THE APPLICABILITY OF ARTIFICIAL INTELLIGENCE IN INVESTMENT USING FUNDAMENTAL ANALYSIS AND TECHNICAL ANALYSIS TO INDONESIA STOCK MARKET

• Main Author: Yustin Prabowo, Boni
• Format: Theses
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/55663
• Institution: Institut Teknologi Bandung

Investment strategy is the important thing for people to plan their finances. Stock Market is one of the options for people doing the investment. It can generate high profit if it’s planned well and high loss if it’s poorly planned. Unfortunately, in 2020, there is a stock market crash in Indonesia because of virus COVID-19. It impacts Jakarta Stock Exchange (JKSE) Composite Index fell around 35%. The market crash is the risk and also the opportunity for the investor or trader to invest in stock market. For investor that already have their money in stock before the market crash, they will experience tremendous loss because their value of money will fell around 35%. For investor that still has cash in hand, they will experience exceptionally great opportunity to enter the stock market because the stock price has a very big discount. This research aims to help the investor or trader improve their profitability in deciding the investment strategy during market crash situation and normal situation. This research use fundamental analysis, technical analysis, and artificial intelligence to select the best stocks to be invested in. It also use mathematical model like Hodrick-Prescott Filter to help pre-processing the data. In Fundamental Analysis, this research use 3 criteria which are Price to Book Value Ratio, Price to Earnings Ratio, and Debt to Equity Ratio. In Technical Analysis, this research use 6 criteria which are Trend Indicator, Moving Average Crossover Indicator, Candlestick Indicator, Stochastic Indicator, Volume Indicator, and ADX Indicator. The artificial intelligence used in this research are Agent Decision Tree Learning and Evolutionary Algorithm. Agent Decision Tree is trained to generate the best investment strategy by combining the technical analysis and fundamental analysis. It will generate several investment strategy to be tested during the market crash situation and normal situation. The research of technical analysis simulation works differently in market crash situation and pandemic situation. Moving Average Crossover Indicator performs well in market crash situation. Stochastic Indicator performs well in normal situation. The analysis result shows that Fundamental Analysis only works well in normal situation. Based on the number of simulations by Artificial Intelligence, this research find the best return is generated by using Technical Analysis only with Artificial Intelligence. However, there is still risk included as the prediction is not always correct 100%.