Effectiveness of Investment Strategies Based on MACD Indicator: Evidence from the Stock Exchange of Thailand

This paper identifies the most effective investment strategies for applying the MACD indicator on the Thailand Stock Exchange (SET). Among technical analysis indicators, it is known that MACD is the most effective momentum indicator. The data cover a period from January 2007- December 2015. Four investment strategies investigated include the leading trend-following momentum indicator (called primary system), the primary system with fund flows, a primary system with relative strength to SET, and the primary system with both fund flows and relative strength to SET. This paper found that all four strategies being tested perform better than the “buy and hold” strategy or investing SET index. Among the four strategies tested, Strategy 4 yields the most effective results in higher annual returns, but at the same time, it shows the highest average percentage loss