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 | −7.45 % | 82.14 % | 1,391.21 % | 396.61 % | 378.26 % | 863.60 % | 517.05 % |
Annualized performance | −0.53 % | 5.87 % | 99.39 % | 28.33 % | 27.02 % | 61.70 % | 36.94 % |
Highest open drawdown (HOD) | 50.35 % | 46.08 % | 16.79 % | 18.48 % | 2.05 % | 19.89 % | 49.48 % |
Standard deviation of daily returns | 1.32 % | 1.40 % | 1.17 % | 1.06 % | 1.04 % | 1.05 % | 1.25 % |
Performance indices | |||||||
Buy and hold index | −101.44 % | −84.11 % | 169.07 % | −23.29 % | −26.84 % | 67.02 % | 0.00 % |
Profit/loss index | −7.49 % | 27.41 % | 35.80 % | 44.32 % | 72.19 % | 38.88 % | 100.00 % |
Reward/risk index | −14.79 % | 64.06 % | 98.81 % | 95.55 % | 99.46 % | 97.75 % | 91.27 % |
Trade summary | |||||||
Total trades | 15 | 174 | 689 | 130 | 60 | 330 | n.a. |
Trade efficiency | 23.26 % | 14.88 % | 6.81 % | −1.61 % | 6.18 % | −1.53 % | n.a. |
Avg. profit/avg. loss | 0.34 | 0.78 | 1.54 | 2.37 | 3.60 | 2.00 | n.a. |
Profitable trades | 73 % | 64 % | 50 % | 43 % | 50 % | 45 % | n.a. |
Short strategy | |||||||
Performance | −94.33 % | −83.80 % | 62.70 % | −6.85 % | 23.21 % | 15.96 % | 517.05 % |
Annualized performance | −6.74 % | −5.99 % | 4.48 % | −0.49 % | 1.66 % | 1.14 % | 36.94 % |
Highest open drawdown (HOD) | 95.19 % | 87.45 % | 1.64 % | 20.36 % | 8.50 % | 0.00 % | 49.48 % |
Standard deviation of daily returns | 1.17 % | 1.13 % | 1.30 % | 1.51 % | 1.66 % | 1.55 % | 1.25 % |
Performance indices | |||||||
Buy and hold index | −118.24 % | −116.21 % | −87.87 % | −101.32 % | −95.51 % | −96.91 % | 0.00 % |
Profit/loss index | −78.32 % | −40.08 % | 6.26 % | −1.32 % | 17.75 % | 4.14 % | 100.00 % |
Reward/risk index | −99.10 % | −95.82 % | 97.45 % | −33.65 % | −73.19 % | 100.00 % | 91.27 % |
Trade summary | |||||||
Total trades | 21 | 175 | 690 | 241 | 57 | 331 | n.a. |
Trade efficiency | −20.51 % | 2.39 % | −11.59 % | −22.60 % | −17.58 % | −17.92 % | n.a. |
Avg. profit/avg. loss | 0.43 | 0.44 | 1.82 | 3.19 | 1.93 | 2.38 | n.a. |
Profitable trades | 33 % | 58 % | 37 % | 24 % | 39 % | 31 % | n.a. |