Perbandingan Keandalan Indikator dan strategi Analisis Teknikal pada Perdagangan Saham di Bursa Efek Indonesia
EDO AYUSHA(Pembimbing: Prof. Dr. Jogiyanto H.M., MBA.), Prof. Dr. Jogiyanto H.M., MBA.
Fokus penelitian ini pada keandalan indikator analisis teknikal. Penelitian James (1968) menunjukkan bahwa indikator moving average tidak mampu memberikan return yang lebih baik dari strategi buy and hold. Penelitian Dukes et al. (2006) yang menunjukkan gap antara praktek penilaian suatu sekuritas dengan teori menimbulkan landasan berpikir bagi penelitian ini. Apakah penelitian sebelumnya yang menunjukkan keandalan analisis teknikal yang rendah disebabkan ketidaksesuaian cara berpikir praktisi dengan peneliti yang menyederhanakan aturan perdagangan teknis dalam penelitiannya. Penelitian ini dimulai dengan tujuan penelitian untuk mengetahui indikator analisis teknikal, grafik, time frame, strategi yang paling banyak digunakan oleh para trader (teknisian) saham di Indonesia. Dari hasil kuesioner yang diterima sebanyak 44 responden dari 379 responden yang telah dikirimi kuesioner menunjukkan bahwa indikator moving average, moving average convergence divergence, directional movement, bollinger band, dan stochastic merupakan indikator yang paling banyak digunakan oleh para trader (teknisian) di Indonesia. Time frame utama paling banyak digunakan dalam analisis teknikal adalah time frame harian.
Pengujian keandalan indikator hasil survey penelitian tersebut dalam menghasilkan return dan probabilitas transaksi return positif selama periode amatan 2006-2009 dilakukan melalui pengujian sistem metastock, dan hasil pengujian sistem metastock digunakan sebagai dasar pengujian statistik (Analysis of Variance). Hasil penelitian menunjukkan bahwa indikator stochastic merupakan indikator terbaik dalam menghasilkan mean return harian dan mean probabilitas dibandingkan indikator lainnya. Mean return tertinggi selama periode amatan dihasilkan dari indikator directional movement. Hasil pengujian ANOVA, menunjukkan terdapat perbedaan secara signifikan mean return harian yang dihasilkan indikator moving average, directional movement, stochastic dengan mean return harian strategi buy and hold. Hasil pengujian statistik menunjukkan tidak adanya perbedaan secara signifikan mean probabilitas diantara indikator analisis teknikal.
This study focused on realibility of technical analysis indicator. James research (1968) indicated that moving average indicator couldn't provide a better return than the return of buy and hold strategy. Duke's et.al research (2006) that showed the gap between security valuation practices with the theory, create foundation of our thinking for this research. Whether previous studies that showed low reliability technical analysis due to incompatibility the implementation by practitioners with researchers that simplified the technical trading rules in his research. This research began with the purpose of this research to found technical analysis indicators, charts, time frame, strategy most widely used by the stock trader (technician) in Indonesia. From the results of questionnaires received by 44 respondents from the 379 respondents who had been sent questionnaires evidence that moving average, moving average convergence divergence, directional movement, bollinger band, and stochastic indicator were the indicator most widely used by the trader (technician) in Indonesia. The main time frame is the most widely used in technical analysis is the daily time frame.
Testing the reliability indicators of the research survey results in generating returns and the probability of positive return transactions during the period 2006-2009 observations performed by metastock system tester and metastock system tester results are used as the basis for statistical testing (Analysis of Variance). The results showed that the stochastic indicator is the best indicator in generating mean daily return and mean probability compared to other indicators. The highest mean return over the period of observations generated from a directional movement indicator. ANOVA test results indicated there were significant differences in the mean daily of return produced by moving average, directional movement, stochastic indicators compared with the mean daily of returns produced by buy and hold strategy. The test results represented no statistically significant differences among the mean probability of technical analysis indicators.
Kata Kunci : analisis teknikal, trading, random walk theory, moving average, moving average convergence divergence, directional movement, bollinger band, stochastic, buy and hold, strategi, return, probabilitas
