การเปรียบเทียบผลตอบแทนจากการลงทุนในหลักทรัพย์จดทะเบียนในตลาดหลักทรัพย์ เอ็ม เอ ไอ โดยใช้เครื่องมือการวิเคราะห์ทางเทคนิค

Abstract

This objective of this study was to compare returns from investment on listed securities on the Market for Alternative Investment or mai by using technical analysis tools. To analyze, this study used the top ten most valued securities on the Market for Alternative Investment by using 8 technical analysis tools which were Exponential Moving Average, Bollinger Bands, Commodity Channel Index, Fast Stochastic, Slow Stochastic, William%R, Relative Strength Index, Moving Averages Convergence/Divergence. Also, these tools were applied for daily, weekly and monthly bases for three year data starting from January 2010 to December 2012. The initial investment was one million baht per security with fee rate of 0.2578% and 7% value-added tax. These fees were charged for each trading. After that, the study compared returns from each technical analysis tool using descriptive statistics which were total sum, average, standard deviation and coefficient of variation. Daily technical analysis tools offerings highest investment returns were EMA25, EMA200, EMA75, MACD, and EMA10, respectively. Technical analysis tools offerings lowest returns were Slow Stochastic, Bollinger Bands, EMA 10, Fast Stochastic and RSI, respectively. Technical analysis tools yielding the highest average returns were EMA75, EMA25, MACD, EMA200, and EMA10, respectively. For risk aspect daily technical analysis tools that offering lowest standard deviation of returns were Bollinger Bands, RSI, CCI, Fast Stochastic, and William%R, respectively. For risk adjusted returns, daily technical analysis tools offering lowest coefficient of variation were MACD, EMA75, EMA200, EMA25, and EMA10, respectively. Weekly technical analysis tools offerings highest investment returns were Slow Stochastic, MACD, EMA200, William%R, and EMA10, respectively. Technical analysis tools offerings lowest returns were William%R, Bollinger Bands, RSI, EMA10, and MACD, respectively. Technical analysis tools yielding the highest average returns were Slow Stochastic, MACD, EMA10, EMA25, and EMA75, respectively. For risk aspect, a weekly technical analysis tools that offering lowest standard deviation of returns were Bollinger Bands, RSI, CCI, Fast Stochastic, and EMA75, respectively. For risk adjusted returns, weekly technical analysis tools offering lowest coefficient of variation were EMA10, CCI, EMA25, MACD, and Slow Stochastic, respectively. Monthly technical analysis tools offerings highest investment returns were William%R, CCI, Slow Stochastic, Fast Stochastic, and MACD, respectively. Technical analysis tools offerings lowest monthly returns were William EMA10, MACD, Slow Stochastic, CCI, and Fast Stochastic, respectively. Technical analysis tools yielding the highest average returns were Slow Stochastic, CCI, Fast stochastic, William%R, and MACD, respectively. For risk aspect, a monthly technical analysis tools that offering lowest standard deviation of returns were Bollinger RSI, Bollinger Bands, EMA75, EMA25, and Fast Stochastic, respectively. For risk adjusted returns, monthly technical analysis tools offering lowest coefficient of variation were Slow Stochastic, Fast Stochastic, MACD, CCI, EMA25, and Bollinger Bands, respectively.