Menguji ketepatan analisis teknikal dalam memprediksi pergerakan nilai tukar mata uang US Dollar terhadap Poundsterling di pasar valuta asing

DENNYASTUTIE, Verrywatie, Prof.Dr. Eduardus Tandelilin, MBA

2005 | Tesis | Magister Manajemen

Penelitian ini bertujuan menguji metode analisis teknikal mana yang lebih baik antara The CRISMA (Cumulative Volume, Relative Strength Index dan Moving Average) Trading System dengan metode kombinasi Simple Moving Average dan Commodity Channel Index dalam memprediksi pergerakan nilai tukar mata uang US Dollar terhadap Poundsterling di pasar valuta asing. Data penelitian memakai historical chart dari nilai tukar mata uang US Dollar terhadap Poundsterling, berupa grafik 1 (satu) jam’an selama kurun waktu 6 (enam) bulan, mulai tanggal 1 Agustus 2004 s/d 31 Januari 2005. Alat teknikal berupa grafik indikator Relative Strength Index (RSI), Moving Average, bar chart cumulative volume dan indikator Commodity Channel Index diperoleh dari program aplikasi MetaTrader. Hasil dari penelitian menyimpulkan bahwa CRISMA trading system memiliki performa yang lebih baik dibandingkan kombinasi SMA dan CCI. Metode CRISMA memberikan return yang lebih tinggi (21,5% per bulan) dibandingkan dengan metode kombinasi Simple Moving Average dan Commodity Channel Index (18,3% per bulan) untuk transaksi di mata uang Poundsterling di pasar valas.

This research is intended to test which technical analysis is better between the CRISMA trading system and combination of Simple Moving Average and Commodity Channel Index in predicting US Dollar exchange value direction to Poundsterling in the forex market. Data used in this research is taken from US Dollar exhange value to Poundsterling historical chart in the form of hourly chart for six months, starting from August 1st, 2004 to January 31st, 2005. Technical tools that are used in this research consist of Relative Strength Index (RSI), Moving Average, bar chart cumulative volume, and Commodity Channel Index are obtained from MetaTrader Software. This research concludes that CRISMA trading system has better performance than the combination of Simple Moving Average and Commodity Channel Index method. CRISMA method gives higher return (21,5% per month) compare to Simple Moving Average and Commodity Channel index (18,3% per month) for transaction in Poundsterling in the forex market.

Kata Kunci : Nilai Tukar Mata Uang,US Dollar dan Pounsterling,Analisis Teknikal, technical analysis, historical chart, bar chart cumulative volume, Relative Strength Index (RSI), Moving Average, Commodity Channel Index