Table 7 Standard test results from SET index (Thailand)

RSI

 Average daily return of a strategy

0.00 %

0.04 %

−0.04 %

 SD of daily return of a strategy

1.22 %

1.24 %

1.23 %

 Z statistics

0.05

1.32

−0.64 %

 Breakeven trading cost (round trip)

0.23 %

Unprofitable

Unprofitable

 Number of signal generated

16

20

36

STOCH

 Average daily return of a strategy

0.00 %

0.04 %

−0.04 %

 SD of daily return of a strategy

1.42 %

1.06 %

1.23 %

 Z statistics

−0.09

1.58

−0.70

 Breakeven trading cost (round trip)

Unprofitable

Unprofitable

Unprofitable

 Number of signal generated

192

192

384

STOCH-D

 Average daily return of a strategy

0.08 %

−0.05 %

0.13 %

 SD of daily return of a strategy

1.19 %

1.28 %

1.23 %

 Z statistics

2.91**

−1.54

2.20*

 Breakeven trading cost (round trip)

0.30 %

0.16 %

0.23 %

 Number of signal generated

720

721

1441

MACD

 Average daily return of a strategy

0.07 %

−0.07 %

0.14 %

 SD of daily return of a strategy

1.03 %

1.49 %

1.25 %

 Z statistics

2.87**

−1.75*

2.21*

 Breakeven trading cost (round trip)

1.44 %^a

0.71 %^a

1.00 %^a

 Number of signal generated

130

197

327

DMI

 Average daily return of a strategy

0.08 %

−0.04 %

0.11 %

 SD of daily return of a strategy

1.09 %

1.52 %

1.31 %

 Z statistics

2.22*

−0.72

1.32

 Breakeven trading cost (round trip)

1.91 %^a

0.78 %^a

1.33 %^a

 Number of signal generated

60

62

122

OBV

 Average daily return of a strategy

0.07 %

−0.05 %

0.12 %

 SD of daily return of a strategy

0.95 %

1.48 %

1.20 %

 Z statistics

2.15*

−0.84

1.34

 Breakeven trading cost (round trip)

0.64 %^a

0.31 %

0.48 %

 Number of signal generated

140

141

281