การศึกษาความสามารถในการจับจังหวะลงทุนในกองทุน ETF ด้านการวิเคราะห์ปัจจัยทางเทคนิค : กรณีศึกษาในประเทศไทย / เพ็ญจินันท์ วัฒนปฤดา=The Study on Performance of Technical Analysis on ETFs : Evidence from Thailand / Perawat Aiempratsya
This project initiated to study on the performance of technical analysis on ETFs by using 4 technical indicators includes MACD, EMA, RSI, and STO with 4 intra-day datasets include 5-minute data, 10-minute data, 30-minute data, and 60-minute data on 11 ETFs. The data was collected from October 1st, 2018 to November 30th, 2018, approximately 2 months. Based on 3 methods, first, comparing the return from using 4 technical indicators to return from using Buy and Hold strategy. Second, comparing the return from using 4 technical indicators to the performance of ETFs calculated by using TWRR (Time Weighted Rate of Return) method. Third, comparing the return from using 4 technical indicators to return from the benchmark. The result indicates that the highest return technical indicators by using include 5-minute data, 10-minute data, and 30-minute data is RSI. The highest return technical indicators by using include 60-minute are EMA and MACD. The 4 technical indicators cannot cause a significantly different return from using Buy and Hold strategy at confident level 95%. The 4 technical indicators cannot cause a significantly different return from using the performance of ETFs at confident level 95%. One of 4 technical indicators, EMA, causes more return than benchmark at confident level 95%, by using 60-minute data.
