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# UNIVERSITAS INDONESIA

VALUE DIAGNOSIS OF APPLICATION OF MOVING AVERAGE TECHNICAL TRADING RULES FOR INTRADAY STOCK TRADING IN INDONESIA STOCK EXCHANGE

SKRIPSI

Diajukan sebagai salah satu syarat untuk mencapai gelar sarjana ekonomi

ARIO HARSANTO 0606082182

FAKULTAS EKONOMI PROGRAM STUDI MANAJEMEN KEKHUSUSAN KEUANGAN DEPOK JULI, 2010

HALAMAN PERNYATAAN ORISINALITAS

Skripsi ini adalah hasil karya saya sendiri, dan semua sumber baik yang dikutip maupun dirujuk telah saya nyatakan dengan benar

Nama NPM Tanda Tangan

: Ario Harsanto : 0606082182 :

Tanggal

: Juli 2010

ii

HALAMAN PENGESAHAN Skripsi ini diajukan oleh Nama NPM Program Studi Judul Skripsi : : Ario Harsanto : 0606082182 : Manajemen : VALUE DIAGNOSIS OF APPLICATION OF MOVING AVERAGE TECHNICAL TRADING RULES FOR INTRADAY STOCK TRADING IN INDONESIA STOCK EXCHANGE

Telah berhasil dipertahankan di hadapan Dewan Penguji dan diterima sebagai bagian persyaratan yang diperlukan untuk memperoleh gelar Sarjana Ekonomi pada Program Studi Manajemen Keuangan Universitas Indonesia.

DEWAN PENGUJI Pembimbing Penguji Penguji : Dr. Irwan Adi Ekaputra, MM. : : ( )

Ditetapkan di Tanggal

: Depok : Juli 2010

iii

saya yang bertanda tangan di bawah ini: Nama : Ario Harsanto NPM : 0606082182 Program Studi : Keuangan Departemen : Manajemen Fakultas : Ekonomi Jenis karya : Skripsi demi pengembangan ilmu pengetahuan. mengalihmedia/formatkan. Demikian pernyataan ini saya buat dengan sebenarnya.HALAMAN PERNYATAAN PERSETUJUAN PUBLIKASI TUGAS AKHIR UNTUK KEPENTINGAN AKADEMIS Sebagai sivitas akademik Universitas Indonesia. merawat. dan memublikasikan tugas akhir saya selama tetap mencantumkan nama saya sebagai penulis/pencipta dan sebagai pemilik Hak Cipta. mengelola dalam bentuk pangkalan data (database). Dibuat di Pada tanggal : Depok : Juli 2010 Yang menyatakan (Ario Harsanto) iv . menyetujui untuk memberikan kepada Universitas Indonesia Hak Bebas Royalti Noneksklusif (Non-exclusive RoyaltyFree Right) atas karya ilmiah saya yang berjudul: VALUE DIAGNOSIS OF APPLICATION OF MOVING AVERAGE TECHNICAL TRADING RULES FOR INTRADAY STOCK TRADING IN INDONESIA STOCK EXCHANGE beserta perangkat yang ada (jika diperlukan). Dengan Hak Bebas Royalti Noneksklusif ini Universitas Indonesia berhak menyimpan.

MA[5. the author develops a value diagnosis approach under the application of bootstrap methodology to provide a result of general condition throughout time. This shown us that moving average rules do not really provide value for investors. Intraday Stock Trading v . SMA[10]. MA[5. Technical Trading Rules.150]. Bootstrap Methodology.200) provide a value greater than unconditional basic return for the series. MA[5.50]. In this paper. SMA[15]. Keywords: Moving Average. The result under bootstrap methodology is that no single moving average rules tested (SMA[5].ABSTRACT Name : Ario Harsanto Study Program: Finance Management Title : Value Diagnosis of Application of Moving Average Technical Trading Rules For Intraday Stock Trading in Indonesia Stock Exchange The study brought in this paper analyzes the value of return generated from the employ of moving average technical trading rules for intraday stock trading in Indonesia Stock Exchange.

Pada skripsi ini. SMA[10]. Kata Kunci: Moving Average. MA[5. MA[5.150].200) menghasilkan nilai return yang lebih besar dari return dasar dari pergerakan harga saham. Hasil atas metodologi bootstrap menunjukkan bahwa tidak satu pun teknik moving average yang diuji (SMA[5]. Metodologi Bootstrap. SMA[15]. Hal ini menunjukkan bahwa teknik moving average tidak sungguh-sungguh menghasilkan nilai lebih bagi investor.ABSTRAK Nama : Ario Harsanto Program Studi : Manajemen Keuangan Judul : DIAGNOSA NILAI ATAS PENGGUNAAN MOVING AVERAGE TECHNICAL TRADING RULES PADA PERDAGANGAN SAHAM INTRADAY DI BURSA EFEK INDONESIA Penelitian yang dilakukan dalam skripsi ini menganalisis nilai dari return yang dihasilkan dari analisis teknikal moving average untuk perdagangan saham intraday pada Bursa Efek Indonesia. Analisis Teknikal . penulis menggunakan metodologo bootstrap untuk melakukan pendekatan diagnosa nilai guna menghasilkan hasil yang umum sepanjang waktu.50]. MA[5. Perdagangan Saham Intraday vi .

.2. LITERATURE REVIEW 2.6.. Benefits of The Study…………………………………………………… 1. Underlying Assumption of Technical Analysis…………………… 2.... Random Walk Hypothesis………………………………………...5. Data Processing Scheme………. 2..1. 2.4..…………………………………………………. Scope of The Study……………………………………………………… 1.1.………………………………………………….. ANALYSIS. Bootstrapping Methodology for Financial Research……………. Previous Studies…………………………………………………………. Objective of The Study………………………………………………….. 3. 2...3..…… 2...4.5.1. Technical Analysis for Investment Decision………………. Data…………………………………………………………………..………………………………………. RESULTS AND DISCUSSIONS 4.. 2.2. 1..….…….........6. 3.4... Description of The Research Sample…………………………………… ! "##! ! i ii iii iv v vi vii ix x 1 1 4 4 4 4 5 6 6 7 8 9 9 10 11 11 12 13 15 15 16 17 17 20 20 23 23 23 26 27 28 29 30 30 . Situations Where Bootstrap Will Be Ineffective…………………. Investment……………………………………………….. Hypotheses…….6. Background…………………………………………………………... Outline…………………………………………………………………… 2. 2. INTRODUCTION 1.. 2.1.2.TABLE OF CONTENTS COVER PAGE……. Efficient Market Hypothesis…………………………………………..1.5. 2. Computation of Basic Return……………………………………..… 2.7.6...2.. Bootstrap Methodology……………….. Advantages and Challenges of Technical Analysis……………….3.2.3.. Methods of Technical Analysis…………………………………… 2.1.. 2.1.2. Steps of Research………………………………………………………. 1. Problem Definition……………………………………………………… 1. Benefits of Bootstrap Methodology……………………………….... Indonesia Stock Market……………………………………………. 4..5. METHODOLOGY 3.……………………………………………………….. LIST OF FIGURES……………………………………………………………….3.... ABSTRACT………………………………………………………………………. 3. Application of Bootstrap Methodology…………………………… 3...3.....…………… 2.. TABLE OF CONTENTS……..1. 3....1. 3. Stock Trading Process in Indonesia Stock Market…………. 1... HALAMAN PERNYATAAN ORISINALITAS ………………………………… HALAMAN PENGESAHAN …………………………………………………… LEMBAR PERSETUJUAN PUBLIKASI KARYA ILMIAH ………………….4.5...………………………….3..3.……………………………………………………………. ABSTRAK……………………………………………………………………….2. 3.5. Process of Analysis…. LIST OF TABLES………………………………………………………………. 3. Stock Return……………………………………………………………… 2... Application of Technical Trading Rules………………………….….2.1..2...

Moving Average Rule to The Highest 5 Traded Stock (in Term of Trading Value)………………………………………………….3.5.2...2. 5.……………………………….……………………….4. Moving Average Rule to Middle 5 Traded Stock (in Term of TradingValue)…………………………. Application of Moving Average Rule To The Original Data Series………………………………………………………. Suggestion for Future Research………………………………………….…………….. CONCLUSION AND RECOMMENDATION 5..………………………..3. 4.2. REFERENCES…………………………………………………………………. Unconditional Basic Return Analysis….3. 4. 5.1.………… 4.3.…………………………………………………. 33 36 37 44 51 62 62 88 107 94 94 95 96 98 ! "###! ! .3. 4.3. Moving Average Rule to The Lowest 5 Traded Stock (in Term of TradingValue)…………………………..4. 4.. Conclusion. 4.. Application of Bootstrap Methodology……….1.. Bootstrap Methodology Using Manual Simulation in Microsoft Excel………………………………………………………………. Analysis of Signal Generated From Observed Moving Average Rules…………………….……………………………………………………………… 5.1. Recommendation……... 4.……………………………………………….4...……………………….6. Further Analysis………………………………………………. 4.

LIST OF FIGURES Figure 3.. 25 Figure 3. 20 Figure 3.…………… 29 ! #$! ! ...3. Scheme of Data Extraction For The Study ………….…………. Illustration of Return Analyzed Under This Study ……..…..1..2...……………. Illustration of Research Process Under This Study……….

7 Result of The Application of Moving Average to Original BBRI.25 Summary of Result of The Application of Moving Average Rules to All Original Stock Series……………………………………………………… Table 4..18 Result of The Application of Moving Average to Original ELSA……….2 Descriptive Statistic Attributes of 1 Day UBR From The Original Series...8 Summary of Result of The Application of Moving Average to Original Highest 5 Stock Series…………………………………………………….. Table 4..14 Result of The Application of Moving Average to Original MIRA………..1 Schedule of Trading Session in Indonesia Stock Exchange ………... Table 4..24 Summary of Hypotheses From Application of Moving Average Rules To The Original Series…………………………………………………….. Table 4..13 Result of The Application of Moving Average to Original BBNI………..9 t-Test Result For The Highest Traded Stock in Term of Trading Value…..20 Result of The Application of Moving Average to Original CTRP. Table 4.1 List of Stocks Employed Under This Study …………. Table 4.……… Table 4. Table 3.19 Result of The Application of Moving Average to Original INKP.……… Table 4...……….. Table 4.12 Result of The Application of Moving Average to Original ITMG……….29 Result of The Application of Combined Moving Average Rules To The Bootstrapped Series………………………………………………………..... ! $! ! 9 22 34 35 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 52 53 54 55 56 57 58 59 61 63 64 . Table 4. Table 4..23 t-Test Result For The Highest Traded Stock in Term of Trading Value… Table 4.1 Descriptive Statistic of 1 Period UBR From The Original Series………… Table 4.LIST OF TABLES Table 2.22 Summary of Result of The Application of Moving Average to Original Highest 5 Stock Series…………………………………………………….. Table 4.15 Summary of Result of The Application of Moving Average to Original Middle 5 Stock Series……………………………………………………. Table 4.21 Result of The Application of Moving Average to Original CTRA……… Table 4... Table 4.6 Result of The Application of Moving Average to Original ASII. Table 4......….10 Result of The Application of Moving Average to Original TRUB……… Table 4. Table 4..26 t-Test Result Summary of The Application of Moving Average Rules to All Original Stock Series…………………………………………………. Table 4.28 Mean of 1 Period Unconditional Basic Return From The Bootstrapped Series……………………………………………………………………… Table 4. Table 4. Table 4.27 Mean Comparison Between Unconditional Basic Return From Actual Series and The One Resulted From Moving Average Rules……………… Table 4. Table 4..3 Result of The Application of Moving Average to Original BUMI……….……….16 t-Test Result For The Middle 5 Traded Stock in Term of Trading Value. Table 4...……………….17 Result of The Application of Moving Average to Original SGRO……… Table 4.5 Result of The Application of Moving Average to Original ADRO……….4 Result of The Application of Moving Average to Original TLKM………. Table 4.11 Result of The Application of Moving Average to Original BDMN……..

.31 Mean Comparison of Mean Return Generated From Sell Signal With Mean of Unconditional Basic Return in Actual Series and Zero Value….Table 4. Table 4.33 Summary of Result Over The Fraction Value to Hypothesis Conclusion For Application of Simple Moving Average Rules……………………….. Table 4...34 Summary of Mean Value of Signal Generated For Each Rule…………. Table 4. Table 4. 70 76 78 84 91 93 ! $#! ! .. Table 4.35 Result of t Test of Equality of Signals Generated Between Buy and Sell..30 Summary of Result Over The Fraction Value to Hypothesis Conclusion...32 Result of The Application of Simple Moving Average Rules To The Bootstrapped Series……………………………………………………….

which involve a deep analysis upon an asset’s financial condition. Recent findings in the Hong Kong capital market also show that technical analysis is prior to fundamental analysis in usage of analysis for investment. However. one of the central pillars in the academic finance. which also known as technical analysis. 165). But how does the technical perform in general condition? Some findings have shown that technical analysis may still perform as a value adding strategy to assist investor in better timing to buy any securities.1. most market participants place more emphasis on technical analysis in doing their investment. pp. 118. Background In analyzing any investment activities.CHAPTER 1 INTRODUCTION 1. 2001). Some others use market past data to predict the possible future price based on the statistic behavior of those data. Despite all of the problems to the academic world of finance. (Lui and Mole. 1 Universitas Indonesia . the main thing that remains an issue is whether this particular method of analysis is a profitable way? Some previous studies upon technical analysis have shown that technical analysis is not profitable once transaction costs is taken into account. and further also mentioned “with most market stand in weak form. we may unable to precit future price with the available data of historical prices”( Malkiel. Allen and Karjalainen (1999) in their study about the use of genetic algorithm to find technical trading rules found that the rules do not earn excess return with the buy – hold system after transaction cost. It is because it’s conflict with the market efficiency concept. By this condition. Some can use fundamental analysis. Recent findings in the U. 1981. Malkiel (1981) mentioned technical analysis as an “anathema to the academic world”.S. 139. especially for the one with a shorter time horizon (Oberlechner. market participants always have many alternatives of method for them to forecast the future price of any asset. 1998). In practical work. academics still treat this technical analysis with disdain.

which is heavily employed by market participants among many other methods of technical analysis. there has been many other development of moving average. the author conducted a replication of “The Study of Intraday Technical Analysis in U. Le Baron and Universitas Indonesia .S. actually. In spite of the popularity of moving average rule. technical analysis is also well known and heavily used in generating investment decision in the stock market. et al. Going specific. 2006). For stock market in Indonesia. we use the keyword tests “Technical Analysis in Indonesia” in Google Indonesia search engine and shows that technical analysis have 1. Equity Market” (Marshall. One of the proofs that showing how market participants really favor this particular method of technical analysis can be shown by looking at how well developed this method is. et al. moving average is one type of technical analysis.000 results in Bahasa Indonesia and 240.000 result in English and 391.180. especially after data snooping bias is taken into account. even quite an extended development like moving average convergence difference. wilder moving average. To show this. From the basic concept of Simple Moving Average (SMA) that exposed in 1930s.2 stock market with Standard & Poor Depository Receipt has shown that technical analysis is not profitable. (Marshall. 2006). This method has the capabilities to predict future trading signal based on the average moves of past data. which really ease investors in doing it. most chartists and investors believe it can generate a powerful yet reliable recommendation for investor.000 in Bahasa Indonesia (out of fundamental analysis with 153. This method has well developed throughout the statistical world since one of its first development for investment analysis by Gartley in 1930. what is the real value of this particular analysis method? Study by Brock.000 in English). weighted moving average. Those developments are such as the combination of short moving average and longer moving average. This short review can already shown us how the technical analysis is superior to fundamental analysis in Indonesia. Although the basic concept of moving average in predicting future trading signal is very easy. Some other studies also shown that this type of analysis generates a constant return until the period of 1987. exponential moving average.

investors and market participants in Indonesia stock market also need to know the value of this methodology that heavily used. the author will follow the most recent study of this value diagnostic study.3 Lakonishok (1992) has already shown that moving average (variable moving average and fixed moving average) has a positive return. which is the one developed by Marshall. providing a value diagnostic of the application of moving average for intraday stock trading. both academician and market practitioners. By that means. But this study that developed by Marshall. all the findings and study that assessing the value of technical analysis. Cahan and Cahan (2006) shows that technical analysis. under this study. employing bootstrap methodology. and supporting that this method of technical trading rule really has value. the author develops a study that diagnosing the value of employing moving average rules for intraday stock trading. By this means. Specific concept of the study. Le Baron and Lakonishok (1992) that focuses on daily stock return throughout a long period. But study that developed by Marshall. This study will provide the value of the application of moving average rule for intraday stock trading. Universitas Indonesia . which different from the one developed by Brock. will have a better and objective view upon moving average as one type of technical trading rule. However. including moving average. Le Baron. that described above only analyzing on the US Stock Market. Cahan and Cahan (2006) testing on the application of technical analysis (including moving average rule) for intraday stock trading. and Lakonishok (1992). But still the basic concept of this study will follow the first concept of value diagnostic using random walk – bootstrap methodology – developed by Brock. Cahan and Cahan (2006). And this is what the author trying to develop by this study. But what does it like for stock market in Indonesia? Since regarding all the condition upon technical analysis and moving average. including moving average method. And for this study. including series of data that used for observation will be explained further in the next part of this paper. hopefully people. This concept that the author brought in this study is simply the mix of the last two studies described. has no value in term of profitability.

Providing a better insight for market participants over the use of moving average rules for development of investment decision in Indonesian stock market. Universitas Indonesia . middle 5. the author trying to develop a more general conclusion that may apply for all stock listed in the stock exchange. with an adequate level of liquidity. 1.4 1. By this purpose.5. As a value comparison between return from employing moving average and unconditional basic return in Indonesia stock market. This liquidity aspect is added as the claim by technical analyst that technical analysis approach is most reliable on actively traded stock (Morris.3. 2. 1. Benefits of the Study The benefits of this study are as follow. As an answer to academic question over the value of employing moving average rules in making investment decision. Objective of the Study By the given problem definition. 3. 1995). under this study. Scope of the Study The Indonesia stock market subject to this study is the stock market data traded in the Indonesia Stock Exchange. the author will observe 15 chosen stocks based on the highest stock traded in term of trading value in Indonesia Stock Exchange year 2009. However. 1.2.4. objective of this study is to find out the real value of employing moving average rules in intraday Indonesia stock market trading in comparison with the market real return This study will show the value of stock return gained from employing the moving average technical analysis trading rules observed. Problem Definition The problem that will be observed in this study is whether the use of moving average as a form of technical analysis approach in intraday Indonesian equity market trading is really have value in comparison with the unconditional basic return or not? 1. As a proxy for investor and fund mangers over the real value of moving average trading rule in Indonesia stock market. 4.

CHAPTER 5 CONCLUSION AND RECOMMENDATION This section presents the conclusion obtained from this study and the following recommendation regarding the result. Universitas Indonesia . This section also presents the author’s analysis regarding the results. and development of analyses under defined hypotheses. application of bootstrap methodology for this study. CHAPTER 4 ANALYSES. the data will be used is intraday 10 minutes closing stock price data. This section also presents a suggestion for future study as a follow up of this paper. Including presentation of output from applying moving average rules to observed stock data series.5 and lowest 5. which access provided by a liaison of brokerage firm Wang Al Trading Associates and www. and also the scope of the study itself. This data was obtained from Indonesia Stock Exchange trading server directly. problem that is defined for this study. CHAPTER 2 LITERATURE REVIEW Review of relevant concept from and development of published literature in investment.com.duniainvestasi. efficient market hypothesis. purpose of this study and benefits it may brings. 1. CHAPTER 3 METHODOLOGY This section covers comprehensively the methodology and tools used in conducting this study. Outline This paper is organized in the following way : CHAPTER 1 INRODUCTION The first section of this paper presents the background that lead the author to conduct this study. Including presentation of stock price data chosen and the process of choice. technical trading rules. And for this study.5. and the concept of bootstrap methodology for financial research. RESULTS AND DISCUSSIONS This section covers the main part concerning the study developed in this paper.

The two philosophy of this security analysis are: Using technical or fundamental analysis to analyze any securities that is mispriced by being over or under priced. by expecting of taking future money with uncertainty. 10).CHAPTER 2 LITERATURE REVIEW 2. Analyzing securities By this process. The concept of investment also employs two basic concepts of take and give.1 Investment Investment is a form of present commitment to give some amount of money owned in order to gain a future income. b. the next step to do is to make a choice of assets to be included as investment portfolio including the weight of money invested to each asset. Creating portfolio Based on the analysis result from previous section. These steps are as follow: a. Investment objective also have to be stated clearly by return and risk of investment. The two important variables that is attached to the definition of investment is time and risk. needs of cash. giving some of certain present money. etc. an investor has to assess the securities targeted individually. For securities that still at this par. Setting investment policy and objective Investor needs to set up their investment policy and objective. including the amount of money to be invested as well as the maximum risk tolerance of investment. According to Sharpe et al (2005 pp. there are some investment processes that should be followed by investor to attain a good investment decision. the choice of securities can be based on risk preference. c. 6 Universitas Indonesia . investor risk.

Rit Pit Pi(t-1) Dit : Return of stock i in time t : Price of stock i in time t : Price of stock i in time t-1 : Cash dividend of stock i in time t Universitas Indonesia .7 By creating portfolio. The term yield here defined as a series of cash flow paid periodically to stock’s owners in term of dividend. Stock Return Home and Wachoviz in their seminal paper define return as a “benefit which related with owner that includes cash dividend last year which is paid.1. 124) brought other definition of return as simply an aggregate of yield and capital gain (or loss). d. Revising portfolio After a portfolio of asset is created. This return is counted based on historical price with following formula : (2. 2. together with market cost appreciation or capital gain. investor may maximize the return and minimizing risk at the same time. capital gain (loss) is the difference between initial price with selling price. we can infer that a return of any particular stock may have a negative value.) Where. which is realization in the end of year”. investors have to revise its portfolio to account for improvement in this portfolio. This condition occur when current price of a particular stock is lower its initial price.2. This improvement can be done by excluding any specific asset or adding other new asset in order to increase the return or minimizing the risk. From that given definition. e. which proxy is return and retained risk of the portfolio with market in overall. While Jones (2002. pp. While. Evaluating portfolio performance In this step investor will do a comparison of portfolio.

1977. Further. But actually this capital market in Indonesia has been established ling before 1977. Indonesia Stock Market The function of capital market as a non-bank financial intermediary in Indonesia is served by Indonesia Stock Exchange (Bursa Efek Indonesia). whose focus on bond trading. This concept of return brought by Suad Husnan (1998.3. into Indonesia Stock Exchange (IDX). This condition last until JSX was privatized in July 13. The final major change that happened to this market was the merger of JSX and Surabaya Stock Exchange. stock code is SMCB) as the first issuer. Rit Pit Pi(t-1) : Return of stock i in time t : Price of stock i in time t : Price of stock i in time t-1 2. The next improvement happened by the year of 2000. After the privatization Jakarta Stock Exchange were steadily developed and having its gold era. Then after the year of 1977.2) Where. all the capital market Universitas Indonesia . so any statistical analysis related to that return data would not be bias. Legally it was established by July 10. under the government of Soeharto era. the capital market in Indonesia is re-established with PT Semen Cibinong (now named as PT Holcim Indonesia Tbk. the first version) in May 22. 1995. By this concept. were all the trading activities happened in JSX went into script-less. then the amount of stock return will be computed as follow: (2. and named as Jakarta Stock Exchange (JSX). JSX in Indonesia performance was dull and did not have any significant development as stated in the history of Indonesian Stock Exchange that broadcasted in their website. From this year of 1977. 54). One of the developments that JSX has was the employment of Jakarta Automated Trading System (JATS. It was firstly established in 1912 in Batavia during the Dutch colonial era for the sole interest of Dutch East Indies. 1992.8 While another method of counting return do not account for dividend. pp.

the trading day is happened from Monday to Friday.30 WIB 14.4. Table 2. This division of market session is the same for Monday to Thursday. Each day. further explicated Time 09.id/docmodul/perkembangan_pasar_modal/BAB%202. Stock Trading Process in Indonesia Stock Market In Indonesia Stock Exchange. Some basic premises to imply this efficient market concept are. Efficient Market Hypothesis Efficient market hypothesis is one concept that has been widely developed among capital market.00 WIB 13. which aim to maximize their profit. the market session itself is divided into two sessions.3.ac. Efficient market requires that a large number of rational market participants.%20MEKAN ISME%20PERDAGANGAN%20BEI.30 – 12. The details of market session division are as follow.9 function in Indonesia done by this self-regulatory company. 2.pdf . 2007). whereas one lot equal to 500 stocks. including the stock market function. In general this term efficient market means that security prices reflect all available information in the market (Elton. and special for Friday concerning the Moslem’s praying activities.30 – 11. Brown. Goetzmann. Schedule of Trading Session in Indonesia Stock Exchange Trading Day Monday – Thursday Friday Trading Session 1st Session 2nd Session 1st Session 2nd Session Source : http://elearning. Gruber.30 – 16.gunadarma.00 WIB 2. and the market is closed in Sunday and Saturday. to analyze and value the securities traded in the market independently one to each other.1.00 – 16. stock trading is denominated in lot. In the stock market itself.00 WIB 09.1. a. There is no minimum trading limit in stock value. but only by its number of lot. Universitas Indonesia .

any investors who based their investment decision on any public new information will only get a slight return from the securities’ risk adjusted return by the transaction made. Weak Form The weak form of efficient market hypothesis assumes that all the available historical prices information already reflected in the current prices. already reflected in the current prices.10 b. The subdivisions of this efficient market concept are a. Further. By this Universitas Indonesia . Although the adjustment itself will be imperfect. b. this concept of efficient market concept has been subdivided into three forms of efficient market. as according to Fama (1970). c. Strong Form The strong from of efficient market hypothesis contend that current securities prices already reflect all information regarding those securities. c. it is still unbiased. Since the securities prices already take this new information into account. Rational market participants. By this assumption. both public and private information. and have no relationship with future prices and rates of returns. this form then imply that past historical data over securities prices and returns are independent. which is accessible for investor. Semi Strong Form The semi strong form of efficient market hypothesis assumes that all the publicly available information in the market. The new information related to any securities comes to market in a random fashion with independent timing of announcement for each of information. By this means. which aim is to maximize their profit. By that assumption. so technical trading rule that based on historical past data will only provide an investor with a little gain. would adjust their security prices rapidly as the effect of new information.

in setting an investment decision. moving averages. a. Technical analysts also believe that a change in current price may be used for a prediction of forthcoming change in the fundamental variables. Market value (prices) of securities sold in the market is solely based on the interaction of its supply and demand. Dahlquist. several assumptions regarding this practice should be hold. cycles or.5. classically. Random Walk Hypothesis Another hypothesis related to efficient market hypothesis is random walk hypothesis. These rules are such as the relative strength index. Technical Analysis for Investment Decision Technical analysis is a methodology in security analysis discipline for forecasting the future direction of prices through the study of past market data. inter-market and intra-market price correlations. These assumptions firstly summarized by Levy (1966) to support this view of price movements in predicting future condition. Underlying Assumption of Technical Analysis Since technical analysis based its analysis on historical data and trends to predict future behavior of the market. Thus. because the market its own best predictors. technical analyst will only use the data from the market itself. This hypothesis is actually the base of efficient market hypothesis itself. 2.3) By this use of past market data. this hypothesis contended that stock prices come in random fashion. primarily price and volume (Kirkpatrick. regressions. there are several rules of technical analysis that is commonly used by market participants.11 assumption.4. This hypothesis assumes that successive returns are independent and identically distributed. 2006. Universitas Indonesia .5. through recognition of chart patterns.1. then there will be no group of investors who will gain above-average risk-adjusted rates of return from their investment decision. The assumptions are. 2. By that definition.1. like company earnings or risk. p. 2. before the signal already predicted by a fundamental analyst itself.

technical analysis offers some advantages as admitted by most technical analyst. This come as a matter for technical analyst since they contended that accounting statements follow some special major problem. earning or any other component of financial statements. and process it quickly and precisely.5. opinions. Advantages and Challenges of Technical Analysis In contrary with fundamental analysis. this method of investment decision also brings up some challenges and contradictions. 585) state these advantages in contrast with fundamental analysis as follow. a. b. Fundamental analysts can only experience an extraordinary return only if they have obtained a new and material information before any other investors and market participants. d.12 b. which is likely to persist for some period of time. Besides a series of advantages that can be obtained from technical analysis. c. 2) Accounting statements have many different standards that would likely lead to different in value. The supply and demand in the market are governed by rational and irrational factors. 3) Psychological and other non-quantifiable factors do not get reflected in a financial statement.2. and guesses. Universitas Indonesia . pp. 2. which are. like economic factors as well as mood. The trend of a securities or market value will change as a reaction to any shifts in supply and demand relationships. Technical analysis does not rely heavily on financial accounting statements. as in term of technical analyst perspective. Both prices for an individual securities and overall value of the market tend to move under a specific trend. 1) Lack a great deal of information that strongly needed by security analysts. And theses shifts itself can be detected sooner or later by the action of market itself. Reily and Brown (2005.

3. they will buy the stock in way that the stock price will increase in price until the predicted level. for an investor to generate a superior risk-adjusted return. The third challenge for technical analysis is the obvious challenge that the past price patterns or relationships between specific market variables and stock prices may not be repeated. The next major issue that comes up with the existence of technical analysis is the concept of efficient market hypothesis. As the test to support the weak form of efficient market hypothesis. This will be applied when most technical analyst predict that future price of a particular stock will reach certain level. For some specified price pattern. That is why Malkiel (1981) called it as an “anathema for the academic world”.13 The very first contradictions brought by technical analysis. many studies have found that prices do not move in trend based on statistical tests of autocorrelation and runs. The next challenge for this technical trading rule is that the success of a particular trading rule will encourage other market participants to adopt that trading rule. as previously explained in this chapter. as firstly stated in this paper background is its lack of supporting theorem that support the use of this method in predicting future prices and returns. Since for technical trading rules. By this term. Furthermore. Methods of Technical Analysis There are many methods that widely used by market participants to generate an investment decision that may classified as technical analysis. two technical analysts may result a different investment decision. Another challenge is the condition which many price patterns become selffulfilling prophecies. the resulting competition will neutralize the technique.5. 2. the application of technical analysis relies on a great deal of subjective judgment heavily. Among those Universitas Indonesia . By this adoption. This subjective judgment can also create change in standard value of technical values over time. the market would have to be slow to adjust for any additional change in securities’ information. the market have to be inefficient. This enforces the condition by which the technique that previously worked might miss subsequent market returns.

14 many techniques. Moving averages are generally used to measure momentum and define areas of possible support and resistance. were developed by Wyckoff (1910). b. a buy (sell) signal is generated when the price moves above (below) the longer moving average. Filter rules are created from analyzing the historical price trends of a security which involves buying (short – selling) after price increases (decreases) by x% and selling (buying) after price decreases (increases) by x% from subsequent high (low). c. Some evidence from the market practitioner source of information mention that this particular trading rules is rarely successful for creating trading profit for investor. This rule attempts to guide investors towards buying and selling patterns that will be the most profitable. because at this point a trend is considered to be initiated. This moving average rule is an indicator frequently used in technical analysis showing the average value of a security's price over a set period. In its most basic form. methods that widely used is the one involving past securities price and volume movements. Support and Resistance Rules Support and resistance rules were mostly known as “Trading Break Rules”. a. Universitas Indonesia . Herewith some of the most popular technical trading rules that involving historical prices data and volume movements. This rule involves buying (short – selling) when the closing price rises above (falls below) the maximum (minimum) price over the previous n periods. Moving Averages Rules Moving average rules is one of technical analysis form that widely used by market participants. Filter Rules Standard filter rules were firstly introduced by Alexander (1962). which was developed by Gartley (1930).

…. This method is calculated by keep a running total of the indicator for each period. En) as n IID draws from a total distribution of F. According to Brooks (2002). However under this study. Bootstrapping Methodology for Financial Research 2. And a channel is said to be occurred when the high price over some previous n periods is within x% of the low over the previous n periods. when the basic assumption of independent and identically distributed population is met. which each is obtained through random sampling with replacement from the data set. e. This paper only examines the moving average technical trading rule.6. In this case.En. 2. Since moving average is one of the most simple technical trading rules that mostly employed by market participants. To explain this method of simulation.6.…. and it involves sampling repeatedly with replacement from the actual data. and adding (subtracting) the entire amount of daily volume when the closing price increases (decreases). we can follow as what Efron (1982) presents. Trading Range Breakouts Rules A price channel is a pair of parallel trend lines that form a chart pattern for a stock or commodity.1. Firstly we let a distribution of data (E1. excluding current price. Then we may let T(E1. bootstrap is used to obtain a description of the properties of empirical estimator by using the sample data points themselves. Bootstrap Methodology In statistics.15 d.F) be a random variable of Universitas Indonesia . One of the available processes for this step of approximation is from the empirical distribution of the data itself. the author not testing all those described type of technical analysis. the approximation can be implemented through construction of resample of the observed data. bootstrap simply refers to the practice of estimating properties of an estimator (like variance) by measuring those properties when sampling from approximating distribution. On Balance Rules On balance rules is another method of technical analysis that about to be observed through this study.

n. while only small sample of data available. When the sample size is insufficient. 2. Prob{…} denotes the probability of event {…}.2.6.(2008). Then we may estimate under this bootstrap simulation of probability (2. Universitas Indonesia .3) by (2.….En. it provides an indirect method to assess the properties of sample distribution and any of its derivation.4) by (2. Benefit of Bootstrap Methodology Referring to Adèr et al. Lakonishok and Le Baron (1992).En.5) where IA denotes the indicator function of event A when take the value 1 under occurrence of the event and 0 otherwise. (each of which consists of n IID draws from Fn .16 interest which may depend directly on F.F) under total distribution of F by the distribution of T(E1. Bootstrap method then can be done by taking B bootstrap samples. 2. Then from this distribution.….Fn) which is under the distribution of Fn. bootstrap estimation then simply estimates (2. When the theoretical distribution of statistic is complicated or unknown. bootstrapping methodology will be useful under following circumstances : 1. 3. Further as the explication by Brock.…. Since the bootstrapping methodology is unrelated to the sample distribution. let Fn be the empirical distribution that put mass 1/n on Ei. When a powerful calculation need to be performed.4) In this case. i=1. Bootstrap methodology provides a way to account for any distraction of the underlying sample that may not be fully represents the population.2. From this the bootstrap methodology is done by approximating the distribution of T(E1.

The only solution for such circumstance is to use the moving block bootstrap. One method to get an impression of the variation sample’s statistic is to use a small sample and perform bootstrap methodology to get the impression of variance.6. Following Efron Universitas Indonesia . Non-independent data The basic assumption that relied on bootstrap methodology is that data samples are independent of one another. and how often it appears. technical trading rule that worked in the past continue to be tested. the results for a given replication critically on whether the outliers appear. Data snooping occurs when the same set of data is used to construct trading rules and also to test them. 1. Situations Where Bootstrap Will Be Ineffective Further. in the sample universe. 2. over a long period of time. While according to Brooks (2002). Those conditions are. Brooks (2002. Le Baron and Lakonishok (1992) such test is not required. bootstrap methodology may be used for detecting data snooping in the context of tests of the probability of technical trading rules. This method allows for dependence in the series by sampling whole blocks of observation at a time. the application of bootstrap methodology will have some use for finance studies. Existence of outliers in the data With the existence of outliers within the data. the author does not conduct any test to check existence of outliers or autocorrelation within the data.17 Most power and sample size calculations are heavily dependent on the standard deviation of the sample’s statistics. 2. That is. However under this study.3. while the one did not perform will be faded away. Intra-generational data snooping is said to occur when. This will obviously not hold if there are any autocorrelation within the data. Since regarding to Brock. pp.588) also mentions several conditions in which the use of bootstrap methodology in finance studies will be ineffective.

This recent study for Indonesia’s equity market is made in replication of the study developed by Brock. which evaluate the simple technical trading rules while quantifying data snooping effects and adjusting its effect to the universe from which the trading rules were drawn. and the Exponential GARCH. moving average rules. the random walk. is positive and greater than zero in comparison with return from buy and hold strategy. Previous Studies Previous studies over the profitability of technical analysis have been done in some other market.18 (1982). This study found that buy signals consistently generate higher returns over the sells signals. and in general. This study was using the stock market index. Timmerman and White (1999). and not assessing the real valu of moving average itself with the unconditional basic return of the series. the application of moving average and trading range break rules observed provides value for investors. and Le Baron. Jakarta Composite Index. 2006 and focusing only to the moving average rules. Timmerman and White has make an approach to fit the null models to the data. Lakonishok. Further study then done by Sullivan. Lakonishok and LeBaron (1992) has tested the trading range break and moving average rules by using the Dow Jones index. These study developed by Sullivan. the GARCH-M. This study developed by Fuadi (2007) also do not account for intraday equity market Universitas Indonesia . generating random series and comparing the result from running the rules on the original series to those from running on the randomly generated bootstrapped series. Brock. from June 1. 2. And this study found that the return made from technical analysis. the last findings in the technical analysis value diagnostic in Indonesia focus only on the return comparison between employing moving average and buy and hold strategy. 1990 until June 30.7. the AR(1). this problem of outliers and autocorrelation can be solved by employing moving block bootstrap. However. with White’s reality bootstrap technique. The only study found regarding the value and profitability of technical analysis in Indonesia’s equity market is the one developed by Fuadi (2007). This study then compared with four popular null models.

But equivalent study for the equity market in Indonesia has not yet developed. Cahan. and Cahan (2006) over the intraday stock market data in United States. Universitas Indonesia .19 analysis. and this is what is going to be captured by this study. The previous study that account for this intraday technical analysis and as well as the data snooping bias is the one that developed by Marshall. which actually is important because technical analysis is heavily employed by stock traders over the time horizon.

then the list of securities that will be employed in this study will follow the process specified under following scheme : Stocks Listed in Indonesia Stock Exchange Year 2009 Trading Value Analysis (Based on IDX Statistic) 5 Highest Stock in Term of Trading Value 5 Middle Stock in Term of Trading Value (Around The Median) 5 Lowest Stock in Term of Trading Value Yes No Stock Data That Will Be Used For The Study Stock Data That Will Not Be Used For The Study Figure 3. The year of 2009 itself is chosen so this study is employing the last updated data for a full time year. under the assumption that Indonesia stock market in 2009 already exited the crisis.CHAPTER 3 METHODOLOGY 3.1. 2009 and December 30. By this time range.1. Scheme of Data Extraction for The Study Source : Author’s Explication 20 Universitas Indonesia . This date parameter is chosen to exclude the effect of stock market crisis that hit Indonesia Stock Exchange by August 2008. 2009. Data This study employ set of intraday stock data that is traded in Indonesian Stock Exchange between January 5.

then the author choose the stock to be employed from the top five stocks in the list. the very first criteria to get stocks data to be employed under this study is its trading volume. the author based its choice of data from 50 Most Active Stocks by Trading Value in 2009 (taken from IDX Statistics 2009). 2009 and were not suspended within those days. whether its highly traded or not. This category of choice is based on the purpose to capture the general application of technical trading rule for all stocks traded in the market. 2009 to December 30.21 Based on that scheme. From this list of these 50 stocks. stocks that will be employed in this study are presented in the following table : Universitas Indonesia . By those parameters of choice. and mid five stocks in the list. To capture a wide and common perspective of what is it likely to happened in the market. those selected stocks should be checked whether they were fully traded in the formal trading days within January 5. From this first selection. the lowest stocks in the list.

While Cahan. Tbk Ciputra Development Tbk Ciputra Propert. Tbk. for a time range within January 5. Astra Internasional. since by the interval of 5 minutes. there is still no distinct and rapid change in stock prices traded. Tbk. The idea of using 10 minutes intraday data is quite different with the journal that base this study. Truba Alam Manunggal Engineering. 2009 there will be 7956 data for each stock observed. Tbk. Sampoerna Agro. Tbk. Tbk. By this type of data range and selection employed under this study. Tbk. Cahan and Marshall (2006) in their seminal paper that tests the profitability of intraday technical analysis in US Stock Market use 5 minutes intraday data as their basis of study. Tbk. Bank Rakyat Indonesia. Tbk.22 Table 3. Indo Tambangraya Megah. Adaro Energy. Bank Negara Indonesia. List of Stocks Employed Under The Study (presented in order of the top 5. Universitas Indonesia . Mitra International Resources. 2009 and December 30. Telekomunikasi Indonesia. Bank Danamon. and lowest 5) Stock Code BUMI TLKM ADRO ASII BBRI TRUB BDMN ITMG BBNI MIRA SGRO ELSA INKP CTRA CTRP Company Name Bumi Resources. Source : Author’s Explication From these list of stocks. Tbk. Elnusa. It is all in order to capture more change in intraday stock prices of stock traded in Indonesia Stock Exchange. middle 5. Tbk. the author then collect 10 minutes intraday data of those stock. Indah Kiat Pulp and Paper. Tbk.1. Tbk. Tbk.

2. This computation of return will be done per 10 minutes of data range gathered. And for overnight return.2.1) Whereas. the author simply input the last closing price of day t-1 with the first closing price of a particular stock in day t to the return formula. (3. Computation of Basic Return The first process to be employed to set of data that already gathered is to compute the basic unconditional return. Further in this study. for 7591 intraday stock price data that is employed. Data Processing Scheme 3. Having these stock return data gathered. there will be 7590 stock price return data. 3. 3.2. pp. standard deviation. this result of computed return will mentioned as unconditional basic return (and coded as UBR in the table presentation).23 The author collected these intraday data from Indonesia Stock Exchange database server as already explained in the Scope Of Study of this paper (see Chapter I).2. By this scheme of computation. the author assume that all the given closing price data taken is a continuous process of trading activities. 54) which already presented in the previous chapter. the author would also employ the technical trading rules that is analyzed under this study. Universitas Indonesia . SMA(n) = the value of simple moving average with characteristic of n past data observed. simply as the formula of return by Suad Husnan (1998. which is the moving average to the actual closing price observed. Application of Technical Trading Rules After having all the basic return computed.1. kurtosis. skewness. Firstly the author employs the Simple Moving Average as firstly developed by Gartley (1930) with formula as follow. The first rule to be employed is the moving average rule. we will examine the distribution of statistic of these data using the following standard statistics: mean. By this means of computing the return.

SMA 10. Whilst. we will then compute the return of signal generated. To provide a better look upon this concept of return that will be treated along this study. and vice versa for the sell signal. The return that mentioned here. and 200 periods as the longer moving average. From this simple moving average computation. A buy signal generated when a shorter moving average line intersect a longer moving average from below. 150 periods. which employ the moving average of 5 periods as the short term moving average and moving average 50 periods. SMA 5.200). and SMA 15. the author also employ the most used moving average trading rule by investor. Still with the moving average rule. The SMA 5 itself means that computed moving average from the last 5 period of closing price (the last 5 closing price per 10 minutes). investment decision is based solely on the comparison between the closing price and the simple moving average computation. and so on for the SMA 10 and SMA 15. From this generated signals from employed moving average rules. The type of this moving average rule that we use as proxy is then the MA (5. Those stock price series throughout the observed period will be as follow : Universitas Indonesia . including the unconditional basic return. where’s combining a short moving average and longer moving average. is basically the gain of opportunity cost that investors may avoid (or experience) as the result of following the signal generated.150).50). MA (5. under the employ of such rule. MA (5.24 Pt n = Stock price observed at time t = the number of observation that characterize the SMA This Simple Moving Average (SMA) we employ is the one that widely used by most chartist. we may consider the following scheme: Suppose there is a 10 set of stock price data that occur respectively in each of 10 periods observed. buy (sell) signal is generated when the current closing price is higher (lower) than the computed simple moving average.

1. the return generated from buy signal is then 10% (because investors do not have to buy this stock in 10% higher price). since this is the last period before the price increase. While sell signal is supposedly occur in t=5. Meanwhile.2. for the return generated from sell signal. and for t=9 the return generated from buy signal is 5%. From this generated signal. This computation is simply the change in price over each period observed. the return that we focus is the gain from opportunity costs that investors do not have to expensed by purchasing a stock with higher price. and t=9. there will be several buy and sell signal generated. the return is simply still the difference in price of stock sold with the previous period. In which we will denote return generated from buys signal as RGBS and return generated from sell signal as RGSS. Universitas Indonesia . Further in this study. these return generated from sell and buy signal will be presented most in code (especially for table presentation). we can see the set of 10 stock prices mentioned. But for the buy signal. when the price still about to decrease. Assuming any technical trading rules is employed (whether it is moving average or not) to the stock prices. what we focus is still the real return experienced by investors by executing the signal. Buy signal is most likely to occur in t=2.25 t 1 2 3 4 5 6 7 8 9 10 Price UBR 100 100 0% 110 10% 115 5% 115 0% 110 -4% 105 -5% 105 0% 105 0% 110 5% 1% avg Figure 3. Illustration of Return Analyzed Under This Study Source : Author’s Explication From Figure 3. which is 0% for the given sample. And the unconditional basic return is noted in the line name UBR (stands for Unconditional Basic Return). and the mean return (noted above the cell named AVG) is simply the average value over the 10 periods. So for the return generated from sell signal. the return generated from buy signal then simply the gain from opportunity cost that experienced by investors. In which. and buy signal become useful and valuable at this moment. for t=2.

and Lakonishok (1992). the author will employ to methods.ROWS(sample)*RAND()+1.html !"This Universitas Indonesia . by using instant bootstrap by using formula in Microsoft Excel. Bootstrap Simulation Using Microsoft Excel For the second method in applying the bootstrap simulation. but for this bootstrap simulation the author employing limitation of data randomness.revoledu. We resample this series up to 500 times to create a random walk series as the replication of the study developed by Brock. The basic formula employed is the simulation of data using random number formulation.3. We resample this closing price universe with replacement. To employ the bootstrap methodology. PhD in SPC Software for Excel Guide Help. Application of Bootstrap Methodology Having the actual closing prices return computed using the basic return and also the application of technical trading rules.com/kardi/index. But in order to follow the bootstrap method. by which the real closing price as the basic sample of data lists to resample the series. Le Baron. As this previous study as well.2. a. This is what differentiates the simulation employed under this study with Monte Carlo simulation whereas the random number do not limited to the sample from actual series of data.COLUMNS(sample)*RA ND()+1)1 (3. The formula used for bootstrap in Microsoft Excel is as follow : =INDEX(sample.26 3. the next step under this study is to start simulating the actual closing price using the bootstrap methodology. which is the actual series of data. this indexing process will be only formula of bootstrap simulation is taken from tutorial provided by Kardi Teknomo. Referred to site http://people. the author use basic formula from Microsoft Excel.1) This formula basically aims to make an index in the specified space in Microsoft Excel worksheet. by having a larger number of repetitions (up to 500 times) will generate a lower value of standard error (for 500 times of replication the standard error will be .

The very first analysis process is to review the value of the application of moving average trading rule to the original data series. neglecting any time series effect such trend. we may infer the average return from employment of technical trading rules in general condition. (2) the fraction calculation of sell recommendation that generates positive return (as well as the one with buy recommendation). the next step is then to employ the technical trading rules to the simulation series and count the return.27 referred to the original data series. This general term may taken into conclusion since the simulated bootstrap able to show us the general condition over time of the possibilities up and down condition of securities closing price. Universitas Indonesia . to determine which one has a greater value. Process of Analysis Under this study.3. So this formula also adds randomness in tem of its row and column. the index should also contain randomness characteristic of a simulation. 3. The review process including three aspects whereas: (1) t-test probability analysis of buy and sell return from application of moving average with the basic unconditional return. Then to obtain the conclusion of profitability we conduct a t-test ratio from the mean return from the employment of technical trading rule in simulated series with the unconditional stock price return to show the equality (or inequality) between two results. Having the original data series as set the sample and being put into the index formula. and (4) mean comparison between the return resulted from moving average rules and basic unconditional return. (3) t-test probability analysis of difference in buy and sell return from the application of moving average with the basic unconditional return. From this computed return from the application of technical trading rule to simulated series. which the randomness will only refer to the specified sample as well. which is the sample in this formula. Having this actual closing price re-sampled. there are several methods of analysis to capture the value diagnostic of observed moving average technical trading rule.

the hypotheses that will be tested under this study are as follow : 1. the last analysis process is once again the duplication of the previous steps of analysis process. General Hypothesis As the main concept of this study is to show the equality or inequality of return generated from employing moving average rules and unconditional basic return. Then. ( p value of t test < 0. The main difference with the last process is whereas the comparison here is made between the application of moving average trading rule to the bootstrap simulated series. Whilst in this second analysis process. Following Hypothesis For the following hypothesis.025. under two tailed test with 5% significance level) This general hypothesis then will be constructed throughout this study. 2. under two tailed test with 5% significance level).025. H0 = There is equality of return generated from moving average rules with unconditional basic return. 3. Hypotheses From described method of study and process of analysis. whether the one between the result of actual moving average return with unconditional return from original series. except the data series that taken into consideration. (p value of t test >= 0.4.28 The next analysis process is basically the same with the first one. H1 = There is no equality of return generated from moving average rules with unconditional basic return. the concept is to view which resulted return have a bigger value to determine whether the employ of moving average is outperformed or not. or the one with the bootstrap process. the author employs the aspects of analysis in the first process onto the bootstrap simulated series. Universitas Indonesia . the general hypothesis will be. with the return from application of moving average trading rule to the original data series and also with the basic return from the original data series.

( !-return moving average <= !-unconditional return). ( !-return moving average > !unconditional return). H1 = Return resulted from employing moving average rules greater than the return original unconditional return. Illustration of Research Process Under This Study Source : Author’s Explication Universitas Indonesia . the steps of research will be as follow : Observed Intraday Stock Prices Data Applying Moving Average Trading Rules Computation of Unconditional Basic Return Bootstrap Process Return From Application of Moving Average Unconditional Basic Return Applying Moving Average Trading Rules Computation of Unconditional Basic Return Return From Application of Moving Average Unconditional Basic Return From Bootstrapped Series Paired t Test Paired t Test Paired t Test Hypothesis Hypothesis Hypothesis Figure 3. Steps of Research From the elaboration of methodology employed under this study.3. 3.5.29 H0 = Return resulted from employing moving average rules is not greater than the return original unconditional return.

though mostly is still in Indonesia. Bumi Resources. RESULTS. Telekomunikasi Indonesia. which focus is providing telecommunication service in Indonesia. Kaltim Prima Coal. Currently the company owning several mining business units located around the world. Gallo Oil (Jersey) Ltd. Telekomunikasi Indonesia. These 15 stocks are chosen based on its trading value published in IDX Statistic 2009. 4. 1995. The stock of this company has already listed in Indonesia Stock Exchange under quote TLKM since November 14. Tbk is a state owned corporation. Tbk. PT. PT.1. Those business units are like PT. which mainly focus on coal mining. Herewith brief profile of the 15 business entities which stocks chosen as the object of this study : 1. and Enercorp Ltd. Description of The Research Sample As already explained in the previous chapter. Tbk. PT. this study examines the use of technical trading rules for intraday trading of 15 stocks listed in Indonesian Stock Exchange. 29 Universitas Indonesia . is a mining company. which the author choose the top highest 5 traded stocks in term of value. Arutmin.CHAPTER 4 ANALYSES. Bumi Resources. This company was firstly listed in the Indonesian Stock Market by the year of 1990. Tbk. This company’s stock is also traded in New York Stock Exchange. 2. including the analysis of it. and the lowest 5. AND DISCUSSIONS This part of study will present the result of each step of the study. This company has been established since October 23. PT. 1856. the middle 5. London Stock Exchange and Tokyo Stock Exchange.

and is a significant supplier to the global seaborne thermal market. mainly in automobiles trading and also serves as authorized resellers for some automobiles brand in Indonesia. heavy equipment. Firstly serve as a contractor agency corporation. Currently this company has 6 different line of business. Universitas Indonesia . is a state owned bank which also the oldest bank in the country as well. financial services. PT. Tbk was established in 1957 as a trading company. PT. This company also operates the largest single coal mine in Indonesia. Bank Rakyat Indonesia. Since 1990. PT. 5. 6. this limited liability company also provides a one stop solution in construction and engineering. this company main business is in coal mining and energy mining as well. the bank keeps on growing until being one of the largest bank in Indonesia. PT. PT. Tbk. until today the bank also keep on focusing on developing real sector and lower economic people through it’s banking services. 4. This bank has been established since 1895. PT. mining and energy. including electrical set up and planning. including automobiles. Tbk. Tbk. PT. As the position itself. Astra International. Tbk. is currently the second largest coal thermal producer in Indonesia. Adaro Energy. PT. this company then experienced its rapid development. Since then. information technology and also infrastructure. But further by its development. Adaro Energy. Astra Internasional. And as its first value on establishment. this company has started to go public by have its stock listed in Indonesia Stock Exchange.30 3. Truba Alam Manunggal Engineering was established in Balikpapan on February 1. which made it well known by its power plant business altogether with the electrical set up that using coal energy. Tbk. By its development. Tbk. 2001. Bank Rakyat Indonesia. Truba Alam Manunggal Engineering. with its first name Hulp-en Spaarbank der Inlandsche Bestuurs Ambtenaren .

Tbk. Today. Tbk. this bank has served several crucial duties in the country’s monetary sector. First field planting within the Sampoerna Agro Group was done by PT Aek Tarum back in 1989 followed by the establishment of PT Universitas Indonesia . This bank was firstly established in 1956 inder the name PT. PT. Mitra International Resources. PT. is the one of the first private limited liability banking corporation that exists in Indonesia. was firstly established under the name of PT. Bank Danamon. This company is one of the leading oil and gas mining contractor in the country.31 7. Tbk is also one of the biggest bank in the country. Indo Tambangraya Megah. Bank Negara Indonesia. as well as marine rigs and FPSO in the region. Tbk. 9. Tbk. 8. It was 20 years later that it changed its name. Today. as well as corporate structure and culture. including change of ownership. PT. PT. Indo Tambangraya Megah. In its process of development. Altogether with other several state owned banking corporation. this company owns the largest and growing fleet of land. 1987 and have its shares traded publicly in Indonesia Stock Exchange by December 18. PT. This bank was established in 1946. including as a regulatory bank. This company was established on September 2. Bank Danamon. Tbk. Currently. 10. In it’s development. PT. this company is one of the most well respected banking corporate in Indonesia. Mitra Rajasa. PT. Tbk. 2008. PT. and considered as one of the biggest player in the market. PT. which made it as the first bank that established by the government of Indonesia. Sampoerna Agro. this bank only serves as commercial bank. Tbk. Bank Negara Indonesia. and central bank. Tbk. Bank Danamon Tbk has experienced a lot of changes. Bank Kopra Indonesia. PT. 11. Tbk. Mitra International Resources. is a leading Indonesian supplier of coal to the world’s energy markets.

Tbk. Currently. 12.2. Ciputra Development has spanned its operations and currently develops and operates 20 residential and commercial properties in 13 major cities throughout Indonesia 15. Tbk. PT Elnusa Tbk. 13. PT. namely geoscience. PT. this company possesses over 40 years of experience in integrated upstream oil & gas services industry with a clientele that is both multi-national and loyal. Indah Kiat Pulp and Paper Tbk is a company that manufactures various kinds of paper products. PT. the author has computed 1 period return (return per 10 minutes) of the available data.32 Sampoerna Agro Tbk (previously named as PT Selapan Jaya) in 1993 to operate oil palm plantations in South Sumatra region. PT. Ciputra Property. The stock of this company was firstly listed for trading in Indonesia Stock Exchange on July 16. Established in 1981. PT Sampoerna Agro Tbk together with its subsidiary companies are one of the leading producers of palm oil and palm kernel in Indonesia. Basically this company has the same profile and business with Ciputra Development. 1976. PT Ciputra Development Tbk (“Ciputra Development”) is one of Indonesia leading property companies. Tbk. Ciputra Development. Unconditional Basic Return Analysis Following the return computation developed by Suad Husnan (1998). Currently. the development of large scale residential and commercial properties is the expertise and core business of Ciputra Development. Indah Kiat Pulp and Paper. PT. 1990. Ciputra Development. 4. Headquartered in Jakarta. drilling and oilfield. Tbk. the summary statistics is as follow : Universitas Indonesia . is one of the subsidiaries of PT. And from those comptations. 14. Tbk. This company was established on December 7. (“Elnusa”) is the one and only national company that possesses combined competencies in upstream oil & gas services. PT. Elnusa. Tbk. Ciputra Property.

0000225) 0.6636319 (3. While the other 10 stocks under the specified observation periods show no sign of data skewness.5089539 5.0602837 0.0506329) (0.4046022 16.0493274) (0. Based on the skewness factor.0476190) (0.0649351) (0.6645731 132.1.6911018) (0. This volatility aspect will affect the employ of moving average rule onto the stock itself. from the observed 15 stocks.3547488 (0.0071434 0.0001520 (0. While from the volatility aspect.9235033 Standard Deviation 0.0001275 0.0128590) 0.0096626 0. BUMI is the one with highest volatility of all.4764170 0.5081699 9. Since stock with more volatility will of course less in favor to be analyzed using the moving average rule since there is more risk that the price will change regarding the volatility.0001869 0.1716781 20.0065657 0.0001696 Skewness 0.9580290 0.1063830 0. The third column presents the skewness of the 1 period UBR for each stock.0793651 0.0051521 0. While the last two columns presents the maximum value and minimum value throughout observation. While from the kurtosis value.2854598 Maximum 0.33 Table 4.0952381 0.0547945) (0.0001745 0.0000492 0.0681818) (0.0105027 0. The second column presents the mean of calculated UBR from each stock.0786517 0.3330091 10.0849673 0.9221406 11. The first column (from left to right) lists all the 15 stocks observed.2168675) Source : Author’s Explication From this summary statistic.0457143 0.0739710) (0.1000000) (0. Descriptive Statistic of 1 Period UBR From The Original Series UBR stands for Unconditional basic Return.6029189 15.4655794 0.4214761 22.0681818 0. The fourth column presents the volatility aspect of the UBR.0743524 69.0833333 0.0001268 0.0101292 0.2320000) (0.0666667 0.0758621) (0. Also for Universitas Indonesia .1060606) (0.0056399 0.0069108 0.0000695 0.0750000) (0.0588235 0.0001828 0.0075289 0.1652893 Minimum (0.1543210) (0. there are only 5 stocks that show some signs of skewness. followed by TRUB. from all the 15 stocks observed. The fifth column presents the kurtosis value from all distribution of observed UBR.0000823 0.0952381) (0.0636042 0.9235807 1.0001533 0. and finally ASII as the least volatile of all.7121883 (0.3263303) 0.1034159) 0.0595238 0.0001615 0.0729167) (0.0088927 0.7176522 0.0096370 0. Mean ADRO ASII BBNI BBRI BDMN BUMI CTRA CTRP ELSA INKP ITMG MIRA SGRO TLKM TRUB 0.0078675 0. shown that most stock (14 stocks observed out of 15 stocks observed) have a positive mean of return although it is all less than 1 percent.9378921 8.0073571 0.1269841 0.9420596 17.3951398 0.0060803 0.1430479 14. can be seen that all the original data series are leptokurtic.0001348 0. This table presents the descriptive attributes of computed unconditional basic return for each 10 minutes period closing stock price data.8586206 7.0103033 Kurtosis 9. While MIRA stocks is the only stock with negative mean of return over the chosen time of observation. CTRA.0001696 0.

6936850 Standard Deviation 0.0053601 0.0428920 0.1209302) (0.8547774 1. we may see that the value of mean in the 1 day return is bigger than the value of mean in the 1 period (10 minutes) return.3770947 11. like BDMN.3939029 1.8174576 2.0336126 0. The fourth column presents the volatility aspect of the UBR.0291619 0.0354435 0.0049553 0.4093608 0.0272259 0.9675416 9. Mean ADRO ASII BBNI BBRI BDMN BUMI CTRA CTRP ELSA INKP ITMG MIRA SGRO TLKM TRUB 0. like BBNI.0380532 0.5359357 7.6113272 3.5282927 1.34 the kurtosis aspect.0045737 (0.0021237 0.8537636 21.8310874 0.2160081 1.0038369 0.0791367) (0.2873563 0.0012954 0.0055445 0.2691451 0.1029412) (0.7300137 1.7607191 27. but using the change in price for a full 1 day trading ( the closing price from a specified time in day t will be computed with the closing price with exact same time from day t-1).1044776 0.2555556) (0.1296296) (0. While the last two columns presents the maximum value and minimum value throughout observation.0351496 0.1612597 3.2745098 0.1496599) (0. we may infer that the price change within intraday series is not Universitas Indonesia . The fifth column presents the kurtosis value from all distribution of observed UBR. To provide a better perspective upon the descriptive statistic of observed original data series.0047359 0.1600000 0.0642378 3.2750000 0. around 132.1041009) (0.1818182) (0.0031920 0.2800000 0.1290323) (0.4255319 0. From this finding.0036275 0.0022743 0. And the statistical aspects of this return computation are as follow : Table 4.5036817 0.0015853) 0.0640960 Kurtosis 9.0380193 0.1842105) (0.1115630 4.3250000 0.1518325 0. we will take a look on the 1 day return of the series and its statistical aspects.0048739 0.1518987 0. The third column presents the skewness of the 1 period UBR for each stock. while some other has a very high one. around 5.1250000 0.0342311 0.2184874 0.5909091 Minimum (0.5090733 1. This 1 day return is computed using the same formula as the previous 1 period return.5784359 14. The first column (from left to right) lists all the 15 stocks observed.2.0045210 0.0196712 0.3333333 0. Descriptive Statistic Attributes of 1 Day UBR From The Original Series UBR stands for Unconditional basic Return. The second column presents the mean of calculated UBR from each stock.8951659 2.0308170 0.0300236 0. comparing two set of data in the same time from day t with the one in day t+1.5678998 0.0056255 Skewness 1.1084337) (0.2080000) (0.0217319 0. This table presents the descriptive attributes of computed unconditional basic return for each a full day closing stock price data. we may see that a stock has quite low kurtosis.8850925 6.0393049 0.3389831) Source : Author’s Explication From this extended observation upon extended version of statistical descriptive of the original series’ return.0538906 0.0384983 0.2054795) (0.3752917 0.3636364 0.2199889 Maximum 0.5738295 3.2272727) (0.

Column Buy and Sell presents the mean of return generated by each signal. Whereas the rows of following statistical presentation table consist of the moving average rules tested under this study.35 as big as the price change within 1 day. only some stocks show a positive sign of skew. Compared with the real series of closing price. 4. once again. standard deviation with this 1 day return is also bigger than the 10 minutes return. the statistical results are presented in several columns. whereas under the observation of 10 minutes return. The difference also happens in the kurtosis observation. as per individual stock and the summary of all stocks observed. Presentation of the application of moving average rule to the original data series in this paper will be divided into 3 parts according to the trading value. price change tends to happen only after one and a half day or more trading. Application of Moving Average Rule to The Original Data Series For the application of moving average rule into the original data series. this circumstance is logical since price change per 10 minutes is not likely to happen within the observed series. In the following result presentations. Column Buy>0 and Sell>0 presents the fraction of Buy and Sell signal that generates return larger than 0 throughout the observation. The first row goes to the result of the application of Simple Moving Average Rule from the last 15 Universitas Indonesia . The inference that may taken into account is. high. the more change in price within 1 day difference of observation rather than the 10 minutes in difference of observation. and whilst column N(Sell) presents the number of sell signal generated. data are more mesokurtic and not heavily located around the mean. no stocks that show having a skew. will be provided in two part of analysis. Contrast change also applies for the skewness aspect. whereas under this 1 day return observation. Especially for some stock. And column Buy-Sell presents the mean of difference between return from buy and sell signal. As the mean higher in the 1 day return. Column N(Buy) presents the number of buy signal generated by the moving average rule employed within the observation. and low. medium. While under this 1 day observation.3.

1799373 0. The sixth and seventh column presents the fraction value of RGBS and RGSS that have value greater than 0. respectively.0010083 0.3 Result of The Application of Moving Average to Original BUMI This table presents the result of employing moving average rules to the original BUMI Series.0001753) 0.0000139) 0. which can be inferred from the negative mean in buy – sell signal return difference.3.0926214 Mean of RGBSRGSS (0. And the last column presents the mean off difference between RGBS and RGSS (RGBS minus RGSS).0000570) 0. The first column lists all the 6 moving average rules tested.0022478 (0. BUMI Table 4.150) MA (5.0000431 0. The fourth column presents the mean of return generated from buy signal (RGBS).0017659 0.2081454 0.1575342 Fraction RGSS>0 0. Mean of RGBS 0.2060150 0. 4.0000240 Test SMA (1.10) SMA (1. all generates a bigger sell return than selling return.0001089) (0.5) MA (5.0019427 0. we may see that four out of six rules tested generates a positive mean return in both buy and sell signal.1.0000263 0.36 periods.0011769 0.15) SMA (1.0024232 (0.0001768) (0. respectively.1215809 0.0010067 0. The second row presents the result of the application of Simple Moving Average from the last 10 periods. Whereas for all the application of simple moving average. The second and third column presents the number of buy and sell signal generated with particular test.0010212 0.50) MA (5. Universitas Indonesia .0001702) (0.1316186 0. 1.200) N(Buy) 4066 4279 4786 135 69 3 N(Sell) 3904 3696 3194 133 68 3 Source : Author’s explication Based on the result of applying moving average to the technical trading rule.0000826) (0.0000233 Fraction RGBS>0 0.0015125 0.0000477 Mean of RGSS 0.1903448 0. Moving Average Rule to The Highest 5 Traded Stock (in Term of Trading Value).0019147 0. and the third row presents the application of Simple Moving Average from the last 5 periods. The fifth column presents the mean of return generated from sell signal (RGSS).

0001506) Test SMA (1. While all the combination of long and short moving average rules generate negative mean return for buy signal.0000453) (0.1655722 Fraction RGSS>0 0.0000330 Fraction RGBS>0 0. Result of The Application of Moving Average to Original TLKM This table presents the result of employing moving average rules to the original TLKM Series.0001173) Mean of RGSS 0.0000475) 0. Mean of RGBS 0.1293288 0.15) SMA (1.1571860 0. The fifth column presents the mean of return generated from sell signal (RGSS).200) N(Buy) 4075 4224 4908 155 87 10 N(Sell) 3866 3722 3043 150 88 10 Source : Author’s explication From the application of moving average to the original series of TLKM.0009853 0.0000077 (0. The sixth and seventh column presents the fraction value of RGBS and RGSS that have value greater than 0. respectively.0000232) (0.0000522) (0.0012649 0.0010337 0.37 2.0010249 0.1754496 0.50) MA (5.10) SMA (1. respectively.150) MA (5. The fourth column presents the mean of return generated from buy signal (RGBS).1597030 0.0006031 0.4.0020238 0. The first column lists all the 6 moving average rules tested.1690353 0.0006405 0. Universitas Indonesia .0000134 0.0006484 0. And the last column presents the mean off difference between RGBS and RGSS (RGBS minus RGSS). The second and third column presents the numbers of buy and sell signal generated with particular test.0011671 (0.0000484) (0.5) MA (5.0000388) (0. TLKM Table 4. we may see that all simple moving average rules generates positive mean return for both buy and sell signal generated.1268102 0.0012146 (0.0000310) 0. and only one combination of moving average 5 and 200 that generates a positive return for sell signal.0323640 Mean of RGBSRGSS (0.

0001870) 0.0034156 0.1274399 0. Mean of RGBS 0.1632268 0. The sixth and seventh column presents the fraction value of RGBS and RGSS that have value greater than 0. And the last column presents the mean off difference between RGBS and RGSS (RGBS minus RGSS).0000172) (0.1627234 0.200) N(Buy) 4123 4322 4867 163 96 3 N(Sell) 3818 3624 3084 168 95 3 Source : Author’s explication The result of application of moving average rules for original ADRO series is more or less the same with the one applied with original TLKM series.0000436) 0.0001846) (0.0011385 0. respectively.50) MA (5.1853855 0.0259578 Mean of RGBSRGSS (0.1854574 Fraction RGSS>0 0.0013037 0.150) MA (5.0000263 (0. this combination of moving average all results a negative mean returns.0000338 Fraction RGBS>0 0. and for the buy signal generated.1826185 0.0000872) (0.10) SMA (1. respectively.0000672) Test SMA (1. The first column lists all the 6 moving average rules tested.1265584 0.0016924 (0.38 3. Result of The Application of Moving Average to Original ADRO This table presents the result of employing moving average rules to the original ADRO Series.15) SMA (1.0000371) (0. especially in term of negativity and positivity of the mean return generated.0018793 (0.5.0000501 0.0001826) (0.0020500 0.0011531 0. ADRO Table 4.5) MA (5.0008311 0. Universitas Indonesia .0010137 0. The fifth column presents the mean of return generated from sell signal (RGSS).0000333) Mean of RGSS 0. All the simple moving average rules also generate a positive mean return in both buy and sell signal.0014882 0. The second and third column presents the numbers of buy and sell signal generated with particular test. While only the combination of moving average 5 and 200 that generates positive mean return in sell signal generated. The fourth column presents the mean of return generated from buy signal (RGBS).

0000126) 0.10) SMA (1.0029712 0.0038260 0.5) MA (5.6. The fifth column presents the mean of return generated from sell signal (RGSS). Whereas the same with the other original series.2173416 0.0006115 0.2530747 0.0000238 0. The difference with the original ASII series happened with the application of combined moving average rule.2216443 0.0018086 0. And the last column presents the mean off difference between RGBS and RGSS (RGBS minus RGSS). and also the combination of moving average 5 with 200. respectively.0009343 0.0000198 Fraction RGBS>0 0.0001587) 0. The second and third column presents the number of buy and sell signal generated with particular test.0024232 0.50) MA (5.0000464) (0. The first column lists all the 6 moving average rules tested.1913165 0. Mean of RGBS 0.0000173) 0.0000064 0. ASII Table 4.0001537) (0.0001434 Mean of RGSS 0.2273535 0.0001237 Test SMA (1.15) SMA (1. The sixth and seventh column presents the fraction value of RGBS and RGSS that have value greater than 0.2611893 0.150) MA (5.0012116 (0. whereas the combination of moving average 5 with 150. respectively.0000338 0.0010529 (0. both generates a positive mean return for buy signal. Universitas Indonesia . combination of moving average 5 and 50 still generates negative mean return for both buy and sell signals.0001571) (0. Result of The Application of Moving Average to Original ASII This table presents the result of employing moving average rules to the original ASII Series.0007772 0.200) N(Buy) 3840 3925 4242 126 63 4 N(Sell) 4037 3957 3645 123 62 4 Source : Author’s explication The result for the application of simple moving average rule to the original ASII series show a same result with the former series observed.0249566 Mean of RGBSRGSS (0.0007652 0.3089559 Fraction RGSS>0 0. The fourth column presents the mean of return generated from buy signal (RGBS).39 4.

Result of The Application of Moving Average to Original BBRI This table presents the result of employing moving average rules to the original BBRI Series.40 5.0015242 0.0000558) (0. The summary of this 5 highest traded stock in term of trading value is presented in the following table : Universitas Indonesia . The first column lists all the 6 moving average rules tested. The fifth column presents the mean of return generated from sell signal (RGSS).0012865 0. respectively.50) MA (5.1873974 0.15) SMA (1.0000751) (0.0012507 0.0421185 Mean of RGBSRGSS (0. the application of moving average rules to the original BBRI series shows quite an indifferent pattern with the one in original TLKM and ADRO series.0000398 Fraction RGBS>0 0.0001239) Test SMA (1.0000777) 0. but also for the difference of return from that two signals. The sixth and seventh column presents the fraction value of RGBS and RGSS that have value greater than 0. Mean of RGBS 0. The fourth column presents the mean of return generated from buy signal (RGBS).200) N(Buy) 4003 4148 4619 137 80 8 N(Sell) 3906 3766 3300 142 81 7 Source : Author’s explication In term of positivity.0011723 0.0000066) (0.0000841) Mean of RGSS 0.0007484 0.5) MA (5. And the last column presents the mean off difference between RGBS and RGSS (RGBS minus RGSS).0000211 (0. respectively.0000164 0.1995201 0.0009006 0.1790498 0.150) MA (5.0000276) 0.1350360 0.10) SMA (1.0014717 (0.1700783 0. This indifference not only happens for the mean return generated for buy and sell signal. BBRI Table 4. The second and third column presents the numbers of buy and sell signal generated with particular test.0000394) (0.0000784) (0.1447718 0.0022863 0.0015493 (0.7.0008235 0.1742889 Fraction RGSS>0 0.

04360365 0.00110479 0.00261283 0.12191040 Fraction RGSS>0 0.14747297 0.200) Average Mean of RGBS 0.00002997 0.00002800 0.150) MA (5.00007010) (0. And the last column presents the mean off difference between RGBS and RGSS (RGBS minus RGSS).15) SMA (1.41 Table 4. . The second column presents the mean of return generated from buy signal (RGBS).5) MA (5. But the condition is that the return generated for buy signal is lower than sell signal.00184945 0.00063489 Mean of RGSS 0.00012922) 0.00003881) (0.00002439 (0. Test SMA (1. The summary with the t-test results is as follow : Universitas Indonesia .19962820 0.00012539) (0. The first column lists all the 6 moving average rules tested.00003530) 0.00076016 0.09595300 Mean of RGBS-RGSS (0.00152638 (0.18153720 0. we can summarize it into a t-test result calculation to better describe the comparison of return from the application of moving average with the unconditional return.00000871) 0.50) MA (5.19836173 0. By this summary. we may see that all the tested simple moving average rules generate a positive mean return both for buy and sell signal.00004210) (0.20593798 0. The third column presents the mean of return generated from sell signal (RGSS). Summary of Result of The Application of Moving Average to Original Highest 5 Stock Series This table presents the result of employing moving average rules to all the original highest stock in term of trading value observed series.00147181 0.00132991 0.00056867 Fraction RGBS>0 0. which cause a negative difference in mean buy-sell difference. The fourth and fifth column presents the fraction value of RGBS and RGSS that have value greater than 0.8.00120088 0.18071222 0.00012903) (0.10) SMA (1.00088556 0. respectively.00001090) (0.00165560 (0.00006168) Source : Author’s explication From the presented summary of the application of moving average rules to the 5 highest stock in term of trading value.14288757 0.

002232773) (0.014533714) (0.42 Table 4.5% as significance level for two-tailed test with 95% degree of confidence).00007010) 0. and mean of difference between RGBS and RGSS. Universitas Indonesia . In this table.07540792 MA (5.00152638 (0.00109694) 0.02699245) (0.5) (0. we present both the mean return and t value.00088556 0. The rule that supports it is the moving average (5.9.50) (0. while below the t value is presented inside bracket in bold. Mean of RGBSMean of RGBS Mean of RGSS RGSS t Value t Value t Value 0.005785146) (0.69% which is bigger than 2.5% as the test is two-tailed test with 95% degree of confidence.002108507) Source : Author’s explication From the result.000581172) (0. it shows that all tested moving average rules reject the null hypothesis of equality between unconditional return with the return from moving average application.00000871) 0.00012903) SMA (1.00120088 (0. This t-test resulted mean to test the null hypothesis of return equality between the particular mean of return from unconditional basic return and the respected return from each column.00004210) (0.00002997 (0.150) (0.002028894) (0.00012539) SMA (1. The mean return presented in the first row.200) and it only applies for the sell returns (with probability of t-test 2.00165560 0.00076016 (0.005737128) (0.000560193) (0.00001090) (0.005205941) (0.00003881) MA (5.200) (0. mean of return generated from sell signal. there is only one result that supports the null hypothesis that the returns from moving average application equal the unconditional returns at the 5 percent significance level using a two-tailed test.10) (0. The significance level is 2.000141471) 0. T-Test Result For The 5 Highest Traded Stock in Term of Trading Value This table presents the result of t-test value resulted from paired t-test.002026368) (0.000166203) (0.00002439 MA (5. shown that all moving average rules tested generates unequal return with the unconditional one.004258018) (0.00509716) (0. In this table we present the t test result for mean of RGBS.00012922) SMA (1. For buy returns.15) (0. for the 5 highest stocks traded in term of trading value. the t-test result of 5 highest stocks traded in term of trading value.00132991 0. The paired t-test is constructed between the mean of unconditional basic return from the actual series and mean of return generated from buy signal. RGSS and mean of difference between RGBS and RGSS.005706182) (0.002475997) (0. The same also applies for the buy-sell return difference.00003530) 0. assuming that this last variable tested as the net return for investors.

we may see that all the application of simple moving average rules generate a positive mean return both for buy and sell signal.43 4. For the combination of moving average. Result of The Application of Moving Average to Original TRUB This table presents the result of employing moving average rules to the original TRUB Series.200) N(Buy) 5319 5368 5637 106 61 5 N(Sell) 2591 2547 2283 105 62 6 Source : Author’s explication From the application moving average rules to the original TRUB series. which cause the difference of those two (buy minus sell) become negative.000043) (0.10.153409 0.000010) Fraction RGBS>0 0.107968 Fraction RGSS>0 0.3. The fifth column presents the mean of return generated from sell signal (RGSS).172348 0.50) MA (5.004065 0. respectively.2.000257 0.000080 0. all the resulted mean returns are negative.10) SMA (1.000040) (0. The fourth column presents the mean of return generated from buy signal (RGBS).001143 0. Mean of RGBS 0. only rule MA(5. respectively.000070) (0.000220 Test SMA (1.001291 0. The sixth and seventh column presents the fraction value of RGBS and RGSS that have value greater than 0.000924 0.001287 0.000016) 0.15) SMA (1. Whereas for the sell signal. The second and third column presents the number of buy and sell signal generated with particular test.150) that generates negative mean return for generated buy signal.000048) (0.5) MA (5. TRUB Table 4. But the generated sell signal is lower than the buy.113783 Mean of RGBSRGSS (0.112010 0.000010 (0.124399 0. The first column lists all the 6 moving average rules tested.150) MA (5. Moving Average Rule to The Middle 5 Traded Stock (in Term of Trading Value). Universitas Indonesia .001688 0.000884 0.000043) 0.000032 0.001247 0. And the last column presents the mean off difference between RGBS and RGSS (RGBS minus RGSS). 1.001645 (0.000209 Mean of RGSS 0.134555 0.153380 0.

001471 (0. Universitas Indonesia .069464 Mean of RGBSRGSS (0.001542 (0. The second and third column presents the numbers of buy and sell signal generated with particular test.182599 0.11.000044 (0.000048 Fraction RGBS>0 0.165403 0. BDMN Table 4.142749 0. respectively. Result of The Application of Moving Average to Original BDMN This table presents the result of employing moving average rules to the original BDMN Series.151029 Fraction RGSS>0 0.164645 0.000015) (0.143634 0.000021) (0.000072) (0.000059) 0.002159 0. all tested rules generate a negative mean return for buy return.001216 0.44 2.10) SMA (1.50) MA (5.188913 0. we can say that from all tested rules mostly generate return generated from sell signal higher than return from buy signal. And for the sell return. The first column lists all the 6 moving average rules tested.000088) Mean of RGSS 0.000081) (0. For the difference between return generated from Buy signal and Return Generated From Sell signal.001778 0. And the last column presents the mean off difference between RGBS and RGSS (RGBS minus RGSS). only MA(5.5) MA (5.000072) (0.000136) Test SMA (1.000643 0.150) MA (5.200) that generates a positive return.000900 0.15) SMA (1. But for the combination of moving average. all the tested simple moving average rule generates a positive mean returns for both buy and sell return. The sixth and seventh column presents the fraction value of RGBS and RGSS that have value greater than 0. The fourth column presents the mean of return generated from buy signal (RGBS).200) N(Buy) 4091 4213 4745 145 83 11 N(Sell) 3818 3701 3174 148 82 10 Source : Author’s explication For original BDMN series.000060 0.000071) 0. Mean of RGBS 0. respectively.001144 0. The fifth column presents the mean of return generated from sell signal (RGSS).000827 0.001158 0.

210546 0. whereas all results a positive mean return for both generated buy and sell signal.000043) 0.000014) 0. with the combination of moving average.45 3.000148) (0.058170 Mean of RGBSRGSS (0.000838 0.000147) 0.005566 0.15) SMA (1.256607 Fraction RGSS>0 0. The fifth column presents the mean of return generated from sell signal (RGSS). MA (5.211931 0.000994 0. And the last column presents the mean off difference between RGBS and RGSS (RGBS minus RGSS).000016) Test SMA (1.200) that generates a positive mean return. Mean of RGBS 0. For this series.002691 0.000148) (0.5) MA (5. It shown by the value of fraction Buy>0 and Sell>0 presented. The fourth column presents the mean of return generated from buy signal (RGBS). The second and third column presents the numbers of buy and sell signal generated with particular test. respectively.001256 0.200) N(Buy) 3942 4105 4454 148 79 5 N(Sell) 3999 3841 3497 146 77 4 Source : Author’s explication The result of application of simple moving average rule is still the same for original ITMG series.000846 0. only MA(5.000030 Fraction RGBS>0 0.210546 0. Whilst. From the generated sell signal. respectively. Universitas Indonesia .000695 0.50) MA (5.12.000049) (0.245629 0.000050 0. ITMG Table 4.150) generates a negative return for both sell and buy signal. The sixth and seventh column presents the fraction value of RGBS and RGSS that have value greater than 0.233933 0.211931 0.001409 0. Result of The Application of Moving Average to Original ITMG This table presents the result of employing moving average rules to the original ITMG Series.002151 0.000014 Mean of RGSS 0.000029 (0. the application of simple moving average rules also generates the most positive return in compared with the previous analyzed stock. The first column lists all the 6 moving average rules tested.000001 (0.001109 (0. which reach more than 20 percent.10) SMA (1.150) MA (5.

The fifth column presents the mean of return generated from sell signal (RGSS).001524 0.158706 0. The sixth and seventh column presents the fraction value of RGBS and RGSS that have value greater than 0.173254 0.132128 0.001372 0.50) MA (5. And the last column presents the mean off difference between RGBS and RGSS (RGBS minus RGSS).001660 (0. the simple moving average still generates a positive mean return for both generated buy and sell signal.000031) Test SMA (1. respectively.150) MA (5. The first column lists all the 6 moving average rules tested. with the value is higher with the generated sell signal.10) SMA (1. Universitas Indonesia .133898 0.15) SMA (1.000037) 0.000773 0. and for sell signal the positive return only generated under the application of rule MA(5. Result of The Application of Moving Average to Original BBNI This table presents the result of employing moving average rules to the original BBNI Series.000072) (0.000024 (0. BBNI Table 4.000032 0.154410 0.001509 (0.13.000152) (0.5) MA (5.000028 Fraction RGBS>0 0. The second and third column presents the numbers of buy and sell signal generated with particular test.032218 Mean of RGBSRGSS (0.000762 0.46 4.174264 0.001801 0. respectively. all the combined moving average rules generate a negative mean return for generated buy signal.000040) (0.001220 0.000386 0.200).000150) (0. Mean of RGBS 0.000013) (0. The fourth column presents the mean of return generated from buy signal (RGBS). Whilst.170674 Fraction RGSS>0 0.000152) 0.000002) Mean of RGSS 0.000923 0.200) N(Buy) 4020 4267 4959 144 85 8 N(Sell) 3889 3647 2960 139 84 7 Source : Author’s explication For BBNI original series.

the application of combined moving average rule all generates a negative mean return for both the generated buy and sell signal. MIRA Table 4. But.128326 0.200) N(Buy) 4857 5175 5756 166 91 2 N(Sell) 2988 2675 2099 163 92 3 Source : Author’s explication From the presented result of application of moving average to the original MIRA series. respectively.001894 (0.001555 0. Result of The Application of Moving Average to Original MIRA This table presents the result of employing moving average rules to the original MIRA Series.15) SMA (1.097158 Mean of RGBSRGSS 0. we may see quite a contrast result.10) SMA (1.000023 0.000016) Mean of RGSS 0.000044 0. The second and third column presents the numbers of buy and sell signal generated with particular test.000056) (0.000068) (0.001917 (0.000545 0.116762 0.110701 0. The first column lists all the 6 moving average rules tested. The fourth column presents the mean of return generated from buy signal (RGBS).5) MA (5.000102) (0.001043 0.001030 0. presented in the following table : Universitas Indonesia . The summary of this 5 stocks which trading value is around the median.001038 0.50) MA (5.47 5.000049) Fraction RGBS>0 0.002045 0. The fifth column presents the mean of return generated from sell signal (RGSS). And the last column presents the mean off difference between RGBS and RGSS (RGBS minus RGSS).001573 0.000018 0.000013 0. respectively.150) MA (5.14.116688 0.000259 0. The sixth and seventh column presents the fraction value of RGBS and RGSS that have value greater than 0.000012 0. Mean of RGBS 0.000058) (0.099171 0. all generates a positive mean return (with buy return higher than sell. which makes the buy-sell mean returns are all also positive).120178 0. Whereas for the application of simple moving average.033497 Fraction RGSS>0 0.000033 Test SMA (1.

the application of simple moving average rules are also generating a positive mean return for both generated buy and sell signal.15.40 2418.172675 0.000923 0.80 79.200) that generates positive mean return for both generated buy and sell signal. Mean of RGBS 0.001259 0. .160508 0.095057 Mean of RGBSRGSS (0.000023) 0.181896 0.001608 (0.103655 Fraction RGSS>0 0.200) Average N(Buy) 4445. the value of return from generated buy signal is still lower than from the generated sell signal.000022) (0.001338 0. only MA(5.140129 0. To provide a better view regarding the summary of result.000014 (0.10) SMA (1.000023 0.001595 0.001276 0.48 Table 4.000009 0.50) MA (5.145317 0.000591 0.5) MA (5.000051) 0.167102 0.40 5110. The fourth and fifth column presents the fraction value of RGBS and RGSS that have value greater than 0. The third column presents the mean of return generated from sell signal (RGSS).43 Source : Author’s explication From this summary.40 2802.150) MA (5. respectively. And the last column presents the mean off difference between RGBS and RGSS (RGBS minus RGSS).000079) (0.000586 Fraction RGBS>0 0.001530 (0. Summary of Result of The Application of Moving Average to Original Middle 5 Stock Series This table presents the result of employing moving average rules to all the original middle stock in term of trading value observed series.00 1616.000845 0.000079) (0. For the combined moving average.80 4695.000078) 0.40 6.80 39.60 140. we may see for the middle 5 stocks.000053 0.000075) (0.000024) Test SMA (1. By which.074159 0.20 79.73 N(Sell) 3457. The second column presents the mean of return generated from buy signal (RGBS).000028 0.20 141.000641 Mean of RGSS 0.00 3213.143955 0. The first column lists all the 6 moving average rules tested.003072 0. we may refer it to following table presenting t-test result : Universitas Indonesia .15) SMA (1.

50) MA (5.000014 (0. for the middle 5 stock.15) SMA (1. This t-test resulted mean to test the null hypothesis of return equality between the particular mean of return from unconditional basic return and the respected return from each column.001608 (0. Whilst.5).000079) (0.000075) (0.001704494) (0.022269608) (0.139806915) 0.000218127) Source : Author’s explication From this t-test result. In this table. The mean return presented in the first row.00012338) t Value (0.000023 (0.50). This support from these two rules also apply under the return from sell signal.000079) (0. RGSS and mean of difference between RGBS and RGSS. Thos are SMA(1.5) MA (5.000028 (0.042436566) (0.150) and MA(5. T-Test Result For The Middle 5 Traded Stock in Term of Trading Value This table presents the result of t-test value resulted from paired t-test. we present both the mean return and t value.05297737) 0. taking the buy-sell difference as the real net return for investors into assumption.10) SMA (1.000142603) t Value 0. SMA(1. Universitas Indonesia .139980252) (0. Mean of RGBS Mean of RGSS Mean of RGBSRGSS SMA (1. we have more moving average rules tested that supporting the null hypothesis of return equality between return from application of moving average and the unconditional return (under two-tailed.15). The significance level is 2.001480151) (0. In this table we present the t test result for mean of RGBS.001259 (0.059155556) 0.070395567) 0. For return resulted from the buy signal.000023) (0.49 Table 4.106939238) (0.200) t Value 0.187654172) 0.150).000051) (0. and mean of difference between RGBS and RGSS.001530 (0.150) MA (5.001163487) 0.16. four out of six rules tested supports the null hypothesis of return equality.001338 (0. The paired t-test is constructed between the mean of unconditional basic return from the actual series and mean of return generated from buy signal.000078) (0.000845 (0. while below the t value is presented inside bracket in bold. 5% significance level). MA(5.000200871) 0.003625045) 0.000022) (0. mean of return generated from sell signal.000053 (0.MA(5. and MA(5.000009 (0.002390862) 0.5% as the test is two-tailed test with 95% degree of confidence.000923 (0.150) support the null hypothesis of return equality.

The second and third column presents the numbers of buy and sell signal generated with particular test.001192 0. The sixth and seventh column presents the fraction value of RGBS and RGSS that have value greater than 0.001415 0.000056) 0.150) MA (5.000067) (0. The fifth column presents the mean of return generated from sell signal (RGSS).152262 0. Moving Average Rule to The Lowest 5 Traded Stock (in Term of Trading Value).000125) (0.000124) 0. And for the sell return.001615 (0.000048) Test SMA (1.17. Where for the combined moving average rules.000772 0.000024) Mean of RGSS 0.136806 0.001315 0.3.000975 0. Result of The Application of Moving Average to Original SGRO This table presents the result of employing moving average rules to the original SGRO Series.002667 0. which in the final makes its buy-sell difference into negative.001492 (0.3.50 4.000044 (0.128208 0. And the last column presents the mean off difference between RGBS and RGSS (RGBS minus RGSS). The first column lists all the 6 moving average rules tested. for buy return. only MA(5.157944 Fraction RGSS>0 0.200) N(Buy) 4008 4275 4985 149 92 3 N(Sell) 3901 3639 2934 151 93 2 Source : Author’s explication The application of simple moving average rules to the original SGRO series is still no different in term of characteristic with the result in the previously observed original series which generates positive mean return for both buy and sell signal throughout all the simple moving average rules tested. 1.169718 0.000124) (0. respectively.000850 0.10) SMA (1.15) SMA (1.000024 Fraction RGBS>0 0.000889 0.165299 0.000047 0. SGRO Table 4. respectively. all rules tested generate a negative mean return. Mean of RGBS 0.50) MA (5.200) that generates positive mean returns.031589 Mean of RGBSRGSS (0.000021) (0. Universitas Indonesia . The fourth column presents the mean of return generated from buy signal (RGBS).000013) (0.148092 0.5) MA (5.

ELSA Table 4.001991 0.19.139752 Fraction RGSS>0 0.149509 0.125047 0.10) N(Buy) 4247 4552 N(Sell) 3662 3362 Universitas Indonesia .000061) 0.001096 0.000155) (0. Mean of RGBS 0.151271 0.134783 0. The first column lists all the 6 moving average rules tested.150) MA (5. respectively. And the last column presents the mean off difference between RGBS and RGSS (RGBS minus RGSS).50) MA (5.000042) Test SMA (1.143417 Mean of RGBSRGSS (0.000078 0.000384 0.000128) Test SMA (1. The fifth column presents the mean of return generated from sell signal (RGSS). The fourth column presents the mean of return generated from buy signal (RGBS). The first column lists all the 6 moving average rules tested.000171) (0.15) SMA (1.001267 0.064113 Mean of RGBSRGSS (0. 3.166646 0. Result of The Application of Moving Average to Original ELSA This table presents the result of employing moving average rules to the original ELSA Series. The sixth and seventh column presents the fraction value of RGBS and RGSS that have value greater than 0. respectively. respectively. respectively.15) SMA (1. And the last column presents the mean off difference between RGBS and RGSS (RGBS minus RGSS). the application of moving average rules to the original ELSA series show no difference than what happened with the original SGRO series.002024 0. The fifth column presents the mean of return generated from sell signal (RGSS).108522 Fraction RGSS>0 0.000923 0.000800 0. The second and third column presents the number of buy and sell signal generated with particular test.200) N(Buy) 4224 4464 5162 198 110 5 N(Sell) 3717 3482 2789 203 111 5 Source : Author’s explication For the aspect of positivity.001032 Fraction RGBS>0 0.51 2.002317 (0.000032 Fraction RGBS>0 0.5) MA (5.10) SMA (1. The fourth column presents the mean of return generated from buy signal (RGBS).001160 Mean of RGSS 0.000035) (0.18.000180) 0. Result of The Application of Moving Average to Original INKP This table presents the result of employing moving average rules to the original INKP Series. Mean of RGBS 0.113588 0.000026 (0.000124) (0.000010) Mean of RGSS 0.158722 0. The second and third column presents the numbers of buy and sell signal generated with particular test.000077) (0.129220 0. The sixth and seventh column presents the fraction value of RGBS and RGSS that have value greater than 0.000380 0.002137 (0. INKP Table 4.001811 0.001153 0.000180) (0.

154060 0.000128) 0. which impact is positivity in buy-sell difference.002286 0. And the last column presents the mean off difference between RGBS and RGSS (RGBS minus RGSS).002286 0. this condition also applies for the sell return.115059 0.064278 Mean of RGBSRGSS (0.000050) (0. The fifth column presents the mean of return generated from sell signal (RGSS).000229 Test SMA (1.52 Table 4.150) MA (5.50) MA (5.147241 0.5) MA (5.50) MA (5.002316 0. only MA(5.000068 Mean of RGSS 0.132550 0.001762 0.5) MA (5. Mean of RGBS 0.001186 0.000128) (0.000508 0. with still bigger value in sell return.002084 (0.162899 0. The sixth and seventh column presents the fraction value of RGBS and RGSS that have value greater than 0. However.127117 0.001309 0.001330 (0.001635 0.000126) (0.000095) (0. 4.001460 (0.000048) (0.000123) (0. Result of The Application of Moving Average to Original INKP (Continued) Mean of RGBS 0. in which the resulted mean return is still less than the buy return.088166 Fraction RGSS>0 0.200) that generates positive mean return for buy return.000093) (0.000006 Test SMA (1.000176) 0.001959 (0.10) SMA (1.137517 0.000063 Fraction RGBS>0 0.19.127613 Fraction RGSS>0 0.15) SMA (1.000055) 0.150) MA (5. respectively. respectively.200) N(Buy) 4490 4703 5374 173 104 3 N(Sell) 3419 3211 2545 168 106 3 Universitas Indonesia .000188) (0.000012) 0. Result of The Application of Moving Average to Original CTRP This table presents the result of employing moving average rules to the original CTRP Series. CTRP Table 4.000032 0.000257 0. For the combined moving average rules.001029 0.200) N(Buy) 5219 152 100 15 N(Sell) 2700 157 104 16 Source : Author’s explication For the application of moving average rules to the original INKP series.000043 0.20.001143 0.056891 Mean of RGBSRGSS (0. The fourth column presents the mean of return generated from buy signal (RGBS).000186 Mean of RGSS 0. The first column lists all the 6 moving average rules tested.000044) Fraction RGBS>0 0.000130) 0. The second and third column presents the numbers of buy and sell signal generated with particular test.000017) (0.000643 0.121760 0. the application of all simple moving average rules also show positive mean return for both buy and sell return.

Result of The Application of Moving Average to Original CTRA This table presents the result of employing moving average rules to the original CTRA Series.001852 0.134912 0.002046 (0.001659 0. The second and third column presents the numbers of buy and sell signal generated with particular test.001260 0.048390 Buy-Sell (0. The sixth and seventh column presents the fraction value of RGBS and RGSS that have value greater than 0. The first column lists all the 6 moving average rules tested. which also reflects in prices of these two stocks that tend to have same drifts. since the stock CTRP is based from a subsidiary of CTRA.200) that generates positive mean return 5.5) MA (5.001427 0.000173) (0.129525 0.000037) (0.10) SMA (1.21.53 The application of simple moving average to the original CTRP series also generates a full positive mean return for both buy and sell return.000160 Sell 0. with sell returns are greater.119704 0.001679 0.093356 Sell>0 0. The fourth column presents the mean of return generated from buy signal (RGBS).002217 (0. all the tested rules generates a negative mean return for the generated sell signal.111627 0. This may be reasonable. The fifth column presents the mean of return generated from sell signal (RGSS).000028 0.000630 0.121835 0.000049) Buy>0 0.000056) (0. And the last column presents the mean off difference between RGBS and RGSS (RGBS minus RGSS). Test SMA (1. respectively.150) MA (5. While for the buy signal.000068 0.000209 Source : Author’s explication The result of application of the moving average rules to original series of CTRA shows no difference in positivity characteristic than the condition applied to original series of CTRP. CTRA Table 4.111752 0.000028) 0.001256 0. respectively.15) SMA (1.000255 0. The summary of this 5 lowest traded stock in term of trading value is presented in the following table : Universitas Indonesia .50) MA (5.000171) (0.000105) (0. only MA(5. For the combined moving average rules.000171) 0.200) N(Buy) 4411 4725 5527 152 94 0 N(Sell) 3562 3253 2456 152 90 1 Buy 0.

By this value we may conclude that the tested rules have a contribution of value for positive returns.149025 0.138095 0. we may still see that the application of simple moving average still always generates positive mean return for both buy and sell signal. However.47 Buy 0. .73 N(Sell) 3652 3389 2685 166 101 5 1666. Test SMA (1. the fraction numbers all are far from zero. And the mean return results throughout the tested rules are still higher for the sell returns. respectively.200) that generates positive result in mean return.000005 0.10) SMA (1.200) Average N(Buy) 4276 4394 4882 165 100 5 2303.000693 Buy>0 0.002105 0.001038 0.000094) (0.115120 0.000076 0.22.078399 Buy-Sell (0. The second column presents the mean of return generated from buy signal (RGBS). However.15) SMA (1.000782 Sell 0. and to provide a better view we may take a look to the t-test result in the following table : Universitas Indonesia .000055) 0. for both sell and buy return.000146) (0. it is not a final and general conclusion.000710 0.001616 0.000053) 0.139007 0.124690 0.000462 0.000146) 0.120881 0.001514 0.001180 0.000071 (0.088425 Sell>0 0.000026 0. Summary of Result of The Application of Moving Average to Original Highest 5 Stock Series This table presents the result of employing moving average rules to all the original lowest stock in term of trading value observed series. And the last column presents the mean off difference between RGBS and RGSS (RGBS minus RGSS).54 Table 4.5) MA (5. The fourth and fifth column presents the fraction value of RGBS and RGSS that have value greater than 0. The third column presents the mean of return generated from sell signal (RGSS).000068) (0.000143) (0.001793 (0.150) MA (5.000002 0.50) MA (5.000056) Source : Author’s explication From the summary of result from application of moving average rules to the 5 lowest stocks traded in term of trading value.001939 (0. For the fraction number of buy and signal that generates return with non zero value (means the rule contain value).001470 0. The first column lists all the 6 moving average rules tested. only MA(5. While the other two rules tested generates negative mean returns in both signals.053052 0. for the combined moving average rules.156283 0.

000358902) (0.002460559) (0.15) SMA (1.000055) (0.000053) (0. mean of return generated from sell signal.188142369) (0.150) MA (5.50). which are the MA(5.00024468) 0. T-Test Result For The 5 Lowest Traded Stock in Term of Trading Value This table presents the result of t-test value resulted from paired t-test.000417652) (0.000076 0.200) and MA(5.000005 (0.200).000071 (0.008736623) (5.001180 0.000026 (0. Taking the difference between buy and sell mean return into the real net return experienced by investors.001793 (0.000647394) (0. In this table we present the t test result for mean of RGBS.001038 (0.000146) (0.000094) (0.000143) (0. no rule supports the null hypothesis.200) t Value t Value 0.001939 0.001470 (0. In this table.79077E-05) (0.5% as the test is two-tailed test with 95% degree of confidence. for return generated from buy signal solely.000246598) (0. This t-test resulted mean to test the null hypothesis of return equality between the particular mean of return from unconditional basic return and the respected return from each column.000146) (0.000372793) (0.23. while below the t value is presented inside bracket in bold. Mean of RGBS Mean of RGSS Mean of RGBSRGSS SMA (1.000227847) (0. RGSS and mean of difference between RGBS and RGSS.10) SMA (1. there are two rules that support the null hypothesis of return equality. we present both the mean return and t value.001616 0.000068) (0. only one moving average rule that supports the null hypothesis of return equality between unconditional return and the return from moving average rule (under two-tailed 5% significance level).000481929) 0.005119917) Source : Author’s explication t Value (0.000100422) 0. and mean of difference between RGBS and RGSS.55 Table 4.009116123) 0. The significance level is 2. Universitas Indonesia .000002 (0. While for return generated from sell signal.109235576) 0.50) MA (5.286334488) From the presented t-test result we can see that from the application of moving average rules for the 5 lowest stocks traded in term of trading value. The paired t-test is constructed between the mean of unconditional basic return from the actual series and mean of return generated from buy signal.5) MA (5. The mean return presented in the first row. The rule specified is MA (5. While the others reject the null hypothesis at 5% significance level.000766647) 0.

5) Reject H0 Reject H0 Reject H0 MA (5. The summary of those partial conclusions is as follow : Table 4. In this table we divide the result into three columns.200) Reject H0 Reject H0 Reject H0 Lowest 5 SMA (1.24.15) Reject H0 Reject H0 Not Reject H0 SMA (1. The second column presents the result of test of hypothesis for return equality between the unconditional basic return with the return generated from selling signal.50) Not reject H0 Not reject H0 Not reject H0 MA (5.5) Reject H0 Reject H0 Not Reject H0 MA (5.150) Reject H0 Reject H0 Reject H0 MA (5. the author also conducted analysis over the employment of moving average rules to all the observed data simultaneously.50) Reject H0 Reject H0 Accept H0 MA (5. all of resulted and described conclusion above obtained under partial analysis upon the classified stocks.15) Reject H0 Reject H0 Reject H0 SMA (1.10) Reject H0 Reject H0 Reject H0 SMA (1.10) Reject H0 Reject H0 Reject H0 SMA (1.200) Reject H0 Not Reject H0 Reject H0 Middle 5 SMA (1. Summary of Hypothesis From The Application of Moving Average Rules To The Original Series This table presents the summary of hypothesis as resulted from the t-test. The first column presents the result of test of hypothesis for return equality between the unconditional basic return with the return generated from buying signal.50) Reject H0 Reject H0 Reject H0 MA (5. The last column presents the result of test of hypothesis for return equality between the unconditional basic return with the r mean of difference between return generated from buying signal and return generated from selling signal RGBS RGSS RGBS-RGSS Highest 5 SMA (1. We present the result of hypothesis for each tested moving average rules.200) Not Reject H0 Reject H0 Not Reject H0 Source : Author’s explication In order to provide a better understanding over the result of application of moving average rules to the original stock series. The result of overall application of moving average rules to all the observed original data series is presented in the following table : Universitas Indonesia .56 However.5) Reject H0 Reject H0 Reject H0 MA (5.150) Not Reject H0 Not Reject H0 Not Reject H0 MA (5.15) Reject H0 Reject H0 Reject H0 SMA (1.150) Reject H0 Reject H0 Reject H0 MA (5.10) Reject H0 Reject H0 Reject H0 SMA (1.

002596 0.001734 (0.150) MA (5.60 449.000030 0.104664 Sell>0 0. The second column presents the mean of return generated from buy signal (RGBS). . Summary of Result of The Application of Moving Average Rules to All Original Stock Series This table presents the result of employing moving average rules to all the original stock series observed.000616 Buy>0 0.000881 0.000047) 0.001653 0. we may see that MA(5.80 258.10) SMA (1.089803 Buy-Sell (0.000080) (0.40 14676. Whilst. While for the combined moving average.25. we may conclude that the application of simple moving average rule will provide investors a positive buy Universitas Indonesia .000719 0. we may see that the simple moving average rules tested are all generate a positive mean return for both buy and sell signal obtained. With this higher mean return in generated buy signal.00 16.80 5139.000118) (0. N(Buy) SMA (1. However the value of mean return in sell signal is higher. the mean return generated for buy signal is still higher than the one generated for the sell signal. Based on this result presented in Table 4.001428 0.80 50.000047) Source : Author’s explication From Table 4.200) Average 12743.000996 0.200).000036 0.25. which cause the mean return in buy-sell difference becomes negative. And the last column presents the mean off difference between RGBS and RGSS (RGBS minus RGSS).57 Table 4. where it results a positive mean return for both generated buy and sell signal.001310 0. The first column lists all the 6 moving average rules tested.000015 (0.137430 0.60 449.136362 0.000686 Sell 0.000018 0.40 10355.150) generate a negative mean return both for buy and sell return.000044) (0.162274 0. The third column presents the mean of return generated from sell signal (RGSS). In which.15) SMA (1.20 6908.181372 0.152479 0.5) MA (5. respectively.160047 0. The fourth and fifth column presents the fraction value of RGBS and RGSS that have value greater than 0.000029) 0.000116) (0.53 Buy 0.000118) 0. the difference appears for MA(5. With also a higher value in mean return for generated sell signal. the buy – sell difference mean return becomes positive for the two combined moving average rules.001616 (0.50) and MA(5.00 N(Sell) 11015.20 13269.80 8740.173776 0.056938 0. which finally also generates a negative mean return for buysell difference.50) MA (5.60 259.25.001153 0.000015 0.

from the three combined moving average rules tested. From the result. By this value of fraction. For the simple moving average rules tested.150) generates a fraction value that slightly far from 0%. MA(5. To provide a better understanding about the value of application of these moving average rules. a t-test is also necessary. with the framework to picture it solely. While.200) as the most powerful combined moving average rule than the other rules tested. we also may see that all the tested moving average rules have a non zero fraction of positive return generated throughout all the data series.200) the fraction value generated is around 5%. we may infer that MA(5.200) is the best of all. bigger than the other two combined moving average rules. And the result of t-test for the application of moving average rules to the overall original stock series is presented in the following table : Universitas Indonesia . which generates a positive mean return both for generated buy and sell signal. And for MA(5. This outcome once again strengthen the position of MA(5. the values of this fraction of buy and sell return with return more than zero are all bigger than 13%. For the combined moving average rules tested. This show that moving average rules tested still have value to generate a positive fraction of positive return value. there will be at least 13% positive return throughout all the possible return that may come.58 and sell return. we can see that by applying the simple moving average rules tested to the observed original series.50) and MA(5.

00093024) (0.00011782) SMA (1.00001838 MA (5.00000035) (0.00000000) (0.00099621 0.00161632 (0. we can see that from the applied moving average rules.00000000) (0.00000000) (0. In this table.00173414 0. and mean of difference between RGBS and RGSS.00003022 0. or buy-difference).00004390) (0.00130971 (0.00011583) SMA (1. The paired t-test is constructed between the mean of unconditional basic return from the actual series and mean of return generated from buy signal. T-Test Result Summary of The Application of Moving Average Rules To All Original Stock Series This table presents the result of t-test value resulted from paired t-test. Then the application of moving average rules to the original series of stocks observed generates return that is different than the unconditional return.10) (0. mean of return generated from sell signal. sell return. sell.5% (as it is a two-tailed test with 5% significance level for both side. The mean return presented in the first row.00000090) 0. But what is the characteristic of this return difference between the unconditional return and the return from application of moving average rule? For Universitas Indonesia .00000000) (0.00003574 MA (5. Mean of Mean of RGBS Mean of RGSS RGBS-RGSS t Value t Value t Value 0.00088075 (0.59 Table 4.00000002) (0.00009039) (0. which applies for the buy return.00000750) (0.00000102) (0. none of the tested rules result support the null hypothesis of return equality between unconditional return and return from the application of moving average rules (two-tailed test and 95% degree of confidence).00002877) (0.26.150) (0.00001529 MA (5.00000033) (0.00000002) (0. we present both the mean return and t value.200) (0. none of it have value bigger than 2.00142797 0. The significance level is 2.00001490 0. and each return factor (buy.00267863) Source : Author’s explication From the t-test result.50) (0.00000000) (0.15) (0.00000083) 0. and buy-sell difference. while below the t value is presented inside bracket in bold. In this table we present the t test result for mean of RGBS.5% as the test is two-tailed test with 95% degree of confidence. RGSS and mean of difference between RGBS and RGSS. This t-test resulted mean to test the null hypothesis of return equality between the particular mean of return from unconditional basic return and the respected return from each column.00000000) (0.00002331) 0.00011826) SMA (1. This conclusion can be obtained since from the counted p value for each moving average rule.00007963) 0.00004715) 0.5) (0.

10) SMA (1.00011782) 0. The result of this comparison is simply “Higher” or “lower” presented on the second part of the table.5) MA (5.200) 0.50) MA (5.60 a better view upon this trigger. (H0 of return equality rejected.00088075 0.00003574 0.15) SMA (1.50) MA (5.00173414 (0.27. this findings can lead us to a further conclusion as follow. Combined with the resulted t-test that builds our conclusion to reject null hypothesis of return equality. H0 that Universitas Indonesia . RGBS. the difference of RGBS-RGSS. return generated from sell signal (RGSS). in which the return generated is higher than the unconditional return.00011826) (0.00004715) 0.5) MA (5.000122932 Mean of RGBS SMA (1. Parameter Mean of RGSS 0.150) MA (5.00001838 0. 1.00004390) (0. This lead us to an understanding that the employ of simple moving average technical trading rule to the original stock series observed really provides a value of benefit for investors. and the unconditional basic return (UBR) from actual series. RGSS.00001490 Attributes SMA (1. While all the combined moving average rules generate a subset mean return lower than the unconditional return. we may take a look upon the mean comparison among the two conditions.00003022 Source : Author’s explication From Table 4.00007963) (0.00002877) 0.27.00161632 (0. Mean Comparison Between Unconditional Basic Return From Actual Series and The One Resulted From Moving Average Rules This table presents the comparison of mean return generated from buy signal (RGBS). and RGBS-RGSS is compared with the UBR From Actual Series. That all return resulted from simple moving average rule does not have an equal return with the unconditional return.00142797 0.00001529 0.150) MA (5. we can see that only simple moving average rules that generate mean return higher than the unconditional return.00011583) (0.00130971 0.00099621 0. Table 4.15) SMA (1.200) Higher Higher Higher Lower Lower Lower Higher Higher Higher Lower Lower Lower Lower Lower Lower Lower Lower Lower Mean of UBR From Actual Series RGBS-RGSS (0.10) SMA (1.

However. This is what brings us to employ the bootstrap methodology. 2. H0 that mean return of simple moving average is equal or less than the unconditional return accepted). (H0 of return equality rejected. we will have a series that comes from the original data. In this study. we need to employ a way that may describe a general condition of the use of the rules. So to provide a better diagnosis of the real value of applying moving average rule. This conclusion of what the moving average rules provide to investor does not always apply for a general time horizon.4. we generate a new random series which sample is the original data series. Application of Bootstrap Methodology To attain a better view regarding the application of moving average rules. the author employs bootstrap methodology processes through manual bootstrap formulation using Microsoft Excel. By employing this simulation methodology. or even a general stock series out of the observed data. 4.61 mean return of simple moving average is equal or less than the unconditional return also rejected). we see that 1 year observation with 15 stocks still insufficient. and we need a bootstrap simulation to support the decision further.4. January 5 – December 30). in which the return generated is lower than the unconditional return. This lead us to an understanding that the employ of simple moving average technical trading rule to the original stock series observed does not really provides a value of benefit for investors. this two conclusion generated for the tested moving average rules can only applied for the observed stocks within the specified time horizon of observation (year 2009.1. All return resulted from combined moving average rule does not have an equal return with the unconditional return. 4. We then conducted the Universitas Indonesia . Bootstrap Methodology Using Manual Simulation in Microsoft Excel With the manual bootstrap methodology simulation. we employ the bootstrap methodology to the original data series. but any kind dependence (linear or non linear autocorrelation) will have been removed by definition. Since to provide a powerful analysis regarding the employ of moving average rules throughout time and stocks series. with a same distributional properties on average.

055806885 0.309558923 0.148779276 From Table 4. Mean Return 0. Universitas Indonesia . After having the re-sampling process done.).3077%. we may infer that the bootstrap simulation has made the average unconditional basic return of the series higher.069904397 0. From this condition. for both basic return.054572879 0.055806885 0.104511111 0. simple moving average.185483439 0. the result of mean of unconditional basic return of the observed data is presented in the following table : Table IV.099158984 0. This value is even much higher than the 1 period unconditional return from the original series with only average value of 1 period mean return only 1.168729544 0.055806885 0.2293% (calculated from the data in Table 4.187614765 0. and combined moving average using this new series.62 calculation.170059137 0.28.28.015885784 0.164487999 0. we can see that the average value of 1 period unconditional return throughout the series observed is 12.1. Mean of 1 Period Unconditional Basic Return from The Bootstrapped Series This table presents the result of mean from unconditional basic return for 1 period (10 minutes) from the bootstrapped series. This process of re-sampling to generate new series and all of the calculation of its return is done up to 500 times as already well described in the previous chapter.123077793 Source : Author’s explication BUMI TLKM ADRO ASII BBRI TRUB BDMN ITMG BBNI MIRA SGRO ELSA INKP CTRA CTRP 0.

013740) (0.022815) (0.012465) (0.015762) (0.043047 0.010245 0. Fraction of Buy>Actual Return presents the value of fraction of specified aspect (buy).016256) (0.165188 0.014353) (0.020648) (0.010407) (0.019091) (0.024351) (0. which generates a higher value than 0. Then the moving average rules are employed to this series. Buy-Sell aspect is simply the mean return of difference between Buy and Sell.088908 0.029911 0.217480 0.018685) (0.016313) (0.019244) (0.024974 0.104039 0.057081 0.015501) (0. Table 4.008207) (0. Fraction of Buy>0 presents the value of fraction of specified aspect (buy).054438 0.009940 0.200) 0.012877) (0.019645) (0.028530) (0.009940 0.29.50) BUMI TLKM ADRO ASII BBRI TRUB BDMN Mean of RGBS ITMG BBNI MIRA SGRO ELSA INKP CTRA CTRP General BUMI TLKM ADRO ASII BBRI TRUB Mean of RGSS BDMN ITMG BBNI MIRA SGRO ELSA INKP (0.012465) (0.019319) (0.013305) (0.043179 0.016662) (0. However our basic value of analysis to compare is the unconditional return from the original series.021496) (0. Fraction of Buy>Bootstrapped Return presents the value of fraction of specified aspect (buy).050685 0.028301) MA(5.050937 0.015410 0.016581) (0.018410) (0. MA(5.020336) (0.008245 0.019139) (0.013933) (0.017427) (0. For other aspect (sell and buy-sell) it follows.021150) (0.017711) (0.014705) (0.015328) (0.141510 (0.019091) (0.008568) (0.026235 0.017688) (0.026537) (0.013569) (0.022482) (0.011922) (0.027218) (0.056746 Universitas Indonesia . and Sell aspect presents the mean return generated for sell signal.025830) MA(5.018109) (0. which generates a higher value than unconditional mean return in the actual series.053038 0.001143) 0. The Buy aspect presents the mean return generated for buy signal.015611) (0.009982) (0.030058) (0.016406) (0.63 This value will further used as a factor of comparison for the t-test to generate a conclusion.101865 0.035303 0.015007) (0.022158) (0.049259 0.018109) (0. Result of The Application of Combined Moving Average Rules To The Bootstrapped Series The original data series is re-sampled with replacement in order following the concept of bootstrap simulation.150) (0.018123) (0.021384) (0.012930) (0. which generates a higher value than unconditional mean return in the bootstrapped series.029911 0.105127 0.016706) (0.011922) (0.018072) (0.087056 0.027735 0.030962) (0.

005212 0.000000 1.041294) (0.002973 0.024889) (0.000000 0.000000 1.000000 1.000000 1.001839 0.015226 0.079767 0.078478 (0.000000 0.037797) (0.000000 1.002648) 0.021704) (0.000000 0.000000 0.000000 0.049601) (0.000000 0.000000 0.019894) (0.200) 0.000000 0.000000 0.002129) (0.29.006187 0.000000 MA(5.000000 0.019971) (0.000000 0.020134) (0.000000 0.000000 0.000000 0.000000 0.000000 0.935467 0.000000 0.000000 0.037971) (0.000000 1.000000 1.000000 0.000000 0.000000 0.000000 0.075971) (0.004806 0.013352 (0.150) (0.001774 0.005299 0.012899 0.006626 0.009389) (0.028064) (0.019971) (0.002722) 0.000000 0.002577 0.000000 0.036721) (0.000000 0.001333) 0.000000 0.000000 0.000000 1.005041 0.000000 0.000000 0.000000 0.091979 0.002988 0.000000 0.000000 1.000000 1.002840 0.000000 0.016609 0.000000 0.000000 MA(5.006922 0.017476) (0.50) CTRA Mean of RGSS CTRP General BUMI TLKM ADRO ASII BBRI TRUB BDMN Mean of RGBS-RGSS ITMG BBNI MIRA SGRO ELSA INKP CTRA CTRP General BUMI TLKM ADRO ASII BBRI TRUB Fraction of Return Generated From Buy Signal>Unconditional Basic Return From Actual Series BDMN ITMG BBNI MIRA SGRO ELSA INKP CTRA CTRP General Fraction of Return Generated From Buy Signal>Unconditional Basic Return From Bootstrapped Series BUMI TLKM ADRO ASII (0.000000 0.64 Table 4.060060) (0.000000 0.000000 0.011607 (0.004336 0.000000 1.004874 0.022585) (0.007201 0.000000 0.020998) (0.014561 0.044783) (0.002192) (0.000000 Universitas Indonesia .006187 0.000000 0.000000 0.001651) 0.003170 0.035298) 1. Result of The Application of Combined Moving Average Rules To The Bootstrapped Series (Continued) MA(5.040000 1.023235) (0.000000 0.006626 0.000000 0.000000 0.030511) (0.000000 0.002622 0.000000 0.

000000 0.000000 0.000000 0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 0. Result of The Application of Combined Moving Average Rules To The Bootstrapped Series (Continued) MA(5.000000 1.000000 0.000000 0.000000 0.000000 0.000000 MA(5.000000 0.000000 0.000000 1.000000 0.000000 0.000000 1.000000 0.000000 0.000000 MA(5.000000 1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.29.000000 0.000000 1.000000 0.000000 0.000000 1.000000 1.000000 0.000000 0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 1.000000 0.000000 0.000000 1.000000 0.000000 1.000000 1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.052000 1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.936800 1.000000 0.000000 1.000000 0.000000 1.000000 0.000000 0.000000 0.50) BBRI TRUB BDMN ITMG Fraction of Return Generated From Buy Signal>Unconditional Basic Return From Bootstrapped Series BBNI MIRA SGRO ELSA INKP CTRA CTRP General BUMI TLKM ADRO ASII BBRI TRUB BDMN Fraction of Return Generated From Buy Signal>0 ITMG BBNI MIRA SGRO ELSA INKP CTRA CTRP General BUMI TLKM ADRO ASII BBRI TRUB Fraction of Return Generated From Sell Signal>Unconditional Basic Return From Actual Series BDMN ITMG BBNI MIRA SGRO ELSA INKP CTRA CTRP General 0.000000 1.000000 1.000000 0.000000 0.061600 1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.150) 0.000000 0.000000 0.000000 1.000000 Universitas Indonesia .000000 0.000000 0.65 Table 4.000000 0.000000 0.000000 1.000000 0.200) 0.000000 1.000000 0.000000 1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.

000000 0.942000 1.000000 0.960000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.29.000000 1.000000 0.000000 0.000000 0.000000 0.000000 1.000000 0.000000 0.000000 0.904000 1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.018000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 0.000000 0. Result of The Application of Combined Moving Average Rules To The Bootstrapped Series (Continued) MA(5.000000 0.000000 1.000000 0.000000 0.998000 0.000000 1.000000 0.000000 1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.276000 0.000000 0.02600000 MA(5.000000 0.000000 0.000000 0.000000 0.000000 1.000000 0.000000 1.000000 0.00000000 Universitas Indonesia .000000 0.000000 0.000000 0.000000 0.000000 0.200) 0.000000 0.026000 0.000000 1.000000 0.000000 0.000000 0.996000 0.000000 0.000000 1.000000 1.000000 0.66 Table 4.924000 0.000000 0.000000 0.000000 0.000000 0.000000 0.334000 0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.150) 0.000000 0.000000 0.000000 0.000000 0.50) BUMI TLKM ADRO ASII BBRI TRUB Fraction of Return Generated From Sell Signal>Unconditional Basic Return From Bootstrapped Series BDMN ITMG BBNI MIRA SGRO ELSA INKP CTRA CTRP General BUMI TLKM ADRO ASII BBRI TRUB BDMN Fraction of Return Generated From Sell Signal>0 ITMG BBNI MIRA SGRO ELSA INKP CTRA CTRP General BUMI TLKM ADRO Fraction of Difference in Return Generated From Buy SignalReturn Generated From Sell Signal>Unconditional Basic Return From Actual Series ASII BBRI TRUB BDMN ITMG BBNI MIRA SGRO 0.02600000 MA(5.000000 0.000000 0.000000 0.133333 1.916000 1.000000 1.000000 0.000000 1.000000 0.000000 0.000000 0.924000 1.000000 1.000000 0.

000000 0.000000 0.000000 1.200) 0.000000 0.000000 0. Result of The Application of Combined Moving Average Rules To The Bootstrapped Series (Continued) MA(5.000000 0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 0.988000 1.000000 0.000000 0.998000 0.300000 0.000000 1.000000 0.000000 0.000000 0.000000 0.362000 0.000000 0.998000 0.000000 0.000000 0.000000 0.000000 0.000000 0.811467 0.000000 0.000000 0.000000 0.914000 1.000000 0.000000 0.000000 0.000000 0.000000 0.29.000000 0.000000 0.000000 0.000000 0.000000 1.978000 0.000000 0.000000 0.000000 0.030000 1.67 Table 4.022000 0.992000 1.000000 0.998000 0.000000 0.000000 0.150) 1.000000 0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 0.806000 MA(5.000000 0.000000 0.938000 0.000000 0.934000 1.000000 0.000000 0.000000 0.000000 0.000000 0.956000 1.000000 0.030000 1.000000 0.000000 1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 Source : Author’s explication First look of presented result of the application of these combined moving average rules to the bootstrapped series may be the generated mean return for generated buy signal.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 1. From the presentation for mean of return generated from Universitas Indonesia .000000 0.000000 0.932000 1.801733 0.000000 1.000000 0.998000 0.000000 0.50) Fraction of Difference in Return Generated From Buy SignalReturn Generated From Sell Signal>Unconditional Basic Return From Actual Series ELSA INKP CTRA CTRP General BUMI TLKM ADRO ASII BBRI Fraction of Difference in Return Generated From Buy SignalReturn Generated From Sell Signal>Unconditional Basic Return From Bootstrapped Series TRUB BDMN ITMG BBNI MIRA SGRO ELSA INKP CTRA CTRP General BUMI TLKM ADRO ASII BBRI TRUB Fraction of Difference in Return Generated From Buy SignalReturn Generated From Sell Signal>0 BDMN ITMG BBNI MIRA SGRO ELSA INKP CTRA CTRP General 1.000000 0.000000 0.815867 MA(5.016000 0.000000 0.000000 0.000000 0.000000 0.000000 0.

8478%. While for MA(5. As what brought by Brock.150) shows a positivity with its mean return.200) is positive which shows that the application of this moving average rules in general will also generate a positive return for investors. This circumstance once again strengthen the position of applying MA(5. we may infer that with the application of MA(5.50) and MA(5.200) to the bootstrapped series. in the result presentation we also present a fraction of resulted mean return in comparison with some specific parameters. in which the result of mean of difference between return generated from buy signal with return generated from sell signal all are negative. It shows from a positive average value of buy-sell difference.50) and MA5(150). To provide a better understanding.200) differs with MA(5. 14 of it shows a positive mean return result and only bootstrapped series of TLKM that resulted with negative mean return.200) to the bootstrapped series. The average value of mean return generated for MA(5. It shows under the employ of MA(5. The only negativity of this aspect appears only in 3 out of 15 stocks observed (BUMI. From this return from buy signal and return from sell signal. out of 15 stocks series tested.50) and MA(5.150).200) to the other two tested rules. This consistency is in how the rule MA(5.200). for MA(5. no positive mean return generated. Whereas. While the other characteristic appears with the application of MA(5. From this presentation of mean return generated from buy signal. none of the results from MA(5. But. sell signal and the difference of two.150). all the resulted return from sell signal is higher than the buy signal. and SGRO).200) all the resulted mean return for sell signal is positive. For mean return of generated sell signal. the value of return generated from buy signal is somewhat higher than return generated from sell signal. we can see that for MA(5. the condition is very much alike with the one in generated buy signal return. Premature conclusion that we may have from this finding is that the employ of such trading rule may more valuable for generating sell signal. MIRA. and Lakonishok (1992) in their Universitas Indonesia . Le Baron. which at last also generate a positive average value of it with the value of 7. we can say that the result is somehow consistent with the previous analysis under the use of moving average rules to the original series.50) and MA(5.68 buy signal.

150) is really outperformed. the null hypothesis of return equality can be accepted. will be presented in the following table : Table 4. Whilst. the fraction of return generated buy signal that higher than the unconditional basic return in the original series.025 as the significance level. Shown here the hypothesis supported under specific stock and specific parameters.936).50) and MA(5.150) shows no fraction value higher than 0.50) and MA(5. For MA(5.200). Hence. which is lower than 0. with fraction value as 0. (14 stocks out of 15 stocks observed resulted a fraction value 1. the p value then become 1.69 seminal paper. this value of fraction may serve to calculate p value to support our choice of hypothesis. For the first look. the general fraction value of employing MA(5.150). which is bigger than 0.50) and MA(5.150) Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 MA(5. since no return of it subset the unconditional basic return from the original series. All the resulted return generated from buy signal from MA(5. while the other 1 stock resulted a fraction value 0.50) Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 MA(5.200) Reject H0 Not Reject H0 Reject H0 Reject H0 Reject H0 Not Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Universitas Indonesia . Hence. From this majority fraction value of 1. for MA(5.93546). the result of whether the fraction value support us to reject the null hypothesis of return equality or not.064 (10.Test the equality of return from application of moving average rules with the unconditional mean return from the original series ADRO ASII BBRI TRUB BDMN ITMG BBNI MIRA MA(5. solely for MA(5.200) to the all the bootstrapped series also become somewhat high (0. For the other fraction concept. Treating this value to calculate p value. we can have the value of 0.025 as significance level. in which most of the resulted return from this buy signal have a fraction value 1. This shows us that for return generated by its buy signal. Parameter BUMI TLKM Fraction of Buy>Actual Return .200) the condition is very much different. MA(5. null hypothesis of return equality is rejected.30.04). Summary of Result Over The Fraction Value to Hypothesis Conclusion This table presents the summary of how the calculated fraction of value for each set of parameter (which further calculated become p value) effects the conclusion of which hypothesis to support.

50) SGRO ELSA INKP CTRA CTRP General BUMI TLKM ADRO ASII Fraction of Buy>Bootstrapped Return .30.Test the equality of return from application of moving average rules with the unconditional mean return from the original series MA(5. Summary of Result Over The Fraction Value to Hypothesis Conclusion (Continued) Parameter Fraction of Buy>Actual Return .70 Table 4. TRUB BDMN ITMG BBNI MIRA SGRO ELSA INKP CTRA CTRP General Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 MA(5.150) Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 MA(5.Test the equality of return from application of moving average rules with the unconditional mean return from the bootstrapped series BBRI TRUB BDMN ITMG BBNI MIRA SGRO ELSA INKP CTRA CTRP General BUMI TLKM ADRO ASII BBRI Fraction of Buy>0 shows the equality of return from the application of moving average rules to zero (showing whether the rules tested have value or not).200) Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Reject H0 Not Reject H0 Reject H0 Reject H0 Reject H0 Not Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Not Reject H0 Universitas Indonesia .

50) Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 MA(5.30.150) Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 MA(5.Test the equality of return from application of moving average rules with the unconditional mean return from the original series TRUB BDMN ITMG BBNI MIRA SGRO ELSA INKP CTRA CTRP General BUMI TLKM ADRO ASII Fraction of Sell>Bootstrapped Return.200) Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Not Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Not Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Universitas Indonesia .71 Table 4. Summary of Result Over The Fraction Value to Hypothesis Conclusion (Continued) Parameter BUMI TLKM ADRO ASII BBRI Fraction of Sell>Actual Return . ADRO ASII BBRI TRUB BDMN ITMG BBNI MIRA SGRO ELSA MA(5.Test the equality of return from application of moving average rules with the unconditional mean return from the bootstrapped series BBRI TRUB BDMN ITMG BBNI MIRA SGRO ELSA INKP CTRA CTRP General BUMI TLKM Fraction of Sell>0 shows the equality of return from the application of moving average rules to zero (showing whether the rules tested have value or not).

200) Reject H0 Reject H0 Reject H0 Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Universitas Indonesia . Summary of Result Over The Fraction Value to Hypothesis Conclusion (Continued) Parameter INKP Fraction of RGSS>0 CTRA CTRP General BUMI TLKM ADRO ASII BBRI Fraction of Buy-Sell>Actual Return .50) Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Reject H0 Not Reject H0 Not Reject H0 Reject H0 Not Reject H0 Reject H0 Not Reject H0 Reject H0 Not Reject H0 Not Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Reject H0 Not Reject H0 Not Reject H0 Reject H0 Not Reject H0 Reject H0 MA(5.150) Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Reject H0 Not Reject H0 Not Reject H0 Reject H0 Not Reject H0 Reject H0 Not Reject H0 Reject H0 Not Reject H0 Not Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Reject H0 Reject H0 Not Reject H0 Reject H0 Not Reject H0 Reject H0 MA(5.30.Test the equality of return from application of moving average rules with the unconditional mean return from the original series TRUB BDMN ITMG BBNI MIRA SGRO ELSA INKP CTRA CTRP General BUMI TLKM ADRO ASII BBRI Fraction of BuySell>Bootstrapped Return Test the equality of return from application of moving average rules with the unconditional mean return from the bootstrapped series TRUB BDMN ITMG BBNI MIRA SGRO ELSA INKP CTRA CTRP General BUMI Fraction of Buy-Sell>0 shows the equality of return from the application of moving average rules to zero (showing whether the rules tested have value or not).72 Table 4. TLKM ADRO ASII BBRI TRUB BDMN MA(5.

MIRA SGRO ELSA INKP CTRA CTRP General MA(5.50) and MA(5. we can see that most result of hypotheses is not to reject the null hypothesis of return equality. and MA(5.200) in some stocks.150) Not Reject H0 Reject H0 Not Reject H0 Not Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Not Reject H0 MA(5. Further for the generation of conclusion for return generated from sell signal. From the employ of combined moving average rules. MA(5. and zero value. unconditional basic return from bootstrapped series. Several conditions that result a rejection of null hypothesis only seen for partial application of MA(5. Summary of Result Over The Fraction Value to Hypothesis Conclusion (Continued) Parameter ITMG BBNI Fraction of Buy-Sell>0 . Since the resulted p value across MA(5.50).30.150). This condition of not rejecting the null hypothesis for two-tailed test at 95% degree of confidence apply for most of the return generated from buy signal. but when it comes to general application to all observed stock the result is still not to reject the null hypothesis.30. for return generated from buy signal.50) Not Reject H0 Reject H0 Not Reject H0 Not Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Not Reject H0 MA(5.200) Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Source : Author’s explication By the presentation in Table 4. all the resulted hypotheses are not to reject the null hypothesis of return equality in comparison of return generated from sell signal with unconditional basic return Universitas Indonesia . For return generated from buy signal.73 Table 4. all recommends not to reject the null hypothesis for all tested combined moving average rules.shows the equality of return from the application of moving average rules to zero (showing whether the rules tested have value or not).200). there is some differences in the resulted hypothesis throughout the examined combined moving average rules.150). and the difference of two. which cause the p value becomes 1). comparing the return with the unconditional basic return from original series. it also shows that return generated from buy signals is no different than zero. return generated from sell signal. For MA(5.025 (as the fraction value all are 0. all are larger than 0.

200) in which this rule results a conclusion to reject the hypothesis of return equality with zero. once again. However.200) really have value in generating sell signal. MA(5. bootstrapped series and 0. with the comparison of return generated from sell signal with zero value.150) generates no significant value at 5% significance level. This consistent with the previous conclusion that MA(5. unconditional basic return from bootstrapped series and zero Universitas Indonesia . By this result.150) support the hypothesis of return equality with zero. However. by assuming the bootstrapped series as an original series . there is several drift in result for the stocks observed partially. we can say from the observed combined moving average rules tested. Meanwhile. The result of hypothesis for comparison of return generated from sell signal with the unconditional basic return from actual series is to reject the null hypothesis of return equality. under this comparison. This means.200) is not equal to unconditional basic return at 5% significance level. the result is not reject the null hypothesis of return equality.200) to the bootstrapped series. anomaly exist for MA(5.200) will generate return for sell signal that is no difference in term of value with the unconditional basic return from the bootstrapped series.50) and MA(5. which means that this MA(5.50) and MA(5. However. Whilst. this value inequality still need to evaluated further to test whether the return generated from sell signal outperforms the unconditional basic return from actual series. In which. when the test is re-done for the overall bootstrapped stock series observed.200) is the one that generates value for investors. the employ of MA(5. the circumstance do not apply for the application of MA(5. For the result of conclusion to available hypotheses for the difference of return generated from buy signal and return generated from sell signal. This means that the return resulted from sell signal with the employ of MA(5. This resulted hypothesis of return comparison between return generated from sell signal with unconditional basic return from actual series is not consistent with the comparison with unconditional basic return from bootstrapped series. both with the unconditional basic return from actual series. the resulted hypothesis is not to reject the null hypothesis of return equality. the resulted hypotheses for MA(5.74 from actual series.

200) is the only rule that results a rejection of null hypothesis results.104038632 0.078478203 0.091979183 0.200) with zero value and the unconditional basic return from actual series. the author conduct a mean comparison analysis which is summarized in the following table : Table 4.029911031 0.30. MA(5. And still this partial result that supporting hypothesis is the most crucial one.029911031 0. we can see from overall aspect and tested rules of combined moving average.101864807 0. because it is compared with the unconditional basic return from actual series and the zero value.008245281 0. Although this result only persists for comparison in return generated from sell signal with unconditional basic return from actual series and zero value. Mean Comparison of Mean Of Return Generated From Sell Signal With Mean of Unconditional Basic Return in Actual Series and Zero Value Mean of RGSS BUMI TLKM ADRO ASII BBRI TRUB BDMN ITMG BBNI MIRA SGRO ELSA INKP CTRA CTRP General 0.000122932 0 Mean of UBR from Actual Series Zero Value Universitas Indonesia .087055945 0.31. Following the result from Table 4.056746447 0. this condition already showing that this particular return providing value for investors while applied.027735482 0.217480369 0. To provide a better analysis regarding the value difference of this MA(5.165187632 0. In this case the employ of combined moving average rules tested generate no value for investors in term of difference between return generated from buy signal and return generated from sell signal.079767457 0.75 value.053038012 0.035303449 0.088908282 0. This two parameter of comparison can be said as the most basic and generic form of parameter that actually exist and not coming from the simulation.

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Table 4.31. Mean Comparison of Mean Of Return Generated From Sell Signal With Mean of Unconditional Basic Return in Actual Series and Zero Value (Continued)

Attributes

Comparison of Mean From RGSS With Mean of UBR from Actual Series BUMI TLKM ADRO ASII BBRI TRUB BDMN ITMG BBNI MIRA SGRO ELSA INKP CTRA CTRP General Higher Higher Higher Higher Higher Higher Higher Higher Higher Higher Higher Higher Higher Higher Higher Higher

Comparison of Mean From RGSS With Zero Value Higher Higher Higher Higher Higher Higher Higher Higher Higher Higher Higher Higher Higher Higher Higher Higher

Source : Author’s explication

From Table 4.31. we can see how the return inequality between the return generated from sell signal and unconditional basic return from actual series and also zero value exists. For this analysis, we compare the mean of each subset data to obtain a conclusion generalization. And by this process, we obtain that for all stocks observed partially and also for the general condition, in which the run done simultaneously, all the resulted mean of return generated from sell signal is greater than the mean of unconditional basic return from actual series and also from zero value. By this higher value of mean, we may take a conclusion upon the next hypothesis, in which then we should reject the null hypothesis stating that the return from the application of moving average rule, in this case return generated

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from sell signal under MA(2,200), is no greater than the paired value observed, in this case is the unconditional basic return from actual series and zero value. After having the combined moving average rules analyzed, the next part of applying bootstrap methodology should also work for analyzing simple moving average rules. The results of application of simple moving average rules to the bootstrapped series are as follow : Table 4.32. Result of The Application of Simple Moving Average Rules To The Bootstrapped Series

The original data series is re-sampled with replacement in order following the concept of bootstrap simulation. Then the moving average rules are employed to this series. The Buy aspect presents the mean return generated for buy signal, and Sell aspect presents the mean return generated for sell signal. Buy-Sell aspect is simply the mean return of difference between Buy and Sell. Fraction of Buy>Actual Return presents the value of fraction of specified aspect (buy), which generates a higher value than unconditional mean return in the actual series. Fraction of Buy>Bootstrapped Return presents the value of fraction of specified aspect (buy), which generates a higher value than unconditional mean return in the bootstrapped series. Fraction of Buy>0 presents the value of fraction of specified aspect (buy), which generates a higher value than 0. For other aspect (sell and buy-sell) it follows.

SMA(1,15) BUMI TLKM ADRO ASII BBRI TRUB BDMN Mean of RGBS ITMG BBNI MIRA SGRO ELSA INKP CTRA CTRP General BUMI TLKM Mean of RGSS ADRO ASII BBRI TRUB 0.5173454 0.0050002 0.1869243 0.2812685 0.1353316 0.0650638 0.1646255 0.2725685 0.3063428 0.1265632 0.1501989 0.2969442 0.2105295 0.2454859 0.2736036 0.2158531 0.1130059 (0.0108929) 0.0876139 0.1124269 0.0795638 0.0384844 SMA(1,10) 0.5216237 0.0633559 0.1892193 0.2835243 0.1364658 0.0651487 0.1654611 0.2749535 0.3075563 0.1287746 0.1524910 0.2981106 0.2107516 0.2488875 0.2770639 0.2215592 0.1173055 0.0474643 0.0899083 0.1146907 0.0806972 0.0385696 SMA(1,5) 0.5375894 0.0660915 0.1969170 0.2912276 0.1405068 0.0653884 0.1691187 0.2831967 0.3137340 0.1354663 0.1595697 0.3051936 0.2131696 0.2590497 0.2872698 0.2282326 0.1332713 0.0502000 0.0976060 0.1223940 0.0847382 0.0388093

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Table 4.32. Result of The Application of Simple Moving Average Rules To The Bootstrapped Series (Continued)

SMA(1,15) BDMN ITMG BBNI MIRA Mean of RGSS SGRO ELSA INKP CTRA CTRP General BUMI TLKM ADRO ASII BBRI TRUB BDMN Mean of RGBS-RGSS ITMG BBNI MIRA SGRO ELSA INKP CTRA CTRP General BUMI TLKM ADRO ASII BBRI TRUB Fraction of Return Generated From Buy Signal>Unconditional Basic Return From Actual Series BDMN ITMG BBNI MIRA SGRO ELSA INKP CTRA CTRP General 0.0898350 0.1079222 0.1187823 0.0718506 0.0803165 0.1114021 0.1060286 0.0970527 0.1034387 0.0871221 0.4043395 0.0158931 0.0993104 0.1688416 0.0557678 0.0265794 0.0747905 0.1646463 0.1875605 0.0547126 0.0698824 0.1855421 0.1045009 0.1484332 0.1701649 0.1287310 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000

SMA(1,10) 0.0906666 0.1102999 0.1199902 0.0740599 0.0826106 0.1125618 0.1062544 0.1004448 0.1068971 0.0928281 0.4043181 0.0158915 0.0993110 0.1688335 0.0557686 0.0265791 0.0747945 0.1646536 0.1875661 0.0547147 0.0698804 0.1855488 0.1044972 0.1484427 0.1701668 0.1287311 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000

SMA(1,5) 0.0943243 0.1185431 0.1261679 0.0807516 0.0896893 0.1196447 0.1086724 0.1106070 0.1171030 0.0995015 0.4043181 0.0158915 0.0993110 0.1688335 0.0557686 0.0265791 0.0747945 0.1646536 0.1875661 0.0547147 0.0698804 0.1855507 0.1044972 0.1484427 0.1701668 0.1287312 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000

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0000000 SMA(1.0000000 0.0000000 1.0000000 1.0000000 0.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.79 Table 4.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 Universitas Indonesia .0000000 0.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 0.0000000 1.0000000 1.0000000 1.0000000 0.0000000 1.10) 1.0000000 1.0000000 1.0000000 1.0000000 0.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.32.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 0.0000000 1.8026667 1. Result of The Application of Simple Moving Average Rules To The Bootstrapped Series (Continued) SMA(1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.8665333 1.1600000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.8162667 1.0000000 1.0000000 0.0000000 1.0000000 1.0000000 0.0000000 1.0000000 1.15) BUMI TLKM ADRO ASII BBRI Fraction of Return Generated From Buy Signal>Unconditional Basic Return From Bootstrapped Series TRUB BDMN ITMG BBNI MIRA SGRO ELSA INKP CTRA CTRP General BUMI TLKM ADRO ASII BBRI TRUB BDMN Fraction of Return Generated From Buy Signal>0 ITMG BBNI MIRA SGRO ELSA INKP CTRA CTRP General BUMI TLKM Fraction of Return Generated From Sell Signal>Unconditional Basic Return From Actual Series ADRO ASII BBRI TRUB BDMN ITMG 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 SMA(1.0000000 1.0000000 1.0000000 1.0000000 1.5) 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 0.0000000 0.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.

0000000 1.0000000 1.0000000 0.0000000 0.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 0.0000000 1.0000000 1.0000000 0.0000000 1.0000000 1.0000000 0.5) 1.0000000 1.0000000 0.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 0.0000000 0.0000000 1.0000000 1.0000000 1.0000000 1.9333333 SMA(1.0000000 1.0000000 0.0000000 1.0000000 0.0000000 1.0000000 1.9333333 0.0000000 1.0000000 0.0000000 1.0000000 1.0000000 1.0000000 1.0000000 0. Result of The Application of Simple Moving Average Rules To The Bootstrapped Series (Continued) SMA(1.0000000 0.0000000 1.0000000 Universitas Indonesia .0000000 1.0000000 0.80 Table 4.0000000 0.0000000 1.10) 1.0588000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 0.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 0.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 0.0000000 1.0000000 0.0000000 1.0000000 0.0000000 1.0000000 0.0000000 1.0000000 0.0000000 1.0000000 0.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 0.15) BBNI MIRA Fraction of Return Generated From Sell Signal>Unconditional Basic Return From Actual Series SGRO ELSA INKP CTRA CTRP General BUMI TLKM ADRO ASII BBRI Fraction of Return Generated From Sell Signal>Unconditional Basic Return From Bootstrapped Series TRUB BDMN ITMG BBNI MIRA SGRO ELSA INKP CTRA CTRP General BUMI TLKM ADRO ASII BBRI TRUB BDMN Fraction of Return Generated From Sell Signal>0 ITMG BBNI MIRA SGRO ELSA INKP CTRA CTRP General 1.0000000 0.0000000 1.0000000 1.0000000 1.0000000 0.8360000 0.0000000 1.32.0000000 0.0000000 1.0000000 0.0000000 1.0000000 1.0000000 0.0000000 1.0000000 1.0000000 1.0000000 1.0000000 0.0000000 1.8840000 0.0000000 1.0000000 SMA(1.0000000 1.0000000 1.

5240000 0.0000000 1.0000000 1.4600000 0.4600000 0.0000000 1.0000000 SMA(1.0000000 1.0000000 1.32.5140000 1.5040000 0.0000000 1.0000000 1.0000000 1.4929860 0.0000000 1.4666667 1.0000000 0.0000000 1.5000000 0.0000000 1.0000000 1.5160000 1.5440000 0.0000000 1.0000000 0.4666667 1.5000000 0.0000000 1.4900000 0.15) BUMI TLKM ADRO ASII BBRI Fraction of Difference in Return Generated From Buy Signal-Return Generated From Sell Signal>Unconditional Basic Return From Actual Series TRUB BDMN ITMG BBNI MIRA SGRO ELSA INKP CTRA CTRP General BUMI TLKM ADRO ASII BBRI Fraction of Difference in Return Generated From Buy Signal-Return Generated From Sell Signal>Unconditional Basic Return From Bootstrapped Series TRUB BDMN ITMG BBNI MIRA SGRO ELSA INKP CTRA CTRP General BUMI Fraction of Difference in Return Generated From Buy Signal-Return Generated From Sell Signal>0 TLKM ADRO ASII BBRI TRUB BDMN 1.4580000 0.0000000 1.0000000 1.0000000 1.0000000 1.0000000 0.0000000 0.4840000 0.0000000 1.0000000 1.0000000 0.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 1.0000000 Universitas Indonesia .0000000 1.5020000 0.0000000 1.4920000 0.0000000 1.0000000 1.4560000 0.4720000 0.5000000 1.0000000 1.0000000 0.0000000 SMA(1.5100000 0.5000000 1.0000000 1.0000000 1.81 Table 4.5) 1.0000000 1.0000000 0.4900000 0.0000000 1.5120000 0.0000000 1.0000000 1.0000000 1.4665955 1.0000000 1.0000000 1.0000000 1.4840000 0.0000000 0.0000000 0.5160000 1.0000000 0.0000000 1.5120000 0.0000000 1.5020000 0.0000000 1.0000000 1.0000000 1.5040000 1.4960000 0.4720000 0.0000000 1.0000000 1.4640000 0.4860000 0.0000000 0.10) 1.0000000 1.0000000 1. Result of The Application of Simple Moving Average Rules To The Bootstrapped Series (Continued) SMA(1.0000000 1.0000000 1.5400000 0.5240000 0.5040000 0.0000000 0.5320000 0.0000000 1.4720000 0.0000000 1.4940000 0.0000000 1.0000000 1.0000000 1.0000000 1.5440000 0.0000000 1.4580000 0.0000000 1.

32.0000000 1.0000000 1.15) partially to the bootstrapped series of TLKM.29.32. the general results for mean of return generated from sell signal from applying SMA(5.5) 1.0000000 1. For return generated from sell signal .0000000 1. The result in Table 4.10). the result after applying the simple moving average rules tested all are negative. Result of The Application of Simple Moving Average Rules To The Bootstrapped Series (Continued) SMA(1.0000000 1. unconditional basic return from bootstrapped series.10) 1.0000000 1.5).0000000 1. This negative values are all around -12.15) are all positive.9%. For mean of difference between return generated from buy signal and return generated from sell signal.0000000 1. the only negative value appears on mean of return generated from sell signal of applying simple moving average SMA(5. SMA(5.0000000 1.0000000 1.15) ITMG BBNI Fraction of Difference in Return Generated From Buy Signal-Return Generated From Sell Signal>0 MIRA SGRO ELSA INKP CTRA CTRP General 1. also shows us the number of fraction of several parameters comparing the mean of return generated from buy signal.0000000 1.0000000 1. and zero value.0000000 1.0000000 1. However the partial result for TLKM is.0000000 1.0000000 1.15)).0000000 1.32.0000000 1.0000000 1.0000000 Source : Author’s Explication From the presentation in Table 4.0000000 1.0000000 SMA(1.0000000 1. the mean of return generated from sell signal and the difference of two with the unconditional basic return from original series.0000000 1. are all positive. it can be seen that the simple moving average tested that generates the highest mean of return generated from buy signal is MA(5.0000000 SMA(1.32.0000000 1. will also treated to generate a p value that may lead Universitas Indonesia .0000000 1. While for the other results are all positive.82 Table 4. we may see that the means of return generated from buy signal resulted from simple moving average tested. And from the general result. and SMA(5.10) (while the one that generates the lowest mean of return from buy signal is MA(5. this fraction value results in Table 4.. As the result of fraction values in Table 4.

Shown here the hypothesis supported under specific stock and specific parameters.83 the conclusions of this study toward the null hypothesis of return equality among the compared series.Test the equality of return from application of moving average rules with the unconditional mean return from the original series TRUB BDMN ITMG BBNI MIRA SGRO ELSA INKP CTRA CTRP General BUMI Fraction of Buy>Bootstrapped Return Test the equality of return from application of moving average rules with the unconditional mean return from the bootstrapped series TLKM ADRO ASII BBRI TRUB BDMN ITMG BBNI SMA(15) Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Not Reject H0 Reject H0 Reject H0 Reject H0 Not Reject H0 Reject H0 Reject H0 Reject H0 SMA(10) Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Not Reject H0 Reject H0 Reject H0 Reject H0 SMA(5) Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Not Reject H0 Reject H0 Reject H0 Reject H0 Universitas Indonesia . Parameter BUMI TLKM ADRO ASII BBRI Fraction of Buy>Actual Return . Having the fraction values in Table IV.32 treated. Summary of Result Over The Fraction Value to Hypothesis Conclusion For Application of Simple Moving Average Rules This table presents the summary of how the calculated fraction of value for each set of parameter for the application of simple moving average rules to the bootstrapped series (which further calculated become p value) effects the conclusion of which hypothesis to support.33. we may have results of p value presented in the following table : Table 4.

TRUB BDMN ITMG BBNI MIRA SGRO ELSA INKP CTRA CTRP General BUMI TLKM ADRO ASII BBRI Fraction of Sell>Actual Return .33. Summary of Result Over The Fraction Value to Hypothesis Conclusion For Application of Simple Moving Average Rules (Continued) Parameter MIRA Fraction of Buy>Bootstrapped Return Test the equality of return from application of moving average rules with the unconditional mean return from the bootstrapped series SGRO ELSA INKP CTRA CTRP General BUMI TLKM ADRO ASII BBRI Fraction of Buy>0 .shows the equality of return from the application of moving average rules to zero (showing whether the rules tested have value or not).84 Table 4.Test the equality of return from application of moving average rules with the unconditional mean return from the original series TRUB BDMN ITMG BBNI MIRA SGRO ELSA INKP CTRA CTRP General SMA(15) Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Not Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Not Reject H0 Not Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Not Reject H0 SMA(10) Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Not Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Not Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 SMA(5) Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Not Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Not Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Universitas Indonesia .

Summary of Result Over The Fraction Value to Hypothesis Conclusion For Application of Simple Moving Average Rules (Continued) Parameter BUMI TLKM ADRO ASII Fraction of Sell>Bootstrapped Return.85 Table 4.Test the equality of return from application of moving average rules with the unconditional mean return from the bootstrapped series BBRI TRUB BDMN ITMG BBNI MIRA SGRO ELSA INKP CTRA CTRP General BUMI TLKM ADRO ASII Fraction of Sell>0 shows the equality of return from the application of moving average rules to zero (showing whether the rules tested have value or not).33. BBRI TRUB BDMN ITMG BBNI MIRA SGRO ELSA INKP CTRA CTRP General BUMI Fraction of BuySell>Actual Return Test the equality of return from application of moving average rules with the unconditional mean return from the original series TLKM ADRO ASII BBRI TRUB BDMN ITMG BBNI SMA(15) Not Reject H0 Not Reject H0 Reject H0 Not Reject H0 Reject H0 Not Reject H0 Reject H0 Not Reject H0 Not Reject H0 Reject H0 Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Reject H0 Not Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Not Reject H0 Reject H0 Reject H0 Not Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 SMA(10) Not Reject H0 Reject H0 Reject H0 Not Reject H0 Reject H0 Not Reject H0 Reject H0 Not Reject H0 Not Reject H0 Reject H0 Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Not Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 SMA(5) Not Reject H0 Reject H0 Reject H0 Not Reject H0 Reject H0 Not Reject H0 Reject H0 Not Reject H0 Not Reject H0 Reject H0 Reject H0 Not Reject H0 Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Not Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Universitas Indonesia .

86 Table 4.Test the equality of return from application of moving average rules with the unconditional mean return from the bootstrapped series BBRI TRUB BDMN ITMG BBNI MIRA SGRO ELSA INKP CTRA CTRP General BUMI TLKM ADRO ASII BBRI Fraction of Buy-Sell>0 shows the equality of return from the application of moving average rules to zero (showing whether the rules tested have value or not).Test the equality of return from application of moving average rules with the unconditional mean return from the original series MIRA SGRO ELSA INKP CTRA CTRP General BUMI TLKM ADRO ASII Fraction of BuySell>Bootstrapped Return . Summary of Result Over The Fraction Value to Hypothesis Conclusion For Application of Simple Moving Average Rules (Continued) Parameter Fraction of BuySell>Actual Return .33. TRUB BDMN ITMG BBNI MIRA SGRO ELSA INKP CTRA CTRP General SMA(15) Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Not Reject H0 Not Reject H0 Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 SMA(10) Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Not Reject H0 Not Reject H0 Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 SMA(5) Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Not Reject H0 Not Reject H0 Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Reject H0 Source : Author’s Explication Universitas Indonesia .

5. But when it comes to comparison with the null value. sell signal and the difference of two with unconditional basic return from bootstrapped series. application of simple moving average mostly shows a result to reject the null hypothesis. the simple moving average rules applied also create no value for investors in compared with the unconditional basic return.33. and since it is taken from fraction value of mean return greater than zero. that the result of employing simple moving average rules to the bootstrapped series is not the same with combined moving average rules. the conclusion is most simple moving average results a return greater than zero. For comparison with the unconditional basic return from original series. the comparison that much more suitable to lead us a conclusion is still the one with unconditional basic return from bootstrapped series. Early conclusion that may be taken from this result is that SMA(1.33. This is shown. sell signal. This shows us that the return resulting from simple moving average is not zero.87 From taking the resulted p value to construct the conclusion of hypothesis.5) which results not to reject the null hypothesis. and the difference of two). different with the combined moving average result. since the very basic aim of this study is to provide a deepened for a general condition. The only exception exists for return generated from sell signal from SMA(1. However. This term may lead us to a conclusion that the moving average rules tested have value. 4.15) is the least profitable simple moving average rules in compare with the other two tested. Further Analysis Employing bootstrap methodology to the observed stock price series provide us a better understanding over the real value of applying moving average Universitas Indonesia . We can see from Table 4. we can see from Table 4. that the result of not to reject of null hypothesis of return equality with the comparing parentheses only exists with comparison between return generated from buy signal. while taking the assumption of bootstrapped condition as a general condition. all generates a result to reject the null hypothesis. return generated from the application of simple moving average rules in this bootstrapped series (whether for buy signal.

unconditional basic return from bootstrapped series and even not really differs from zero.88 rules to the observed series. From the results. Even. and zero if investors following the sell signal it generates. in which the return generated by applying this rule is bigger than unconditional basic return from original series that means it provides a better value for investors.200) will still provide no value for investors. we can see that MA(5.200). The result shows us that the return generated from tested simple moving average rules create no outstanding return for investor other than the unconditional basic return itself. the MA(5. the most suitable parameter to make is by taking the unconditional basic return from bootstrapped return as the parameter of comparison. Universitas Indonesia . However. since this rules not really provide a return for investors that differs from unconditional basic return from the original series. if we assume the real unconditional return that should be taken into comparison is the unconditional basic return from bootstrapped series. Since the best way to get a general perspective over the value of tested moving average rules. For the result of applying simple moving average rules to the bootstrapped series show us quite a same result when it comes to a comparison with the unconditional basic return from the bootstrapped series. employing this MA(5. As mention in the previous part of this study. which the employ of bootstrap in this study enable us to get a better perspective about the study for not only within the observed data under the time framework. from the result we obtain a conclusion to reject the null hypothesis. not a perspective that follows only for the observed year 2009. And from the result we can see that most of the tested moving average rules provide no value for investor.200) provide a value that differs from unconditional basic return from original series. Employing this. Of course. The result that already presented and analyzed under this bootstrap already shows us the value of applying moving average rules tested over a general condition (not only for the year of 2009). is to make a full parentheses that occur under the bootstrapped series.200) still provides no value for investors even when they follow it for the sell signal generated. The difference only appear from applying the combined moving average rule MA(5.

Especially when it comes to real practical world when transaction cost is taken into account. Cahan and Cahan (2006) focusing on the use of technical trading rules for intraday stock trading. investors in Indonesia should reconsider the use of moving average rules in their investment decision. we can say that all the observed moving average rules in this study provide no value for investors. Le Baron and Lakonishok (1992) assessing the use of technical trading rules general stock trading concerning general stock trading with daily stock return as the comparing value. But this condition may differs than this study and the one brought by Marshall. So employing this rules will not make investors experiencing an outstanding return other than the unconditional basic return.89 In conclusion. of course this value of return generated from moving average rules that is not so differs from the unconditional basic return will be further deducted by the transaction cost. the use of historical data price in form of moving average trading rule cannot provide an outstanding return for investors. this non-valuable return generated from moving average rules lead to a conclusion of condition that stock market in Indonesia is efficient in a weak form. These findings are consistent with the findings brought by Marshall. In conjunction with the efficient market hypothesis. The findings brought by Brock. While this study and the one brought by Marshall. Other condition that may lead to result difference is the stock observed in which stock market it is listed. Le Baron and Lakonishok (1992). By this conclusion of the value of employing moving average rules. Le Baron and Lakonishok (1992) shows that employing moving average rules at some part will still provide value for investors. This is one proof supporting that the historical prices already reflected in today’s price. Since. so employing these historical data will not giving any extra benefit for investors. Cahan and Cahan (2006) since Borck. Since stock market efficiency really related with the value observed. Universitas Indonesia . Cahan and Cahan (2006) in their seminal paper observing the technical trading rules for intraday stock trading in US Stock Market. But it still contrasts with the first paper employing bootstrap methodology for assessing value of technical trading rules brought by Brock.

we also collect the number of signal generated in each bootstrap method.8 3332. the findings over the non performing moving average rules in generating value for investors is not the sole characteristics in determining stock market efficiency.8 3502. where the first part presents us the simple moving average rules.8 3521.8 3270.6 3688.5) Buy 3794.8 4187.2 3689.Analysis of Signal Generated From Observed Moving Average Rules The result of this study may also lead us to another perspective over the use of moving average rules in generating signals for investor. Le Baron. Le Baron and Lakonishok.6 4517. Since.0 4162.1 3062. in this case under bootstrapped. and the second part presents us the result with combined moving average rules.9 4420.6.15) Buy ADRO ASII BBNI BBRI BDMN BUMI 3642.0 SMA(1.2 4761.1 3555.3 4918. This table divided into two parts. both for sell and buy.2 4468.34.0 Sell 4262.0 Universitas Indonesia .8 3152.4 3396. SMA(1.90 However. We can only relate the findings in this study to our perspective over the efficiency of stock market in Indonesia. this study is not focusing on assessing whether stock market in Indonesia is efficient or not. The process of bootstrapped simulation in this study can be used as an observation whether the observed moving average rules really generate an equal number of signals.0 4548.0 Sell 4152. Summary of Mean Value of Signal Generated for Each Rule This table presents us a summary of mean value of number of signals generated for each rule under the bootstrap simulation.0 3360. 4. technical trading rules should be objective and generating a sell signal as much as buy signal over a general condition. Following the study by Brock.2 4643.0 SMA(1.0 Sell 4298. To obtain a perspective over this concept brought by Brock.2 4581.6 3691.5 3120.7 2991.0 3719.9 4851. and Lakonishok (1992) in their seminal paper. And the summary of the result of this process presented in the following table : Table 4.2 4392.10) Buy 3683.4 4287.5 4788.4 4190.

3 800.3 253.5 814.7 253.2 806.0 SMA(1.0 3083. The t test used to show this number of signals equality is a two tailed test.4 11738.7 253.50) MA(5.0 61385. with 95% degree of confidence.3 800.3 813.4 812.3 253.4 757.5 818.9 Buy 805.3 806.0 748.0 55844.2 Buy ADRO ASII BBNI BBRI BDMN BUMI CTRA CTRP ELSA INKP ITMG MIRA SGRO TLKM TRUB Total 821.8 806. The summary of resulted t test is presented in the following table : Universitas Indonesia .8 Sell 4179.0 4686.2 233.0 4108.1 793.1 790.0 Sell 258.8 790.2 255.7 778.1 255.8 Sell 821.5 788.0 3758.0 6863.7 254.5 818.0 6820.0 5199.0 4420.0 799.0 4165.0 3546.4 757.4 797.0 790.1 793.3 12013.4 814.0 4863.1 258.0 3489.1 244.0 Sell 4170.7 256.0 4442.4 795. Summary of Mean Value of Signal Generated for Each Rule (Continued) SMA(1.0 1046.0 5100.5 788.0 3499.0 796.8 790.3 12013.0 2747.7 253.9 806. we then conduct a t test of equality to test whether the value resulted is the same between buy and sell.0 4094.0 3228.0 3702.0 2814.1 802.2 806.5) Buy 3808.0 62990.7 253.2 755.5 733.0 4368.15) Buy CTRA CTRP ELSA INKP ITMG MIRA SGRO TLKM TRUB Total 3794.3 253.0 254.150) MA(5.0 61692.8 806.9 250.3 816.3 233.0 796.1 Sell 805.5 733.0 3810.0 258.0 802.3 806.1 748.0 6847.0 3806.0 57067.0 5396.0 2741.0 4396.9 250.4 795.0 4092.0 2513.0 3839.0 3497.0 1094.91 Table 4.0 4104.0 4173.0 3672.0 3550.1 790.2 779.4 11738.1 SMA(1.0 254.2 806.200) Source : Author’s Explication From this result.2 755.1 806.8 806.7 256.7 253.7 253.0 3744.2 3768.0 5300.3 797.0 4075.2 236.4 812.0 5168.3 813.1 Sell 4201.0 3665.2 816.7 MA(5.2 779.1 799.0 723.0 4417.0 1067.0 244.1 236.0 3820.6 778.0 Buy 258.10) Buy 3777.34.0 4281.3 253.7 254.0 723.0 2641.1 3769.0 790.0 4148.0 57450.

we can see that the number of signals generated by each moving average rules are both the same for buy and sell signal. The t test conducted is a two tailed test with 95% degree of confidence.35.50) MA(5.135452422 Hypothesis Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Not Reject H0 Source : Author’s Explication Following the result from Table 4. This table presents us the p value in the second column and the hypothesis following it in the next column. This is the conclusion we may obtain as all the tests generate a result not to reject the null hypothesis of equality between generated buy and sell signal.150) MA(5.15) SMA(1.070623841 0.61759025 0. Result of t Test for Equality of Signals Generated Between Buy and Sell This table presents us the result of t test for equality of signals generated between buy and sell signal.572959537 0. Universitas Indonesia . p Value SMA(1.589640069 0.200) 0.5) MA(5.353449427 0.35.92 Table 4.10) SMA(1.

which is the simple moving average rules and combined moving average rules.15) generate a result to reject the null hypothesis of return equality with unconditional basic return from original series under a two tailed test – 5% significance level. in comparison with unconditional basic return. Tested MA(5. The use of combined moving average rules to original data series providing investors with mean of return that is different than the unconditional basic return from the original series. MA(5. However. Conclusion From this study observing several moving average rules. All the tested rules of SMA(1. Further analysis of mean return comparison also shows that applying the simple moving average rules generate a mean return that is higher than the unconditional basic return. b.10). we conduct the bootstrap methodology that provides us a perspective over the value of employing 95 Universitas Indonesia . However this return inequality in return from combined moving average rules stands for lower return resulted from combined moving average rules. While in order to generate a conclusion that more general.50). we may obtain several conclusion both for the original series and for the general condition of employing the rules. The use of simple moving average rules to original data series providing investors with mean of return that is different than the unconditional basic return from the original series.5).200) providing us a result to reject the null hypothesis of return equality with unconditional basic return from original series under a two tailed test – 5% significance level.150). SMA(1. the conclusions we may obtain are as follow : a. this conclusion only persist for the data series in year 2009.CHAPTER 5 CONCLUSION & RECOMMENDATION 5. and MA(5. For employing the moving average rules to the original data series. SMA(1.1.

This conclusion is obtained with a two tailed test. we found that all the result from applying simple moving average rules to the bootstrapped series generate a mean return that is higher than the unconditional basic return from original series (resulted by conclusion to reject null hypothesis). Comparison of return generated from application of simple moving average rules with zero value shown a result that mostly reject null hypothesis. and zero. we take the value of return generated from bootstrapped series as comparing value. 5% significance level. we can see that no single combined moving average rules tested really providing value for investors. This conclusion is obtained with a two tailed test. d. b. For the combined moving average rules. 5% significance level.94 moving average rule not only for year 2009. Further analysis providing us a better look that this moving average rule generates a higher return for investor than the unconditional basic return in the original series. None of the simple moving average rules tested generate a value that differs from the unconditional basic return from original series. In which by the use of two tailed – 5% significance level the return generated from sell signal under MA(5. By this comparison. The conclusions we may obtain with this bootstrap methodology employed are as follow : a. For tested simple moving average rules. unconditional basic return from bootstrapped series. and zero.200). However. all returns generated from MA(5. The only exception exists for return generated from sell signal Universitas Indonesia . f.150) are no different from the unconditional basic return from original series. c. showing the return generated contains value greater than zero. e. unconditional basic return from bootstrapped series. as a good echo to echo comparison.200) is not equal to unconditional basic return from original series and zero. The only difference for the tested combined moving average rules appear for MA(5.50) and MA(5.

15) which shows a conclusion not to reject the null hypothesis of return equality with zero. Recommendation As the first chapter of this study. Following several points that already described above. Academician in the future should also develop a better relation of moving average and any other technical trading rules with available market theory so it no longer being an anathema to the academic world. Those recommendations are : a. Academician will have to conduct a future research with other method. Universitas Indonesia . Since this study aim to provide a value diagnosis over a general condition and time. So the observed moving average rule does not have any tendency to generate a particular signal more than others. we also provide several recommendations for parties that may have stake to the findings resulted from this study. The basic point that leads us to this conclusion is mainly the result of hypothesis by comparing with the return generated from bootstrapped series as the parentheses. between buy and sell signal. concerning which type of moving average rules that may really provide a value for investors. This study also able to show that the signals generated from observed moving average rules are the same in term of number. 5. a comparison with unconditional basic return would be the best parameter to lead our conclusion. all results of return generated from application of simple moving average conclude not to reject the null hypothesis of return equality. g. we may take into a general conclusion that all the moving average technical trading rules tested under this study provide no extraordinary value for investors.95 for MA(1. For Academician By this findings of no value of employing moving average rules. Taking the comparison with unconditional basic return from bootstrapped series as the parentheses.2. academician will have to provide a better look over this moving average rules.

Universitas Indonesia . so there will be an effective moving average rule to be employed in the market. not always useless. so a greater perspective over this method of generating investment decision will be obtained.96 The partial result of this study also shows academician that employing moving average rules. other than moving average. For Investors and Market Participants By the value found under this study of the observed moving average rules. b. Investors should also further research other well known technical trading rules. So a broader perspective over the value of all know moving average can be obtained. This type of future research also needs to be done for other type of technical trading rules.3. Researcher should also conduct the effective lag price to be employed in generating trading signal. Suggestion For Future Research To provide a better look upon moving average trading rules solely. investors in the future should rethink about solely rely their investment decision on such rules. which is one form of technical trading rules. there should be a future research that testing other type of moving average. 5. Since moving average is not the only technical trading rules that heavily used by market participants.

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