IN COMPARISON TO MAKE THE PROFITABILITY OF TECHNICAL TRADING WITH BUYING AND HOLDING IN THE LONG RUN

Abstract

The purpose of this study is to test the stock trading which has a record of  continuous payments. By dividing the trading into two types on buy-and-hold and the technical signals of EMA and MACD trading without the transaction cost. Trading on technical signals is expected to yield more than an average annual return on the buy-and-hold stock. Using the closing price of 3 stocks from The Stock Exchange of Thailand (SET), are PTT Public Company Limited, The Siam Commercial Bank Public Company Limited, and Siam Cement Group, since the 3rd January 2007 until 30th  December 2016 for 10 years,  totaly 2,685 data, we finf that data distribution are the normal distribution with a slightly skewness. The average annual yield of buy-and-hold trading is PTT Public Company Limited 10.07%, Commercial Bank Public Company Limited 15.37% and Siam Cement Group 10.35%. When trading by technical signals.We find that EMA trading EMA had the highest average annual yield 15.79% on EMA(5,12) and the lowest yield 6.68% on EMA(5,12) while MACD trading had the highest average annual yield 14.28% on MACD(200,75,9) and lowest the yield 4.88% on MACD(75,26,12)

The statistical hypothesis testing using t-test shows that the average annual yield the stock trading using technical signals is not different from buy-and-hold at 95% confidence level.