Comparison of trading strategies from the artificial neural network and technical analysis in the market for alternative investment (MAI) of the Stock Exchange of Thailand (SET)

Name: Ngauv, Chanrathanak

keyword: Stock market

; Fundamental analysis

; Technical analysis

; Artificial neural network

Abstract: Investing in stock market is a difficult task for practitioners because the way they choose stock prediction techniques is challenging since each prediction technique has its own advantages to forecast the markets. Fundamental analysis, technical analysis, and machine learning techniques are three often applied for the stock prediction techniques. The result of each analysis is still concern in the academic study for the stock market prediction. Fundamental analysis is the analysis technique which is relied on the information of the market background and information and traders normally apply the buy-and-hold strategy as the trading strategy after they finished analyzing the financial ratio from the market. The buy-and-hold strategy is utilized for future saving while investors estimate to generate a profit from using this strategy. Technical analysis is the forecasting strategy which applies the stock data to generate the prediction technique for practitioner. While Simple moving average (SMA), Relative strength index (RSI), and Moving average convergence divergence (MACD) are employed for the stock prediction because these three technical indicators are commonly applied in the financial markets like the stock market. Artificial neural network (ANN) model is selected for this study because it is one of the commonly used techniques of machine learning due to its ability to solve the problems on its own. This study investigated the comparative performance of each trading strategy could generate the profit in weekly, monthly, and quarterly which is applied in selected stocks in the MAI index of the Stock Exchange of Thailand (SET). The purpose of this study is to find which one of the trading strategies generates profit more than other trading strategies. The results illustrate that MACD is statistically different from other strategies and it outperforms other strategies for all stock conditions and with different time horizons

Thammasat University. Thammasat University Library

Address: BANGKOK

Email: preserv@tu.ac.th

Name: Rujira Chaysiri

Role: advisor

Created: 2020

Modified: 2023-02-13

Issued: 2023-02-13

วิทยานิพนธ์/Thesis

application/pdf

DOI: 10.14457/TU.the.2020.1019

eng

DegreeName: Master of Science

Level: Master's Degree

Descipline: Engineering and Technology

Grantor: Thammasat University

©copyrights Thammasat University

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