TECHNICAL ANALYSIS PERFORMANCE MEASUREMENT IN INDONESIAN STOCT MARKET
This research entitled �Technical Analysis Performance Measurement in Indonesian Stock Market� is purposed to measure the performance of technical analysis approach in Indonesian stock market during 5 years period from 2006 until 2011. The performance of technical analysis was compared by buy an...
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| Main Authors: | , |
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| Format: | Theses and Dissertations NonPeerReviewed |
| Published: |
[Yogyakarta] : Universitas Gadjah Mada
2012
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| Subjects: | |
| Online Access: | https://repository.ugm.ac.id/99639/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=55782 |
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| Institution: | Universitas Gadjah Mada |
| Summary: | This research entitled �Technical Analysis Performance Measurement in Indonesian
Stock Market� is purposed to measure the performance of technical analysis approach in
Indonesian stock market during 5 years period from 2006 until 2011. The performance of
technical analysis was compared by buy and hold strategy performance as the benchmark.
The combination trading strategy which uses three technical indicators which are
moving average, Bollinger band and candlestick engulfing pattern is used as technical
analysis approach. The three indicators are combined so that there are six combinations that
were used. The first combination is using only moving average indicator, the second
combination use candlestick engulfing pattern only, the third combination use moving
average and Bollinger band, the fourth combination use moving average and candlestick
engulfing pattern, the fifth combination use candlestick engulfing pattern and Bollinger band
and the sixth combination use all of the three indicators. After all of the combination
strategies were tested, the best strategy for each stock then selected as the optimum strategy.
The result of this optimum combination strategy then compared with buy and holds strategy
return to answer the research question. The strategies were modeled using Meta Trader 4
software and applied to 17 stock sample that enlisted in LQ-45 during February 2008 until
July 2011.
The research result indicates that the combination trading strategy with 332.1% total
return can outperform the buy and hold strategy of 114% return. The two returns were
compared statistically using t-test significance with 95% confidence interval and the result
indicate that the combination trading strategy return is statistically higher than buy and hold
strategy with 0.00047 significance value. |
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