Title: Examining trading strategies using trend following indicators for Indonesian stock market

Authors: Dedhy Sulistiawan; Felizia Arni Rudiawarni; Yie Ke Feliana

Addresses: Accounting Department, University of Surabaya, Jl. Raya Kalirungkut Surabaya, 60293, East Java, Indonesia ' Accounting Department, University of Surabaya, Jl. Raya Kalirungkut Surabaya, 60293, East Java, Indonesia ' Accounting Department, University of Surabaya, Jl. Raya Kalirungkut Surabaya, 60293, East Java, Indonesia

Abstract: This study aims to examine the reliability of the technical analysis (TA) approach in Indonesian stock exchanges, specifically moving-average trading rule to determine buy/sell signals. Using ten-year data from 2008-2017, our study examines various exponential moving average (EMA) lengths ranging from shorter duration to longer duration. After considering transaction fee, the findings indicate that EMA are profitable indicators in Indonesian stock markets. Furthermore, this study also finds that higher (lower) return are produced by longer (shorter) EMA lengths. These results contribute to international investors for country-picking strategy including trading strategy in emerging markets.

Keywords: technical analysis; exponential moving average; trend following indicator; trading strategy.

DOI: 10.1504/IJTGM.2020.104921

International Journal of Trade and Global Markets, 2020 Vol.13 No.1, pp.52 - 60

Received: 02 Nov 2018
Accepted: 08 Mar 2019
Published online: 06 Feb 2020 *

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