Performance of technical trading rules: evidence from Southeast Asian stock markets

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Table 8 Standard test results from FTSE Bursa Malaysia KLC index (Malaysia)

	Long	Short	Long–short
RSI
Average daily return of a strategy	0.01 %	0.02 %	−0.01 %
SD of daily return of a strategy	0.81 %	0.64 %	0.71 %
Z statistics	0.43	1.28	−0.25
Breakeven trading cost (round trip)	0.86 %	Unprofitable	Unprofitable
Number of signal generated	22	26	48
STOCH
Average daily return of a strategy	0.02 %	0.01 %	0.01 %
SD of daily return of a strategy	0.80 %	0.64 %	0.72 %
Z statistics	0.81	0.72	0.17
Breakeven trading cost (round trip)	0.21 %	Unprofitable	0.03 %
Number of signal generated	179	179	358
STOCH-D
Average daily return of a strategy	0.07 %	−0.05 %	0.12 %
SD of daily return of a strategy	0.70 %	0.72 %	0.72 %
Z statistics	4.15**	−2.59 %**	3.35**
Breakeven trading cost (round trip)	0.25 %	0.16 %	0.21 %
Number of signal generated	718	718	1,436
MACD
Average daily return of a strategy	0.02 %	−0.05 %	0.12 %
SD of daily return of a strategy	0.80 %	0.72 %	0.72 %
Z statistics	0.81	−2.59**	3.35**
Breakeven trading cost (round trip)	0.21 %	0.16 %	0.21 %
Number of signal generated	179	718	1436
DMI
Average daily return of a strategy	0.04 %	−0.01 %	0.05 %
SD of daily return of a strategy	0.62 %	0.86 %	0.74 %
Z statistics	2.42**	−0.19*	1.08
Breakeven trading cost (round trip)	1.03 %	0.10 %	0.57 %
Number of signal generated	74	75	149
OBV
Average daily return of a strategy	0.06 %	−0.06 %	0.12 %
SD of daily return of a strategy	0.52 %	0.79 %	0.65 %
Z statistics	3.42**	−1.92*	2.53**
Breakeven trading cost (round trip)	0.74 %	0.48 %	0.62 %
Number of signal generated	127	122	249

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
*^, ** Mean significance at 5 and 1 %, respectively
^aMeans that the breakeven trading cost (round trip) is higher than the actual round trip trading cost of 1.1 % in the Malaysian stock market. The alternative hypothesis of the long-only, short-only, and long-and-short strategies are that average daily returns are positive, negative and positive, respectively. For one-tailed test, the significant level (α) is set at 5 and 1 % and hence, the critical Z values are 1.645 and 2.33, respectively