Efficiency Analysis of Technical Tools for Securities’ Price Speculation in Energy and Utilities Sectors in the Stock Exchange of Thailand

Abstract

The objective of this study is to test the efficiency of technical tools for investment decisions. Six technical tools that were selected to study are Moving Average Convergence Divergence (MACD), Moving Average (MA), Bollinger Bands, and Relative Strength Index (RSI), Fast Stochastic and Slow Stochastic for simulating investment with the top five market capitalization securities in energy and utilities sector in the Stock Exchange of Thailand. We were collecting the open price, highest and lowest price of securities of the day from 1 January 2011 to 31 December 2015 (5 years). Assumptions were the cash account with the initial investment 1 million Baht and trading security is Board lot with the open price on the next day (commission 0.25% and VAT 7% were included). The results found that the most volume accuracy was RSI (Relative Strength Index) at 76.5%, the least volume accuracy is MACD (Moving Average Convergence Divergence) at 33%. The highest return on investment is RSI (Relative Strength Index) at 22.78% and the lowest returns is MA 25 (Moving Average 25 days) at -29.63%. We found that each technical tool was effective for each security so that the technical tool with the best return was applied to trading simulation. The returns of trading securities that consistent with simulations of the past trading was PTT Public Company Limited by using Bollinger Bands however the best returns of investment was PTT Exploration and Production Public Company Limited (PTTEP) by using Relative Strength Index (RSI).