Skip to main content
SpringerPlus

Table 6 Results of technical trading rules when applied to the PSE composite index (the Philippines)

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

−40.04 %

147.58 %

1176.80 %

397.85 %

87.21 % 

 27.02 %

175.49 %

 Annualized performance

−2.86 %

10.55 %

84.11 %

28.43 %

6.23 %

13.60 %

12.54 %

 Highest open drawdown (HOD)

65.39 %

54.97 %

28.75 %

3.20 %

23.61 %

2.64 %

52.70 %

 Standard deviation of daily returns

1.21 %

1.18 %

1.16 %

1.04 %

1.05 %

0.85 %

1.15 %

Performance indices

 Buy and hold index

−122.82 %

−15.90 %

570.58 %

126.71 %

−50.30 %

−13.17 %

0.00 %

 Profit/loss index

−51.85 %

37.61 %

45.83 %

55.91 %

49.28 %

39.52 %

100.00 %

 Reward/risk index

−61.23 %

72.86 %

97.62 %

99.20 %

78.64 %

91.11 %

76.91 %

Trade summary

 Total trades

13

205

676

118

71

56

n.a.

 Trade efficiency

2.93 %

17.17 %

2.35 %

0.39 %

−11.26 %

1.26 %

n.a.

 Avg. profit/avg. loss

0.41

0.83

1.98

2.51

2.86

2.05

n.a.

 Profitable trades

54 %

66 %

48 %

47 %

41 %

45 %

n.a.

Short strategy

 Performance

−91.59 %

−37.66 %

213.29 %

457.66 %

−17.88 %

−1.74 %

175.49 %

 Annualized performance

−6.55 %

−2.69 %

15.24 %

32.71 %

−1.28 %

−0.88 %

12.54 %

 Highest open drawdown (HOD)

92.95 %

50.51 %

3.84 %

1.45 %

25.83 %

17.80 %

52.70 %

 Standard deviation of daily returns

1.09 %

1.11 %

1.12 %

1.29 %

1.45 %

1.15 %

1.15 %

Performance indices

 Buy and hold index

−152.19 %

−121.46 %

21.54 %

160.79 %

−110.19 %

−105.59 %

0.00 %

 Profit/loss index

−94.43 %

−15.00 %

19.44 %

25.81 %

−14.96 %

−5.31 %

100.00 %

 Reward/risk index

−98.53 %

−74.56 %

98.23 %

99.68 %

−69.21 %

−9.77 %

76.91 %

Trade summary

 Total trades

16

206

677

183

70

55

n.a.

 Trade efficiency

−31.56 %

4.68 %

−5.49 %

−14.95 %

−18.97 %

−18.37 %

n.a.

 Avg. profit/avg. loss

0.12

0.66

1.72

3.79

1.53

2.12

n.a.

 Profitable trades

31 %

56 %

42 %

26 %

36 %

31 %

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 January 2012 to December 2013. The Buy and hold index compares OBV performance with that of the BH strategy over the same period, which is 31.12 %. 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
Back to article page