INVESTMENT STRATEGY BASED ON EXPONENTIAL MOVING AVERAGE AND COUNT BACK LINE

• Main Author: Anthony
• Format: Theses
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/34047
• Institution: Institut Teknologi Bandung

In Indonesia, the investor still considering the skill of a fund manager or securities analyst to use a stock selection method as decision-making tools for their investment. This happens because many investors suffer losses due to inappropriate selection of stock for their portfolio on their own. Over 302 equity mutual funds in Indonesia only 6.29% of funds that has the positive Sharpe ratio. Besides that, take a one-year period during 2018, the Sharpe ratio of the best performing mutual funds is quite low. There are only 10 mutual funds that have a Sharpe Ratio over 1.00. This also concludes that the standard deviation of the mutual funds is quite high and the performance is lower compared to the risk-free asset. This thesis assesses whether technical analysis can be used as an investment strategy for decision making in stock investment at Jakarta Composite Index. The investment strategy was performed from 1st October 2018 to 31st December 2018 based on the daily price movement. The risk and return performance of this investment strategy also being analyzed during this research. The investment strategy is based on exponential moving average (EMA) and count back line (CBL) used as the technical indicator and limited to stocks listed in IDX30 index. In order to assess the objective of this thesis, the author conducts a procedure for the investment strategy. There are three steps of the investment strategy. The first step is to implement the 5-EMA and 20-EMA and only trade the stock close above both EMA. Next, determine the limitation of the research which is stock listed in IDX30. The third procedure is portfolio management. As the method used in this investment strategy is EMA and CBL so the stocks selection of the portfolio will use the buy and sell signal generated from those technical indicators. The buy signal generated when the stock price close above both EMA and there is a confirmation from the CBL. While the sell signal will be generated when the price of a stock is close below the CBL stop line. Based on this investment strategy, the number of trades that give a positive return is 27 from the total 41 trades. The return calculated using the geometric mean calculation is 4.12%. Stocks traded using the investment strategy is ADRO, ANTM, ASII, BBCA, BBNI, BBRI, BBTN, BMRI, BRPT, BSDE, GGRM, HMSP, ICBP, INDF, INTP, JSMR, KLBF, LPPF, PGAS, PTBA, PTPP, SMGR, TLKM, UNTR, UNVR, WSBP, and WSKT. Using the simulation of investment in the index using Indeks CIMB-Principal Index will result in 2.168%. While the buy and hold strategy will have a result 0.71% lower compared to the investment strategy. Based on this investment strategy result, it indicates that technical analysis can be used as an investment strategy for stock investing in Indonesia Stock Exchange.