Table 9 Standard test results from FTSE Straits Times index (Singapore)
From: Performance of technical trading rules: evidence from Southeast Asian stock markets
Long | Short | Long–short | |
|---|---|---|---|
RSI | |||
Average daily return of a strategy | −0.02 % | 0.03 % | −0.05 % |
SD of daily return of a strategy | 1.23 % | 0.76 % | 1.03 % |
Z statistics | −0.57 | 1.69 | −0.96 |
Breakeven trading cost (round trip) | Unprofitable | Unprofitable | Unprofitable |
Number of signal generated | 13 | 14 | 27 |
STOCH | |||
Average daily return of a strategy | −0.02 % | 0.03 % | −0.05 % |
SD of daily return of a strategy | 1.15 % | 0.89 % | 1.03 % |
Z statistics | −0.61 | 1.34 | −0.92 |
Breakeven trading cost (round trip) | Unprofitable | Unprofitable | Unprofitable |
Number of signal generated | 204 | 203 | 407 |
STOCH-D | |||
Average daily return of a strategy | 0.02 % | 0.00 % | 0.02 % |
SD of daily return of a strategy | 1.04 % | 1.01 % | 1.03 % |
Z statistics | 0.66 | −0.19 | 0.43 |
Breakeven trading cost (round trip) | 0.05 % | 0.01 % | 0.03 % |
Number of signal generated | 784 | 785 | 1569 |
MACD | |||
Average daily return of a strategy | 0.03 % | −0.04 % | 0.06 % |
SD of daily return of a strategy | 0.91 % | 1.17 % | 1.04 % |
Z statistics | 1.19 | −1.18 | 1.19 |
Breakeven trading cost (round trip) | 0.46 % | 0.31 % | 0.36 % |
Number of signal generated | 141 | 248 | 389 |
DMI | |||
Average daily return of a strategy | 0.03 % | 0.03 % | −0.01 % |
SD of daily return of a strategy | 0.94 % | 1.55 % | 1.25 % |
Z statistics | 0.82 | 0.56 | −0.08 |
Breakeven trading cost (round trip) | 0.55 % | Unprofitable | Unprofitable |
Number of signal generated | 58 | 57 | 115 |
OBV | |||
Average daily return of a strategy | 0.03 % | −0.03 % | 0.06 % |
SD of daily return of a strategy | 0.92 % | 1.16 % | 1.03 % |
Z statistics | 1.51 | −0.95 | 1.20 |
Breakeven trading cost (round trip) | 0.25 % | 0.17 % | 0.21 % |
Number of signal generated | 361 | 361 | 722 |