PENGGUNAAN INDIKATOR TEKNIKAL PADA RETURN PASAR SAHAM DI INDONESIA

Derry Rijken Irahadi, Maria Stevani Sianturi, Sung Suk Kim

Abstract


Abstract.   This study uses indicators Moving Averages, Relative Strength Index, Stochastic Oscillator, Parabolic Stop and Reverse, Moving Average Convergence Divergence, and Rate of Change for the approach of Technical Analysis in the Indonesian capital market. Technical analysis indicators are applied to three indices, namely the Composite Stock Price Index, Sri Kehati Index, and LQ45 for the period 30 April 2010 to 30 April 2021. The best technical analysis indicator in trading strategy is SMA 3 from Stochastic-14 which can generate returns yearly over the index by 13,239% for JCI, 25.043% for SRI-KEHATI, and 20.664% for LQ45. The results of the resilience analysis show that technical analysis indicators are more profitable for sub period 2 (1 November 2015 to 30 April 2021) compared to sub period 1 (30 April 2010 to 31 October 2021).

 

Abstrak.  Penelitian ini menggunakan indikator Moving Averages, Relative Strength Indeks, Stochastic Oscillator, Parabolic Stop and Reverse, Moving Average Convergence Divergence, dan Rate of Change untuk menyelidiki kegunaan pendekatan Analisa Teknikal di pasar modal Indonesia. Indikator analisa teknikal diterapkan pada tiga indeks yaitu Indeks Harga Saham Gabungan, Indeks Sri Kehati, dan LQ45 selama periode 30 April 2010 sampai dengan 30 April 2021. Indikator analisa tekniknal yang paling baik dalam strategi trading adalah SMA 3 dari Stochastic-14 yang dapat menghasilkan return tahunan melebihi indeks sebesar 13.239% untuk IHSG, 25.043% untuk SRI-KEHATI, dan 20.664% untuk LQ45. Hasil dari analisa robustness menunjukkan bahwa indikator analisa teknik lebih menguntungkan untuk sub periode 2 (1 November 2015 s/d 30 April 2021) daripada sub periode 1 (30 April 2010 s/d 31 Oktober 2021).

 

 

 


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DOI: https://doi.org/10.35794/jmbi.v9i2.39798

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