0.64

1.32

2.83

1.97

2.00

n.a.

 Profitable trades

43 %

47 %

40 %

22 %

25 %

35 %

n.a.

  1. The data cover from January 2000 to December 2013. 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
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