#TITLE_ALTERNATIVE#

• Main Author: KANAYALAL THAWANI (NIM : 29109325); Pembimbing : Ir. Deddy P. Koesrindartoto, MSc., Ph.D; Ir, RAJIV
• Format: Theses
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/19217
• Institution: Institut Teknologi Bandung

Now more than ever, the demand of good investment is increasing. This increase is led by the development of financial knowledge, instrument, and method in financial market. Algorithm trading as the latest method implemented in the well-developed financial market is the state-of-art method that could become the key of success to gain advantage in the market. <br /> <br /> <br /> PT. Trimegah Securities, Tbk. as one of investment securities company challenged to develop and implement Algorithm Trading in their investment fund that could earn a higher level of return. The level of return should exceed or at least match Composite Index (IHSG) and popular ETF (LQ45) in order to attract investors. The new investment fund must also be attractive in comparison with similar investment product from competitors. <br /> <br /> <br /> To implement Algorithm Trading in PT. Trimegah Securities, Tbk. the research development should consider several analyses and basic theories. The analyses include modification and combination of technical analysis indicators. Theories that used in this research consist of basic tools of technical analysis, principle of Triple Screen, and understanding of the Algorithm trading platform that is AmiBroker. <br /> <br /> <br /> The research to develop Algorithm Trading in PT. Trimegah Securites, Tbk., discover The RaPit Momentum trading system, an original creation from the researcher, that generate the result of Rp 420.737.316 from the initial equity of Rp 100.000.000 within the last 5 years of investment, while IHSG would generate Rp 314.975.450 and LQ45 generate Rp 253.159.851. This result would put PT.Trimegah Securities, Tbk. as one of the top performers in the investment product. <br /> <br /> <br /> The new algorithm trading system is more attractive in comparison to other similar product from the Risk Adjusted Return result, the Sharpe Ratio for RaPit Momentum is 5.440 while Sharpe Ratio for Panin Dana Maksima and Schroder Dana Istimewa are 4.661 and 4.320.The RaPit Momentum trading system could be implemented in Trimegah Asset Management, one of Trimegah division, as their new discretionary fund with the derivative products possibility.