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  • 1. Page 1 <br />Stock Selection by Charles D. Kirkpatrick II, CMT, page Saham Seleksi oleh Charles D. Kirkpatrick II, CMT, halaman <br />Market Technicians Association Educational Foundation, Inc. Copyright © 2007. Asosiasi Teknisi Pasar Yayasan Pendidikan, Inc Hak Cipta © 2007. All rights are reserved. Semua hak dilindungi. <br />INTRODUCTION PENDAHULUAN <br />In the 960s and 970s, as the ability to use computers became more Dalam 960s dan 970s, sebagai kemampuan untuk menggunakan komputer menjadi lebih <br />widespread, a number of experiments were performed on stock market and luas, sejumlah percobaan dilakukan di pasar saham dan <br />corporate data to determine the best variables required to select stocks. data perusahaan untuk menentukan variabel terbaik yang dibutuhkan untuk memilih saham. <br />These experiments were crude by today's standards, but in their inno- Percobaan ini mentah oleh standar saat ini, tetapi mereka ino- <br />cence, these analysts discovered many truths and dispelled many myths. cence, para analis menemukan banyak kebenaran dan menghalau banyak mitos. <br />For example, one experiment with Price/Earnings ratios (P/E) suggested, Misalnya, satu percobaan dengan Harga / rasio Laba (P / E) yang disarankan, <br />ironically, that contrary to beliefs held even today, the best P/E was a high ironisnya, yang bertentangan dengan kepercayaan yang dianut bahkan hari ini, P terbaik / E tinggi <br />one, not a low one - that stocks with high P/E's tended to outperform those satu, bukan satu rendah - yang saham dengan P tinggi / E cenderung lebih baik daripada <br />with low P/Es dengan rendah P / E <br />. . Experiments like these allowed analysts to focus on the Percobaan seperti ini memungkinkan analis untuk fokus pada <br />value of a number of variables that heretofore had been too complicated or nilai sejumlah variabel yang sampai sudah terlalu rumit atau <br />time consuming to pursue. memakan waktu untuk mengejar. At that time, when the random walk theory, beta Pada saat itu, ketika teori acak berjalan, beta <br />theory, efficient market hypothesis (EMH) and capital asset pricing model teori, hipotesa pasar efisien (EMH) dan modal aset Model harga <br />(CAPM) were gaining in popularity, Robert A. Levy published a book (CAPM) adalah mendapatkan popularitas, Robert A. Levy menerbitkan sebuah buku <br />2 2 <br />and dan <br />an article in the Journal of Finance sebuah artikel dalam Journal of Finance <br />3 3 <br />based on his Ph.D. berdasarkan gelar Ph.D. thesis at American tesis di Amerika <br />University Universitas <br />4 4 <br />that showed how well-performing stocks, ie those with rela- yang menunjukkan seberapa baik kinerja saham, yaitu mereka dengan relativitas <br />tive price strength, continued to perform well and that poorly performing kekuatan harga tive, terus melakukan dengan baik dan berkinerja buruk <br />stockslikewisecontinuedtoperformpoorly.Levy'stheorywasnotoriginal. stockslikewisecontinuedtoperformpoorly.Levy stheorywasnotoriginal '. <br />The theory of relative price strength had been around for a long time. Teori kekuatan harga relatif telah sekitar untuk waktu yang lama. <br />5 5 <br />However, Levy, with the new aid of computer power, added some nuances Namun, Levy, dengan bantuan baru dari daya komputer, menambahkan beberapa nuansa <br />and calculations that had not previously been used and found them to be dan perhitungan yang sebelumnya tidak pernah digunakan dan menemukan mereka untuk menjadi <br />very successful. sangat sukses. Since they tended to refute the then popular theory that the Karena mereka cenderung membantah teori kemudian populer bahwa <br />stock price action was entirely random (the Efficient Market Hypothesis), pergerakan harga saham sepenuhnya acak (Hipotesis Pasar Efisien), <br />his conclusions were subject to considerable criticism; his calculations and kesimpulannya tunduk pada kritik; perhitungan dan <br />statistical evidence were severely condemned; and finally, his results were Bukti statistik yang sangat dikutuk, dan akhirnya, ia adalah hasil <br />left in the dust of academic vitriol. kiri dalam debu vitriol akademik. <br />6 6 <br />Though long forgotten now by most Meskipun lama terlupakan sekarang oleh sebagian <br />analysts,histheoriesneverthelesshavebeenkeptalivebyafew.Foralmost analis, histheoriesneverthelesshavebeenkeptalivebyafew.Foralmost <br />twenty years a model run in real time ('live') and publishedevery week for dua puluh tahun model berjalan secara real time ('hidup') dan minggu publishedevery untuk <br />7- /2 years, based largely on these theories, has show his calculations to 7 - / 2 tahun, sebagian besar didasarkan pada teori ini, telah menunjukkan perhitungan untuk <br />have been and continue to be useful in selecting stocks with higher-than- telah dan terus akan berguna dalam memilih saham dengan lebih tinggi dari- <br />market post performance. pasar pasca kinerja. <br />THE TEST TES INI <br />Most computerized experiments and stock market models are calculated Kebanyakan percobaan komputerisasi dan model pasar saham dihitung <br />using what is called “optimization.” menggunakan apa yang disebut "optimasi." <br />7 7 <br />In the attempt to find variables that Dalam upaya untuk menemukan variabel yang <br />are important in determining the future of stock prices, most experiments penting dalam menentukan masa depan harga saham, sebagian besar percobaan <br />use past data and adjust the variables and their parameters to find a 'fit' menggunakan data masa lalu dan menyesuaikan variabel dan parameter mereka untuk menemukan 'cocok' <br />betweenthosevariablesandstockpost-performance. betweenthosevariablesandstockpost-kinerja. Thisiscalled“forced Thisiscalled "dipaksa <br />optimization.” Most discussion then centers around how closely the results optimasi. "Kebanyakan diskusi kemudian pusat sekitar seberapa dekat hasil <br />fit the data, how sophisticated the statistical methods were, and why the cocok dengan data, bagaimana metode statistik canggih itu, dan mengapa <br />results occurred as they did, forgetting that the results may have no useful- hasil terjadi seperti yang mereka lakukan, melupakan bahwa hasil mungkin tidak-berguna <br />ness in the future. an di masa depan. Some computerized-trading model builders avoid forced Beberapa komputer-trading pembangun model menghindari dipaksa <br />optimization by splitting their data into several parts. optimasi oleh data memecah mereka menjadi beberapa bagian. They perform their Mereka melakukan mereka <br />experiments on one or more parts, and then test the results against the other percobaan pada satu atau lebih bagian, dan kemudian hasil tes terhadap yang lain <br />parts. bagian. However, the best and most convincing test of any theory is to see if Namun, tes terbaik dan paling meyakinkan teori apapun adalah untuk melihat apakah <br />it works by itself using completely unknown data. bekerja dengan sendirinya menggunakan data benar diketahui. This is what this study Ini adalah apa studi ini <br />accomplished weekly over 7- /2 years. dicapai mingguan selama 7 - / 2 tahun. <br />In July 982, to test variables of relative price strength and relative earn- Pada Juli 982, untuk menguji kekuatan variabel harga relatif dan relatif mendapatkan- <br />ingsgrowth,aselectionanddeletioncriteriawasestablished,aperformance ingsgrowth, aselectionanddeletioncriteriawasestablished, aperformance <br />measurement determined, and a stock list developed (“List ”). pengukuran ditentukan, dan daftar saham yang dikembangkan ("Daftar"). Later, in Kemudian, di <br />999, a second list (“List 2”) was established using slightly different cri- 999, daftar kedua ("Daftar 2") didirikan dengan menggunakan sedikit berbeda kriteria- <br />teria. teria. Each list was reported weekly in Kirkpatrick's Institutional Market Setiap daftar dilaporkan mingguan di Pasar Kelembagaan Kirkpatrick <br />Strategist Penyiasat <br />8 8 <br />, and periodically performance results were also reported. , Dan hasil kinerja secara berkala juga dilaporkan. As of Sebagai dari <br />December3 ,2000,List hadappreciated5086.6%versusaS&P500gain December3, 2000, Daftar hadappreciated5086.6% versusaS & P500gain <br />of 087.6% and a Value Line Geometric gain of 22 .9% (see Chart I). dari 087,6% dan Line memperoleh Nilai Geometrik dari 22 0,9% (lihat Bagan I). List Daftar <br />2, during a very difficult and slightly declining stock market, appreciated 2, selama pasar saham yang sangat sulit dan sedikit menurun, dihargai <br />37.3% versus a S&P500 gain of 7.4 % and a Value Line Geometric loss 37,3% dibandingkan keuntungan S & P500 sebesar 7,4% dan Nilai kerugian Line Geometris <br />of 9.99% (see Chart II). dari 9,99% (lihat Bagan II). The second list also outperformed the original list Daftar kedua juga mengungguli daftar asli <br />which gained 75. yang diperoleh 75. 9% over the same two-year period. 9% selama periode dua tahun yang sama. Most performances Kebanyakan pertunjukan <br />occurredduringagenerallyrisingstockmarketbutnoneincludeddividends, occurredduringagenerallyrisingstockmarketbutnoneincludeddividends, <br />which, though small in most cases, would have made the results even yang, meskipun kecil dalam kebanyakan kasus, akan membuat hasil lebih <br />more impressive. lebih mengesankan. Transaction costs were not included. Biaya transaksi tidak termasuk. Today, at radically Hari ini, pada radikal <br />discounted levels, commissions are almost negligible costs except in high tingkat diskon, komisi biaya hampir diabaikan kecuali dalam tinggi <br />turnover models. omset model. <br />SELECTION CRITERIA KRITERIA SELEKSI <br />The first, and longest existing test list, List 1, included relative price Daftar tes pertama, dan terpanjang yang ada, Daftar 1, termasuk harga relatif <br />strength, relative earnings growth, and a simple chart pattern as variables kekuatan, relatif pertumbuhan pendapatan, dan pola grafik sederhana sebagai variabel <br />for stock selection. untuk pemilihan saham. The selection criteria for List 2 were slightly different. Kriteria seleksi untuk Daftar 2 adalah sedikit berbeda. <br />Relative price strength and earnings growth were used but instead of a Harga kekuatan relatif dan pertumbuhan pendapatan yang digunakan tetapi bukan <br />chart pattern, relative price-to-sales ratio (“PSR”) was included to reduce pola grafik, relatif harga-untuk-rasio penjualan ("PSR") dimasukkan untuk mengurangi <br />the risk of loss. risiko kerugian. <br />The reason for the change in criteria between the second and first test list Alasan untuk perubahan dalam kriteria antara daftar tes kedua dan pertama <br />was that with the general market having risen since 982 and the strong adalah bahwa dengan pasar umum telah naik sejak 982 dan kuat <br />stocks having become so volatile, the danger existed that a severe correc- saham telah menjadi begitu rapuh, ada bahaya bahwa koreksi yang parah <br />tion would exert even more downward pressure on the list's performance. tion akan mengerahkan lebih banyak tekanan ke bawah bahkan pada kinerja daftar itu. <br />For example, in the bear markets of the 960s and 970s, relative price Misalnya, di pasar beruang harga, 960s dan 970s relatif <br />strength performed well as a selection criteria initially until the very end kekuatan dilakukan serta kriteria seleksi awalnya sampai akhir <br />of the general market declines when the strongest stocks tended to decline dari pasar umum menurun ketika saham terkuat cenderung menurun <br />the sharpest and suffered disproportionately large losses. yang paling tajam dan menderita kerugian tidak proporsional besar. <br />Stock Selection – A Test of Relative Stock Values Reported Over 17-1/2 Years Seleksi Saham - Uji Nilai Saham Relatif Lebih Dilaporkan Tahun 17-1/2 <br />Charles D. Kirkpatrick II, CMT Charles D. Kirkpatrick II, CMT <br />Chart I Bagan I <br />Total Performance Comparison Jumlah Perbandingan Kinerja <br />List-1, S&P 500, Value Line Geometric Daftar-1, S & P 500, Value Line geometris <br />1982 through 2000 1982 hingga tahun 2000 <br />+221.9% 221,9% <br />+5086.6% 5.086,6% <br />List 1 Daftar 1 <br />S&P 500 S & P 500 <br />VLG VLG <br />+1087.6% 1.087,6% <br />6000% 6000% <br />5000% 5000% <br />4000% 4000% <br />3000% 3000% <br />2000% 2000% <br />1000% 1000% <br />0% 0% <br />Chart II Bagan II <br />Total Performance Comparison Jumlah Perbandingan Kinerja <br />List-1, S&P 500, Value Line Geometric & List-2 Daftar-1, S & P 500, Value Line Geometris & Daftar-2 <br />1999 through 2000 1999 hingga tahun 2000 <br />+137.3% 137,3% <br />+75.2% 75,2% <br />List-1 S&P 500 Daftar-1 S & P 500 <br />VLG VLG <br />+7.41% 7,41% <br />200% 200% <br />150% 150% <br />100% 100% <br />50% 50% <br />0% 0% <br />-50% -50% <br />-9.99% -9,99% <br />List-2 Daftar-2 <br />Page 2 Halaman 2 <br />Stock Selection by Charles D. Kirkpatrick II, CMT, page 2 Saham Seleksi oleh Charles D. Kirkpatrick II, CMT, halaman 2 <br />Market Technicians Association Educational Foundation, Inc. Copyright © 2007. Asosiasi Teknisi Pasar Yayasan Pendidikan, Inc Hak Cipta © 2007. All rights are reserved. Semua hak dilindungi. <br />To prevent such a loss in an individual stock, in List a simple chart pat- Untuk mencegah kerugian dalam saham individu, dalam Daftar bagan sederhana menepuk- <br />tern was imposed as a 'stop'on negative price action to forcefully delete a tiga barang diberlakukan sebagai tindakan 'harga negatif stop'on untuk paksa menghapus <br />stock early and prevent it from being caught in a severe decline. stok awal dan mencegah dari yang terjebak dalam penurunan berat. However, Namun, <br />later, through tests of stock price patterns alone, no discernible advantage kemudian, melalui tes pola harga saham saja, tidak ada keuntungan yang terlihat <br />was gained. didapat. <br />9 9 <br />Therefore, to avoid changing the original selection criteria for Oleh karena itu, untuk menghindari perubahan kriteria pemilihan asli untuk <br />List and thereby interrupting its long record of success, List 2 was begun Daftar dan dengan demikian mengganggu catatan panjang keberhasilan, Daftar 2 dimulai <br />using another approach. menggunakan pendekatan lain. Rather than have a price stop to minimize loss, Daripada punya harga berhenti untuk meminimalkan kerugian, <br />the danger of negative performance was minimized in the beginning by bahaya kinerja negatif diperkecil pada awalnya oleh <br />selectingonlythosestockstradingatlowrelativepricetosales.Presumably selectingonlythosestockstradingatlowrelativepricetosales.Presumably <br />these stocks were trading at bargain prices already. saham-saham diperdagangkan pada harga murah sudah. As it turned out, three Ternyata, tiga <br />additionaladvantagesarosefromthismodel:( )portfoliovolatilitydeclined additionaladvantagesarosefromthismodel: () portfoliovolatilitydeclined <br />rapidly - portfolio beta was consistently below one, whereas List often cepat - beta portofolio secara konsisten di bawah satu, sedangkan sering Daftar <br />hadaportfoliobetaapproachingtwo,(2)turnoverdeclinedfromanaverage hadaportfoliobetaapproachingtwo, (2) turnoverdeclinedfromanaverage <br />holding period of 22 weeks in List to well over a year in List 2, and (3) holding period dari 22 minggu di List ke lebih dari satu tahun dalam Daftar 2, dan (3) <br />the size of the portfolio was considerably smaller and more manageable ukuran portofolio itu jauh lebih kecil dan lebih mudah dikelola <br />– near 5 to 5 stocks in List 2 versus up to 80 in List . - Dekat 5-5 saham dalam Daftar 2 dibandingkan hingga 80 dalam Daftar. <br />PERFORMANCE MEASUREMENT PENGUKURAN KINERJA <br />Each week, before making changes to a list, the average percentage gain Setiap minggu, sebelum membuat perubahan pada daftar, keuntungan rata-rata persentase <br />or loss of each stock in the list was recorded. atau kerugian dari masing-masing saham dalam daftar tercatat. For example, say the list Misalnya, daftar <br />included only stock A and stock B. If stock A was up 5% and stock B up hanya termasuk saham A dan saham B. Jika saham A naik 5% dan B persediaan <br />%, the list was recorded as having risen 3%, the mean of the two stock %, Daftar tercatat mengalami meningkat 3%, rata-rata dari saham dua <br />performances. pertunjukan. These list performances were then accumulated each week Pertunjukan ini daftar kemudian akumulasi setiap minggu <br />overthetestperiod.Theequivalentintherealworldwouldbeforaportfolio overthetestperiod.Theequivalentintherealworldwouldbeforaportfolio <br />manager to equally invest in selected stocks one week, record its combined manajer untuk sama-sama berinvestasi dalam saham yang dipilih satu minggu, merekam gabungan <br />performance for the next week, and then readjust each stock as well as add kinerja untuk minggu depan, dan kemudian menyesuaikan masing-masing saham serta menambahkan <br />new ones and delete old ones such that for the coming week the portfolio yang baru dan menghapus yang lama seperti yang selama seminggu mendatang portofolio <br />would be equally weighted in each stock. akan sama-sama tertimbang saham masing-masing. Otherwise, the stronger stocks Jika tidak, kuat saham <br />would accumulate over time into a larger relative position in the portfolio akan menumpuk dari waktu ke waktu ke posisi relatif yang lebih besar dalam portofolio <br />and have an unequal effect upon the portfolio's total performance. dan memiliki efek yang tidak merata pada kinerja total portofolio. Equally Sama <br />weightingofeachstockeachweek,wasthebestmethodtoreliablymeasure weightingofeachstockeachweek, wasthebestmethodtoreliablymeasure <br />the criteria used in selecting the stocks. kriteria yang digunakan dalam memilih saham. <br />SPECIFIC SELECTION CRITERIA KRITERIA SELEKSI KHUSUS <br />Relative Price Strength Harga Relatif Kekuatan <br />Most measures of relative strength weigh a stock's performance against Langkah yang paling berat dari kekuatan relatif kinerja suatu saham terhadap <br />a market average or index such as the S&P 500. rata-rata pasar atau indeks seperti S & P 500. This is wrong. Ini salah. The addi- The addi- <br />tion of a market average only complicates the results. tion dari rata-rata pasar hanya memperumit hasil. For example, market Sebagai contoh, pasar <br />averages are capital-weighted; individual stocks are not. rata-rata adalah modal tertimbang, saham individual tidak. Furthermore, this Selanjutnya, ini <br />kind of measurement makes it difficult to weigh one stock against another, jenis pengukuran membuat sulit untuk menimbang satu saham terhadap yang lain, <br />difficult to tell when price strength is changing, difficult to determine com- sulit untuk tahu kapan kekuatan harga berubah, sulit untuk menentukan com- <br />parative periods, and is difficult to quantify for model building. parative periode, dan sulit untuk mengukur untuk membangun model. The best Yang terbaik <br />calculation for a stock's relative strength is to measure price performance perhitungan untuk kekuatan relatif suatu saham adalah untuk mengukur kinerja harga <br />equally against all other stocks over some specific time period. sama terhadap semua saham lainnya selama beberapa periode waktu tertentu. Until the Sampai <br />arrival of computer power, this kind of calculation was very difficult and kedatangan daya komputer, jenis perhitungan sangat sulit dan <br />time-consuming. memakan waktu. By the 960s it was not. Dengan 960s itu tidak. <br />Several methods of quantitatively weighing price performance have Beberapa metode kuantitatif kinerja harga berat telah <br />been proposed. telah diusulkan. <br />0 0 <br />More recently, and since List was begun, for example, Baru-baru ini, dan sejak List itu dimulai, misalnya, <br />Jegadeesh and Titman ( 993) used six and twelve month returns held for Jegadeesh dan Titman (993) menggunakan enam dan mengembalikan dua belas bulan diadakan untuk <br />six months during the period 965- 989. enam bulan selama periode 965-989. Their results demonstrated a Hasil mereka menunjukkan <br />post-performance excess return of 12.01%. pasca-kinerja pengembalian kelebihan 12,01%. This evidence tends to confirm Bukti ini cenderung untuk mengkonfirmasi <br />Levy's earlierwork.However,itwas notavailablewhenthetestmodelwas Levy earlierwork.However, itwas notavailablewhenthetestmodelwas <br />begun. dimulai. Instead, both List and List 2 used a derivation of Levy's original Sebaliknya, baik Daftar dan Daftar 2 menggunakan derivasi dari asli Levy <br />calculations. perhitungan. <br />Levy originally calculated the ratio of a stock's 3 -day moving average Levy awalnya dihitung rasio 3-hari rata-rata saham bergerak <br />to its latest price. untuk harga terbaru. This ratio was calculated for all stocks. Rasio ini dihitung untuk semua saham. The total list of Daftar total <br />ratios was then sorted. rasio kemudian disortir. Each stock was allocated a relative price strength Setiap saham dialokasikan kekuatan harga relatif <br />percentile between 99 and 0 based on where its ratio fell in the spectrum persentil antara 99 dan 0 berdasarkan di mana rasio jatuh dalam spektrum <br />of ratios. rasio. The 0 percentile for the highest ratio (weakest stock) and the 99th Persentil 0 untuk rasio tertinggi (saham terlemah) dan ke-99 yang <br />percentile for the lowest ratio (strongest stock). persentil untuk rasio terendah (saham terkuat). <br />To make the ratio easier to calculate and to understand, the test lists Untuk membuat rasio lebih mudah untuk menghitung dan memahami, menguji daftar <br />changed several aspects of Levy's calculation but not the essence. mengubah beberapa aspek perhitungan Levy tetapi tidak esensi. Rather Agak <br />than using the ratio of the moving average to the current price, the inverse daripada menggunakan rasio dari rata-rata bergerak untuk harga saat ini, invers <br />was used. digunakan. The ratio of current price to the moving average made the high Rasio harga saat ini dengan rata-rata bergerak yang dibuat tinggi <br />percentiles represent the highest relative strength. persentil mewakili kekuatan relatif tertinggi. Thus the 99th percentile Jadi persentil ke-99 <br />representedthestrongeststockandthe0percentilerepresentedtheweakest. representedthestrongeststockandthe0percentilerepresentedtheweakest. <br />Second,insteadof 3 daysofdatainthemovingaverage,thetestlistsused Kedua, insteadof 3 daysofdatainthemovingaverage, thetestlistsused <br />26 weeks, approximately the same period ( 3 trading days is 26.2 weeks, 26 minggu, kira-kira periode yang sama (3 hari trading adalah 26,2 minggu, <br />not including holidays). tidak termasuk hari libur). In this manner, a large amount of data was not Dengan cara ini, sejumlah besar data tidak <br />necessary( 3 datapointsperstockversus26datapoints),yettheresulting diperlukan (3 datapointsperstockversus26datapoints), yettheresulting <br />ratios were equivalent and the effects on the post-performance minimal. rasio yang setara dan efek pada kinerja pasca-minimal. <br />The closing price used each week was the Thursday close. Harga penutupan digunakan setiap minggu adalah penutupan Kamis. <br />Relative Earnings Growth Pertumbuhan Laba Relatif <br />Until this point, it would appear that the study was involved solely with Sampai titik ini, akan muncul bahwa penelitian terlibat semata-mata dengan <br />technicalanalysisandpricebehavior.However,whiletechnicalanalysishas technicalanalysisandpricebehavior.However, whiletechnicalanalysishas <br />its weak and strong points, a stock selection method must use all variables titik-titik lemah dan kuat, metode pemilihan saham harus menggunakan semua variabel <br />that appear to work. yang muncul untuk bekerja. Relative earnings growth is one of them. Relatif pertumbuhan laba adalah salah satunya. <br />To a certain extent, “earnings” are a manufactured statistic. Untuk batas tertentu, "laba" adalah statistik diproduksi. They de- Mereka de- <br />pend on many accounting tricks and are not always truthful measures of pend pada trik akuntansi banyak dan tidak selalu tindakan jujur ​​dari <br />a company's success or failure. perusahaan sukses atau gagal. Special charges are often later written off Biaya khusus yang sering kemudian dihapusbukukan <br />against earnings, and depreciation is recalculated, or taxes reassessed. terhadap laba, dan depresiasi dihitung ulang, atau pajak ulang. <br />Reported earnings, therefore, are often subject to controversy and exag- Laba yang dilaporkan, oleh karena itu, sering tunduk pada kontroversi dan exag- <br />geraton. geraton. <br />9 9 <br />No one can argue that a stock closed at a certain price (at least Tidak ada yang bisa membantah bahwa saham ditutup pada harga tertentu (setidaknya <br />within some small bound), but analysts often disagree on exactly what a dalam beberapa kecil terikat), tetapi analis sering tidak setuju pada apa yang <br />company's actual earnings may be. laba aktual perusahaan mungkin. This becomes even more complicated Hal ini menjadi lebih rumit <br />when earnings are estimated into the future. bila penghasilan diperkirakan ke masa depan. <br />However, earnings reports Namun, laporan laba <br />are watched, especially for surprises, and are acted upon by investors. diawasi, terutama untuk kejutan, dan ditindaklanjuti oleh investor. Tests Tes <br />have shown that reported relative earnings growth has a positive correla- telah menunjukkan bahwa pertumbuhan laba dilaporkan relatif memiliki korelasi positif <br />tion to the post-performance of a stock. tion dengan kinerja pasca-saham. <br />2 2 <br />Part of this, of course, is because Bagian dari ini, tentu saja, adalah karena <br />reported earnings include any earnings surprise. laba yang dilaporkan mencakup kejutan laba. <br />To be as sensitive as possible without the effect of seasonality, Levy cal- Untuk menjadi sensitif seperti mungkin tanpa efek musiman, Levy kal- <br />culated earnings growth by taking the most recent five quarters of reported culated pertumbuhan laba dengan mengambil lima terakhir perempat dari yang dilaporkan <br />earningsandmeasuringtheratiobetweenthelatestfourquarterstotaltothe earningsandmeasuringtheratiobetweenthelatestfourquarterstotaltothe <br />first four quarters total. empat kuartal pertama total. <br />3 3 <br />Thus three quarters overlapped, and the seasonal Jadi tiga perempat tumpang tindih, dan musiman <br />tendency of many quarterly reports was eliminated. kecenderungan banyak laporan triwulanan telah dieliminasi. The ratio, if positive, Rasio, jika positif, <br />showed that earnings were growing and by how much and if negative that menunjukkan bahwa pendapatan tumbuh dan seberapa banyak dan jika negatif yang <br />earningsgrowthwasnegativeandbyhowmuch.Whencompaniesreported earningsgrowthwasnegativeandbyhowmuch.Whencompaniesreported <br />losses for any consecutive four quarters, the ratio was not calculated. kerugian untuk empat kuartal berturut-turut, rasio itu tidak dihitung. <br />Growth then was measured over a relatively short period of five quarters. Pertumbuhan kemudian diukur selama waktu yang relatif singkat lima kuartal. <br />This same calculation was used in determining the earnings growth criteria Perhitungan yang sama digunakan dalam menentukan kriteria pertumbuhan laba <br />for both test lists. untuk kedua daftar tes. As with relative price strength, the ratio for each stock Seperti dengan kekuatan harga relatif, rasio untuk setiap saham <br />was ranked with the same ratio for all other stocks and a percentile ranking menduduki peringkat dengan rasio yang sama untuk semua saham lainnya dan peringkat persentil <br />determined whereby those stocks with the highest earnings growth were ditentukan dimana saham-saham dengan pertumbuhan pendapatan tertinggi <br />ranked in the highest percentiles, and vice versa for those with the lowest peringkat di persentil tertinggi, dan sebaliknya bagi mereka dengan yang terendah <br />earnings growth. pertumbuhan laba. <br />Chart Pattern Bagan Pola <br />As mentioned above, the test required some means to reduce the risk of Sebagaimana disebutkan di atas, tes yang diperlukan mekanisme untuk mengurangi risiko <br />an individual stock's failure. suatu saham individu kegagalan. List , which was the only one to use a chart Daftar, yang merupakan satu-satunya untuk menggunakan grafik <br />pattern, by its nature, was very volatile and its selected stocks very high pola, berdasarkan sifatnya, sangat stabil dan sahamnya dipilih sangat tinggi <br />Page 3 Halaman 3 <br />Stock Selection by Charles D. Kirkpatrick II, CMT, page 3 Saham Seleksi oleh Charles D. Kirkpatrick II, CMT, halaman 3 <br />Market Technicians Association Educational Foundation, Inc. Copyright © 2007. Asosiasi Teknisi Pasar Yayasan Pendidikan, Inc Hak Cipta © 2007. All rights are reserved. Semua hak dilindungi. <br />in price and valuation. harga dan penilaian. This is only natural when stocks with high relative Ini hanya alam ketika saham dengan relatif tinggi <br />strength and high earnings growth are selected. kekuatan dan pertumbuhan laba yang tinggi yang dipilih. To reduce the danger of Untuk mengurangi bahaya <br />individual collapse, the use of a simple chart pattern was thought to be runtuhnya individu, penggunaan pola grafik sederhana dianggap <br />the best method at the time to eliminate those stocks that begin to decline metode terbaik pada saat itu untuk menghilangkan saham-saham yang mulai menurun <br />severely and before they collapsed. parah dan sebelum mereka runtuh. <br />Computerizing chart patterns, especially twenty years ago, was and still Komputerisasi pola grafik, terutama dua puluh tahun yang lalu, dan masih <br />isadifficultproblem. isadifficultproblem. <br />4 4 <br />Thesimplestmethodwastoproduceasimplepoint- Thesimplestmethodwastoproduceasimplepoint- <br />and-figurechart,onethatshowsonlypricereversalpointsafterapredefined dan-figurechart, onethatshowsonlypricereversalpointsafterapredefined <br />price magnitude has occurred. besarnya harga telah terjadi. To do this, only the magnitude of the price Untuk melakukan hal ini, hanya besarnya harga <br />move was needed to determine the reversal point. bergerak yang diperlukan untuk menentukan titik pembalikan. As an example, in many Sebagai contoh, di banyak <br />point-and-figure charts, a three point reversal magnitude is required for a point-and-figure chart, tiga titik pembalikan besar diperlukan untuk <br />price reversal point. Harga pembalikan titik. If a stock price rises from 50 to 56, then declines to 48, Jika harga saham naik 50-56, kemudian menurun sampai 48, <br />sincethethreepointsupanddownhavebeenmet,thereversalpointwas56, sincethethreepointsupanddownhavebeenmet, thereversalpointwas56, <br />the highest point at which the stock price had risen by at least 3 points and titik tertinggi di mana harga saham telah meningkat oleh setidaknya 3 poin dan <br />reversed by 3 points. terbalik dengan 3 poin. This would be called an “upper reversal point” since Ini akan disebut "titik pembalikan atas" sejak <br />it marked a top in prices. itu menandai puncak harga. Had the stock only risen to 52 before declining Memiliki saham hanya meningkat menjadi 52 sebelum menurun <br />to 48, no reversal point would have been recorded since the stock had not sampai 48, ada titik pembalikan akan tercatat sejak saham tidak <br />risen from 50 by the required magnitude of 3 needed to establish a reversal bangkit dari 50 dengan besarnya dibutuhkan 3 diperlukan untuk membuat pembalikan <br />point. titik. Conversely, had the stock then declined to 48 and risen back to 55, Sebaliknya, memiliki saham kemudian menurun menjadi 48 dan naik kembali ke 55, <br />the price of 48 would have been a “lower reversal point” since the stock harga dari 48 akan menjadi "titik pembalikan rendah" karena saham <br />had declined by at least 3 into 48 and then risen more than the required 3 menurun oleh setidaknya 3 ke 48 dan kemudian meningkat lebih dari 3 dibutuhkan <br />immediately afterward. segera sesudahnya. This combined behavior would then have left us Perilaku ini dikombinasikan kemudian akan telah meninggalkan kita <br />with a history of an upper reversal point at 56 and a lower reversal point at dengan riwayat titik pembalikan atas di 56 dan titik pembalikan lebih rendah pada <br />48. 48. In the chart formula, the last two upper and lower reversal points were Dalam rumus grafik, dua titik terakhir pembalikan atas dan bawah yang <br />recorded each week. dicatat setiap minggu. When prices rose above two upper reversal points, Ketika harga naik di atas dua poin pembalikan atas, <br />the chart was said to be “advancing,” and prices declined below two lower grafik dikatakan "maju," dan harga turun di bawah dua lebih rendah <br />reversal points, the chart was said to be “declining.” poin pembalikan, grafik dikatakan "menurun." <br />In addition, in the chart formula, a sliding scale of reversal magnitudes Selain itu, dalam formula chart, skala geser besaran pembalikan <br />was established to minimize the effect of absolute price differences. didirikan untuk meminimalkan efek dari perbedaan harga mutlak. For Untuk <br />example, a 3-point reversal in a 100 dollar stock is less significant than a Misalnya, pembalikan 3-titik dalam stok dolar 100 kurang signifikan dari <br />3-point reversal in a 20 dollar stock. 3-titik pembalikan dalam saham 20 dolar. Asliding scale of reversal magnitudes Asliding skala magnitudo pembalikan <br />equalized the requirements for a reversal among all stocks. menyamakan kedudukan persyaratan untuk pembalikan antara semua saham. <br />Rather than be concerned about the actual patterns of the reversal points, Daripada khawatir tentang pola-pola yang sebenarnya dari titik-titik pembalikan, <br />List onlyusedthereversalpointsthemselves.Onlythoseadvancingstocks Daftar onlyusedthereversalpointsthemselves.Onlythoseadvancingstocks <br />were considered for selection, and those stocks in the list that turned down yang dipertimbangkan untuk seleksi, dan saham-saham dalam daftar yang ditolak <br />below two lower reversal points were eliminated. bawah dua pembalikan poin lebih rendah dihilangkan. This provided the 'stop' Hal ini memberikan 'berhenti' <br />needed to protect the portfolio from extraordinary negative events. diperlukan untuk melindungi portofolio dari peristiwa negatif yang luar biasa. <br />Relative Price/Sales Ratio (“PSR”) Relatif Harga / Ratio Penjualan ("PSR") <br />Prices are well-known and easily accepted as valid. Harga terkenal dan mudah diterima sebagai valid. Annual sales of Penjualan tahunan <br />a company are also well-known and easily accepted as valid, and when perusahaan juga terkenal dan mudah diterima sebagai valid, dan ketika <br />combined with prices are an excellent comparative measure of a stock's dikombinasikan dengan harga perbandingan ukuran sangat baik dari sebuah saham <br />value. nilai. The higher the price-to-sales ratio, the higher the valuation that Semakin tinggi rasio harga-untuk-penjualan, semakin tinggi penilaian yang <br />investors have placed on the stock's future, and also the higher the risk of investor telah ditempatkan pada masa depan saham, dan juga semakin tinggi risiko <br />failure. kegagalan. Lower PSRs suggest lower value placed on a stock's future. PSRs rendah menunjukkan nilai yang lebih rendah ditempatkan pada masa depan saham. Their Mereka <br />advantage is that “a small improvement in profit margins can bring a lot to keuntungan adalah bahwa "perbaikan kecil di margin keuntungan dapat membawa banyak untuk <br />the bottom line, improving the firm's future P/E. garis bawah, meningkatkan masa depan perusahaan P / E. Low PSR stocks are held PSR saham rendah diadakan <br />in low regard by Wall Street. dalam hal rendah oleh Wall Street. Those with improving profit margins usually Mereka dengan meningkatkan margin keuntungan biasanya <br />catch the Street by surprise.” menangkap Street terkejut. " <br />5 5 <br />PSRs also include stocks with no earnings PSRs juga termasuk saham dengan tidak memberikan penghasilan <br />(and therefore no P/E). (Dan karenanya tidak P / E). Many studies have shown the value of the PSR. Banyak penelitian telah menunjukkan nilai PSR. <br />6 6 <br />O'Shaughnessy ( 998) argues that the PSR is the most reliable method of O'Shaughnessy (998) berpendapat bahwa PSR adalah metode yang paling dapat diandalkan <br />selecting stock for long term appreciation. memilih saham untuk apresiasi jangka panjang. <br />7 7 <br />His method of using the PSR, Nya metode menggunakan PSR, <br />however,requiresthatanarbitrarylevelbeestablished,belowwhichastock Namun, requiresthatanarbitrarylevelbeestablished, belowwhichastock <br />is attractive. menarik. In List 2 the arbitrary level was disbanded in favor of a rela- Dalam Daftar 2 tingkat sewenang-wenang dibubarkan mendukung sebuah relativitas <br />tive percentile. tive persentil. First, the ratio was calculated for each stock as the current Pertama, rasio dihitung untuk setiap saham sebagai arus <br />weekly close price divided by the last reported four-quarters sales. Harga penutupan mingguan dibagi dengan yang terakhir dilaporkan empat kuartal penjualan. Next, Selanjutnya, <br />this ratio for all stocks was then sorted and divided into percentiles such rasio ini untuk semua saham kemudian disortasi dan dibagi ke dalam persentil seperti <br />that the highest was in the 99th percentile and the lowest in the 0 percentile. yang tertinggi berada di persentil ke-99 dan terendah di persentil 0. <br />Thisway,despitethegeneralmarketlevelofvaluation,astock'sPSRcould Thisway, despitethegeneralmarketlevelofvaluation, astock'sPSRcould <br />be measured against the PSR of all other stocks at the same time and in the diukur terhadap PSR dari semua saham lainnya pada waktu yang sama dan dalam <br />same investment environment. sama investasi lingkungan. <br />COMBINING CRITERIA INTO MODEL - THE PARAMETERS KRITERIA MENGGABUNGKAN KE MODEL - THE PARAMETER <br />Each week the entire list of available US stocks (usually around 5,000) Setiap minggu seluruh daftar saham AS yang tersedia (biasanya sekitar 5.000) <br />wasscreenedforthosestocksatorabovethe90thpercentileinrelativeprice wasscreenedforthosestocksatorabovethe90thpercentileinrelativeprice <br />andearningsgrowth.InList anadvancingchartpatternwasalsorequired. andearningsgrowth.InList anadvancingchartpatternwasalsorequired. <br />Any stock not already on the list that met these criteria was added to the Setiap saham tidak sudah pada daftar yang memenuhi kriteria ini ditambahkan ke <br />list. daftar. When relative price strength declined to or below the 30th percentile, Ketika kekuatan harga relatif menolak atau di bawah persentil 30, <br />relative earnings growth declined to or below the top 80th percentile, or pertumbuhan laba relatif menurun atau di bawah persentil ke-80 atas, atau <br />the stock price pattern broke two previous lower reversal points, the stock pola harga saham memecahkan dua titik pembalikan sebelumnya lebih rendah, saham <br />was eliminated from the list. tersingkir dari daftar. In List 2, the chart pattern was not used, but Dalam Daftar 2, pola bagan tidak digunakan, namun <br />relative PSR was. PSR yang relatif ini. The requirement for addition to the list was a relative Persyaratan untuk Selain daftar itu relatif <br />PSR at or below the 30th percentile. PSR pada atau di bawah persentil 30. The deletion criteria in List 2 were Kriteria penghapusan dalam Daftar 2 adalah <br />the same as in List except they did not include the relative PSR since a sama seperti di Daftar kecuali mereka tidak termasuk PSR relatif sejak <br />high level did not necessarily suggest that a stock was facing an impending tingkat tinggi tidak selalu menunjukkan bahwa saham adalah menghadapi yang akan datang <br />decline. penurunan. Additionally, the deletion requirement for relative earnings growth Selain itu, persyaratan penghapusan pertumbuhan pendapatan relatif <br />was reduced to or below the 50th percentile since earlier experience had berkurang atau di bawah persentil ke-50 karena pengalaman sebelumnya telah <br />shown that a high threshold deleted stocks prematurely. menunjukkan bahwa ambang batas tinggi dihapus saham prematur. <br />SPECIFIC RESULTS KHUSUS HASIL <br />Chart III shows the performance of List , the S&P 500 and the Value Bagan III menunjukkan kinerja Daftar, S & P 500 dan Nilai <br />Line Geometric each year since the inception of the study in 982. Garis geometrik setiap tahun sejak dimulainya penelitian di 982. List , Daftar, <br />which began its weekly live trial in July 982, gained a total of 5086.6% yang memulai sidang mingguan tinggal pada bulan Juli 982, diperoleh total 5.086,6% <br />over the 7- /2 years versus a 087.6% gain in the S&P500 and a 22 .9% selama 7 - / 2 tahun versus keuntungan 087,6% di S & P500 dan 0,9% 22 <br />gain in the Value Line Geometric. gain dalam Value Line geometrik. This gain was 4.37 times the gain in the Keuntungan ini adalah 4,37 kali keuntungan dalam <br />S&Pand 6. S & P dan 6. timestheperformanceoftheValueLineGeometric. timestheperformanceoftheValueLineGeometric. During Selama <br />that 7- /2yearperiodList hadonlythreedownyearsversusthreeforthe bahwa 7 - / 2yearperiodList hadonlythreedownyearsversusthreeforthe <br />S&P 500 and seven for the Value Line Geometric (see Chart III above). S & P 500 dan tujuh untuk Value Line geometris (lihat Bagan III di atas). <br />List-2, which began it weekly live trial in January 999, has had only Daftar-2, yang dimulai itu sidang mingguan tinggal di Januari 999, hanya memiliki <br />two years of history to measure. dua tahun sejarah untuk mengukur. Nevertheless, the results so far have been Namun demikian, hasil sejauh ini telah <br />impressive. mengesankan. Over the two years, the list gained 37.3% versus only a 7.4 % Selama dua tahun, daftar yang diperoleh 37,3% dibandingkan 7,4% hanya <br />gainintheS&P500anda9.99%lossintheValueLineGeometric.Ithadno gainintheS & lossintheValueLineGeometric.Ithadno P500anda9.99% <br />downyearsversusonefortheS&PandbothfortheValueLine,andasmen- downyearsversusonefortheS & PandbothfortheValueLine, andasmen- <br />Chart III Bagan III <br />Total Performance Comparison Jumlah Perbandingan Kinerja <br />List-1, S&P 500, Value Line Geometric & List-2 Daftar-1, S & P 500, Value Line Geometris & Daftar-2 <br />List-1 Daftar-1 <br />S&P S & P <br />VLG VLG <br />List-2 Daftar-2 <br />1982 1982 <br />49.1% 49,1% <br />26.5% 26,5% <br />29.2% 29,2% <br />1983 1983 <br />57.6 57.6 <br />17.3 17.3 <br />22.4 22.4 <br />1984 1984 <br />-11.4 -11.4 <br />0.8 0.8 <br />-8.3 -8.3 <br />1985 1985 <br />33.3 33.3 <br />26.1 26.1 <br />19.2 19.2 <br />1986 1986 <br />20.9 20.9 <br />17.8 17.8 <br />8.1 8.1 <br />1987 1987 <br />11.9 11.9 <br />0.1 0.1 <br />-11.8 -11.8 <br />1988 1988 <br />22.6 22.6 <br />13.1 13.1 <br />14.8 14.8 <br />1989 1989 <br />26.5 26.5 <br />25.5 25.5 <br />10.8 10.8 <br />1990 1990 <br />-12.1 -12.1 <br />-6.4 -6.4 <br />-24.0 -24.0 <br />1991 1991 <br />76.8 76.8 <br />23.3 23.3 <br />23.3 23.3 <br />1992 1992 <br />19.4 19.4 <br />7.6 7.6 <br />11.0 11.0 <br />1993 1993 <br />25.7 25.7 <br />7.6 7.6 <br />10.4 10.4 <br />1994 1994 <br />-1.6 -1.6 <br />-1.6 -1.6 <br />-6.3 -6.3 <br />1995 1995 <br />54.5 54.5 <br />33.2 33.2 <br />19.3 19.3 <br />1996 1996 <br />24.5 24.5 <br />23.1 23.1 <br />13.8 13.8 <br />1997 1997 <br />8.2 8.2 <br />23.4 23.4 <br />17.2 17.2 <br />1998 1998 <br />6.5 6.5 <br />31.8 31.8 <br />-0.5 -0.5 <br />1999 1999 <br />62.4 62.4 <br />19.1 19.1 <br />-2.6 -2.6 <br />59.8% 59,8% <br />2000 2000 <br />7.9 7.9 <br />-9.8 -9.8 <br />-7.6 -7.6 <br />48.5 48.5 <br />Page 4 Halaman 4 <br />Stock Selection by Charles D. Kirkpatrick II, CMT, page 4 Saham Seleksi oleh Charles D. Kirkpatrick II, CMT, halaman 4 <br />Market Technicians Association Educational Foundation, Inc. Copyright © 2007. Asosiasi Teknisi Pasar Yayasan Pendidikan, Inc Hak Cipta © 2007. All rights are reserved. Semua hak dilindungi. <br />tion earlier, its beta and turnover were considerably lower than List- . tion sebelumnya, beta dan omset yang jauh lebih rendah dari Daftar-. <br />CONCLUSION KESIMPULAN <br />The quantitative analysis of stock selection criteria has diverged in many Analisis kuantitatif kriteria pemilihan saham telah menyimpang dalam banyak <br />directions since the relatively recent widespread use of the computer. arah sejak meluasnya penggunaan yang relatif baru dari komputer. Most Kebanyakan <br />analysis has centered on demonstrating the validity of one or more specific berpusat pada analisis telah menunjukkan validitas dari satu atau lebih spesifik <br />stock market theories and many have shown mediocre results. teori pasar saham dan banyak telah menunjukkan hasil yang biasa-biasa saja. The method Metode ini <br />of testing these results has also fallen into the optimization trap whereby pengujian hasil ini juga telah jatuh ke dalam perangkap dimana optimasi <br />the “best fit” between data and performance was not tested with new data yang "cocok" antara data dan kinerja tidak diuji dengan data baru <br />and especially with unknown future data. dan terutama dengan data masa depan yang tidak diketahui. <br />Thisstudytookseveralvariablesthathadbeendemonstratedtohavevalue Thisstudytookseveralvariablesthathadbeendemonstratedtohavevalue <br />in stock selection and in one list, beginning in July 982, tested the results dalam pemilihan saham dan dalam satu daftar, dimulai pada Juli 982, diuji hasil <br />“live”eachweekfor 7- /2years.Thetestwasdonethroughsimulatingthe "Hidup" eachweekfor 7 - / 2years.Thetestwasdonethroughsimulatingthe <br />performanceofahypotheticalportfolio,thusaddinganelementofpractical- performanceofahypotheticalportfolio, thusaddinganelementofpractical- <br />ity not seen in most studies of stock selection, and used a combination of ity tidak terlihat dalam kebanyakan studi seleksi saham, dan menggunakan kombinasi <br />technicalandfundamentalfactorswithoutprejudice.Thesefactorsmeasured technicalandfundamentalfactorswithoutprejudice.Thesefactorsmeasured <br />aspects of a company or its stock on a basis relative to all other stocks and aspek dari sebuah perusahaan atau saham pada dasar relatif terhadap semua saham lain dan <br />were independent of general market averages except in the demonstration yang independen dari rata-rata pasar umum kecuali dalam demonstrasi <br />of performance. kinerja. The results were exceptionally favorable for the methods Hasilnya sangat menguntungkan bagi metode <br />used and demonstrated the usefulness of the variables employed. digunakan dan menunjukkan kegunaan dari variabel-variabel yang digunakan. Relative Relatif <br />pricestrengthandrelativereportedearningsgrowth,whencalculatedinthe pricestrengthandrelativereportedearningsgrowth, whencalculatedinthe <br />mannerofthisstudy,showedsuperiorresultswhencomparedtomarketaver- mannerofthisstudy, showedsuperiorresultswhencomparedtomarketaver- <br />ages. usia. Since the period over which the study was done was one of generally Sejak periode dimana studi ini dilakukan adalah salah satu dari umumnya <br />rising stock prices, the final test will be completed only after a major stock kenaikan harga saham, tes akhir akan selesai hanya setelah saham utama <br />market decline. pasar menurun. However, considering the long period over which the study Namun, mengingat periode panjang di mana penelitian <br />was conducted without adjustment for market changes, the presumption is dilakukan tanpa penyesuaian terhadap perubahan pasar, anggapan ini <br />thattherelativepost-performanceresultsofthemethods usedwillcontinue thattherelativepost-performanceresultsofthemethods usedwillcontinue <br />to exceed average market returns. melebihi pengembalian rata-rata pasar. <br />FOOTNOTES CATATAN KAKI <br />1 Avanian and Wubbels (1983) 1 Avanian dan Wubbels (1983) <br />2 Levy (1968b) - lengthy and doesn't add much more than Levy (1967) 2 Levy (1968b) - panjang dan tidak menambah lebih dari Levy (1967) <br />3 Levy (1967) - This article caused quite a stir in academia because it was the 3 Levy (1967) - Artikel ini menimbulkan sedikit keributan di akademis karena itu adalah <br />first major attempt to refute the efficient market hypothesis. upaya besar pertama untuk membantah hipotesa pasar efisien. <br />4 Levy (1966) 4 Levy (1966) <br />5 Bernard (1984), the founder of Value Line, as an example, had successfully 5 Bernard (1984), pendiri Value Line, sebagai contoh, telah berhasil <br />utilized the concepts of relative price strength and relative earnings growth memanfaatkan konsep kekuatan harga relatif dan relatif pertumbuhan pendapatan <br />since the late 1920's. sejak tahun 1920-an. “dividing the stock's latest 10-week average relative "Membagi terbaru saham 10 minggu rata-rata relatif <br />performance by its 52-week average relative price” is the price momentum kinerja dengan harga 52-minggu relatif rata-rata "adalah momentum harga <br />factor used by Value Line. faktor yang digunakan oleh Value Line. For a recent discussion of the merits of the Value Untuk diskusi terbaru tentang manfaat Nilai <br />Line system see Choi (2000). Line sistem melihat Choi (2000). <br />6 The reaction to Levy's (1967) article was swift. 6 Reaksi terhadap (1967) artikel Levy begitu cepat. Michael Jensen (1967) of Michael Jensen (1967) dari <br />Harvard was the first to publish comments. Harvard adalah yang pertama untuk mempublikasikan komentar. Initially he criticized Levy's Awalnya ia mengkritik Levy <br />methodology on the basis that the sample was too small and over too short metodologi dasar bahwa sampel itu terlalu kecil dan lebih dari terlalu pendek <br />a period, had a selection bias, and other errors that would overstate the re- periode, memiliki bias seleksi, dan kesalahan lain yang akan melebih-lebihkan ulang <br />sults. percobaan menunjukkan. His comment was that Levy's comment of “the theory of random walks Komentarnya adalah bahwa komentar Levy dari "teori berjalan acak <br />has been refuted” was a little too strong. telah membantah "agak terlalu kuat. Levy (1968c) then countered with Levy (1968c) kemudian membalas dengan <br />another study including more stocks and a longer time period that produced studi lain, termasuk saham lebih dan periode waktu yang lebih lama yang dihasilkan <br />even better results (31% versus the market 10% for 625 stocks from July 1, bahkan lebih baik hasil (31% versus 10% pasar untuk 625 saham dari 1 Juli, <br />1962 to November 25, 1966). 1962 November 25, 1966). Finally Jensen and Bennington (1970) did their Akhirnya Jensen dan Bennington (1970) tidak mereka <br />own study, supposedly using Levy's rules but including transaction costs and studi sendiri, seharusnya menggunakan aturan Levy tetapi termasuk biaya transaksi dan <br />adjustments for risk, and using 1962 stocks from 1926 to 1966, reported that penyesuaian untuk risiko, dan menggunakan saham 1962 1926-1966, melaporkan bahwa <br />Levy's rules resulted in a risk-adjusted loss. Aturan Levy mengakibatkan kerugian risiko disesuaikan. We never heard of Levy's relative Kami tidak pernah mendengar relatif Levy <br />strength work again. kekuatan bekerja lagi. <br />7 see Murphy (1986) and Kaufman (1978) 7 melihat Murphy (1986) dan Kaufman (1978) <br />8 Kirkpatrick (1978 - 2001) 8 Kirkpatrick (1978 - 2001) <br />9 Merrill (1977) 9 Merrill (1977) <br />10 Theentireconcept ofpastprice returns having an effecton futureprice returns 10 Theentireconcept ofpastprice kembali memiliki kembali effecton futureprice <br />has academia in quandary since it tends to cast severe doubt on the efficient telah akademisi dalam kebingungan karena cenderung meragukan parah pada yang efisien <br />market hypothesis. hipotesis pasar. Many different price return anomalies have been reported, Harga anomali yang berbeda kembali telah dilaporkan, <br />some positive and some negative. beberapa positif dan beberapa negatif. Long-term and very short-term results tend Jangka panjang dan jangka sangat pendek hasilnya cenderung <br />to be consistently negative. untuk secara konsisten negatif. Chopra, Lokonishok, and Ritter (1992), Cutler, Chopra, Lokonishok, dan Ritter (1992), Cutler, <br />Poterba and Summers (1988), De Bondt and Thaler (1985), and Fama and Poterba dan Summers (1988), De Bondt dan Thaler (1985), dan Fama dan <br />French(1986)showthatforholdingperiodsbeyond3years,thereturnisnega- Prancis (1986) showthatforholdingperiodsbeyond3years, thereturnisnega- <br />tive. tive. Over periods of a month or less, French and Roll (1986) and Lehmann Selama periode satu bulan atau kurang, Perancis dan Roll (1986) dan Lehmann <br />(1990) found negative returns in individual stocks weekly and daily; Lo and (1990) ditemukan kembali negatif di saham individu mingguan dan harian; Lo dan <br />MacKinlay (1990) found positive returns weekly in indices and portfolios but MacKinlay (1990) ditemukan kembali positif mingguan di indeks dan portofolio tetapi <br />negativereturnsforindividualstocks;andRosenburg,ReidandLanstein(1985) negativereturnsforindividualstocks; andRosenburg, ReidandLanstein (1985) <br />found negative reversals after a month. ditemukan pembalikan negatif setelah satu bulan. There seems, however, to be a window Tampaknya, namun, untuk menjadi jendela <br />of about six to twelve months when returns are consistently positive. sekitar enam sampai dua belas bulan ketika kembali secara konsisten positif. This was Ini <br />Levy's hypothesis and it has now been confirmed by Brush (1983, 1986) and Hipotesis Levy dan telah dikonfirmasi oleh Brush (1983, 1986) dan <br />Jegadeesh and Titman (1993). Jegadeesh dan Titman (1993). BARRA [see Buckley (1994)] has found the Barra [lihat Buckley (1994)] telah menemukan <br />price momentum anomaly in a number of countries, including the US, Japan, Harga anomali momentum di sejumlah negara, termasuk Amerika Serikat, Jepang, <br />the UK, Australia, and France. Inggris, Australia, dan Perancis. Explanations for these anomalies are varied Penjelasan untuk ini anomali bervariasi <br />but best summed in Chan, Jegadeesh and Lokonishok (1996, 1999). tetapi terbaik diringkas dalam Chan, Jegadeesh dan Lokonishok (1996, 1999). <br />11 Thequestionofhowaccuratearereportedearningsandespeciallyhowaccurate 11 Thequestionofhowaccuratearereportedearningsandespeciallyhowaccurate <br />arefutureearningsforecastshasbeenwidelystudied. arefutureearningsforecastshasbeenwidelystudied. Niederhoffer(1972)and Niederhoffer (1972) dan <br />CraggandMalkiel(1968)suggestthatreportedearningsarebetterforecasters CraggandMalkiel (1968) suggestthatreportedearningsarebetterforecasters <br />of future earnings than analysts forecasts. pendapatan masa depan dari perkiraan analis. Indeed, Harris (1999) concludes Memang, Harris (1999) menyimpulkan <br />that analyst forecasting accuracy is extremely poor, biased and inefficient. bahwa akurasi peramalan analis sangat miskin, bias dan tidak efisien. <br />The inaccuracy is mostly the result of random error and the performance of Ketidaktepatan ini kebanyakan hasil dari kesalahan acak dan kinerja <br />forecasts vary with both the company characteristics and the forecast itself. perkiraan bervariasi dengan kedua karakteristik perusahaan dan perkiraan sendiri. A Sebuah <br />wholeseriesofstudieshasevolvedaround“earningssurprises”thosefrequent wholeseriesofstudieshasevolvedaround "earningssurprises" thosefrequent <br />events when reported earnings differ markedly from analysts'expectations. peristiwa ketika laba yang dilaporkan sangat berbeda dari analysts'expectations. La La <br />Porta (1996) has shown that superior results can be gained by exploiting these Porta (1996) telah menunjukkan bahwa hasil yang lebih unggul dapat diperoleh dengan mengeksploitasi para <br />analyst errors because expectations are too extreme. analis kesalahan karena harapan terlalu ekstrim. Investors overweight the Investor kelebihan berat badan yang <br />past and extrapolate too far into the future. masa lalu dan ekstrapolasi terlalu jauh ke masa depan. Chan, Jegadeesh and Lokonishok Chan, Jegadeesh dan Lokonishok <br />(1996,1999)speculatethatthereasonfortherelativestrengthpositiveanomaly (1996,1999) speculatethatthereasonfortherelativestrengthpositiveanomaly <br />over six to twelve months is that it takes that long for the analysts to adjust. selama enam sampai dua belas bulan adalah bahwa dibutuhkan yang lama untuk analis untuk menyesuaikan. La La <br />Porta (1996) suggests that it takes several years. Porta (1996) menunjukkan bahwa dibutuhkan beberapa tahun. <br />12 Ramakrishnam and Thomas (1998) 12 Ramakrishnam dan Thomas (1998) <br />13 Levy and Kripotos (1968a) 13 Levy dan Kripotos (1968a) <br />14 The best and most recent discussion about analyzing chart patterns is in Lo, 14 Diskusi terbaik dan paling terbaru tentang menganalisa pola grafik ini di Lo, <br />Mamaysky, Wang and Jegadeesh (2000). Mamaysky, Wang dan Jegadeesh (2000). <br />15 Fisher (1996) 15 Fisher (1996) <br />16 A number of financial ratios have been used and tested. 16 Sejumlah rasio keuangan telah digunakan dan diuji. The most common, of Yang paling umum, dari <br />course,istheprice-to-earningsratio(PER).Morerecentlythemarket-to-book Tentu saja, istheprice-ke-earningsratio (PER). Morerecentlythemarket-to-book <br />ratio has become popular, and even more recently attention has returned to rasio telah menjadi populer, dan bahkan baru-baru ini perhatian telah kembali ke <br />the price-to-sales ratio (PSR). rasio harga-untuk-penjualan (PSR). Senchack and Martin (1987) had shown that Senchack dan Martin (1987) telah menunjukkan bahwa <br />low PSR stocks tended to outperform high PSR stocks but that low PER stocks PSR saham rendah cenderung untuk mengungguli saham PSR tinggi tetapi bahwa saham PER rendah <br />dominated low PSR stocks on both an absolute and risk-adjusted basis. didominasi saham PSR rendah pada kedua secara mutlak dan risiko-disesuaikan. But Tapi <br />recently Barbee (1995) showed in tests from 1979 to 1991 that price-to-sales baru-baru Barbee (1995) menunjukkan dalam tes 1979-1991 bahwa harga-untuk-penjualan <br />and debt-to-equity had greater explanatory power for stock returns than did dan utang terhadap ekuitas memiliki kekuatan penjelas yang lebih besar untuk return saham daripada <br />either market-to-book or market-to-equity. baik pasar-to-book atau pasar-ke-ekuitas. Liao (1995) also showed that low Liao (1995) juga menunjukkan bahwa rendah <br />PSR stocks avoid the ambi-guities of the CAPM approach and dominate high Saham PSR menghindari ambi-guities pendekatan CAPM dan mendominasi tinggi <br />PSR stocks and the market. PSR saham dan pasar. <br />17 O'Shaughnessy (1998) also argues for relative price strength as a selection 17 O'Shaughnessy (1998) juga berpendapat untuk kekuatan harga relatif sebagai pilihan <br />criterion. kriteria. <br />REFERENCES REFERENSI <br />n n <br />Avanian,AliceC.andRolfE.Wubbels, 983,Shakingupacornerstone?Study Avanian, AliceC.andRolfE.Wubbels, 983, Shakingupacornerstone? Studi <br />raisesquestionsonprice-earningsratioimportance, Pensions&InvestmentAge raisesquestionsonprice-earningsratioimportance, Pensiun & InvestmentAge <br />v n8, 2 . v n8, 2. <br />n n <br />Barbee, William C., Sandip Mukherji, and Gary A. Raines, 996, Do Sales- Barbee, William C., Sandip Mukherji, dan Gary A. Raines, 996, Do Penjualan- <br />Price and Debt-Equity Explain Stock Returns Better than Book-Market and Harga dan Utang-Ekuitas Jelaskan Pengembalian Saham Lebih baik dari Buku-Pasar dan <br />Firm Size? Financial Analysts Journal v52n2, 56-60. 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Thearrival <br />ofinformationandthereactionoftraders, JournalofFinancialEconomics v 7, ofinformationandthereactionoftraders, JournalofFinancialEconomics v 7, <br />5-26. 5-26. <br />n n <br />Harris, Richard DF, (1999), The accuracy, bias and efficiency of analysts' Harris, Richard DF, (1999), Ketepatan, bias dan efisiensi analis ' <br />longrunearningsgrowthforecasts, JournalofBusinessFinance&Accounting longrunearningsgrowthforecasts, JournalofBusinessFinance & Akuntansi <br />v26n5/6, 725-755. v26n5 / 6, 725-755. <br />n n <br />Jensen,MichaelC.andGeorgeBennington, 970,Randomwalksandtechnical Jensen, MichaelC.andGeorgeBennington, 970, Randomwalksandtechnical <br />theories: Some additional evidence, Journal of Finance v25, 469-482. teori: Beberapa bukti tambahan, Jurnal Keuangan v25, 469-482. <br />n n <br />Jensen, Michael C., 967, Random walks: Reality or Myth - Comment, Finan- Jensen, Michael C., 967, berjalan Acak: Realitas atau Mitos - Comment, Finan- <br />cial Analysts Journal 77-85. Analis keuangan Journal 77-85. <br />n n <br />Jegadeesh,Narasimhan,andSheridanTitman, 993,Returnstobuyingwinners Jegadeesh, Narasimhan, andSheridanTitman, 993, Returnstobuyingwinners <br />andsellinglosers:Implicationsforstockmarketefficiency, JournalofFinance andsellinglosers: Implicationsforstockmarketefficiency, JournalofFinance <br />v48n , 65-9 . v48n, 65-9. <br />n n <br />Jegadeesh, Narasimhan, 990, Evidence of predictable behavior of security Jegadeesh, Narasimhan, 990, Bukti perilaku diprediksi keamanan <br />returns, Journal of Finance v45n3, 88 -898. kembali, Jurnal Keuangan v45n3, 88 -898. <br />n n <br />Kaufman, Perry J., 978, Commodity Trading Systems and Methods , John Kaufman, Perry J., 978, Sistem Perdagangan Komoditi dan Metode, John <br />Wiley & Sons, New York. Wiley & Sons, New York. <br />n n <br />Kirkpatrick, Charles D., II, Kirkpatrick's Market Strategist (www.charleskirk- Kirkpatrick, Charles D., II, Strategist Pasar Kirkpatrick (www.charleskirk- <br />patrick.com) patrick.com) <br />n n <br />LaPorta, Rafael, 996, Expectations and the cross-section of stock returns, Laporta, Rafael, 996, Harapan dan salib-bagian return saham, <br />Journal of Finance v5 n5, 7 5- 742. Jurnal Keuangan v5 n5, 7 5-742. <br />n n <br />Lehmann,BruceN.,1990,Fads,martingales,andmarketefficiency, Quarterly Lehmann, BruceN, 1990., Mode, martingales, andmarketefficiency, Triwulanan <br />Journal of Economics 05, -28. Jurnal Ekonomi 05, -28. <br />n n <br />Levy, Robert A. and Speros L. Kripotos, 968, Earnings growth, P/E's, and Levy, Robert A. dan L. Speros Kripotos, 968, Laba pertumbuhan, P / E, dan <br />relative price strength, Financial Analysts Journal harga relatif kekuatan, Analis Keuangan Jurnal <br />n n <br />Levy, Robert A., 968, The Relative Strength Concept of Common Stock Levy, Robert A., 968, Konsep Relative Strength Saham Biasa <br />Forecasting: An Evaluation of Selected Applications of Stock Market Tim- Peramalan: Sebuah Evaluasi Aplikasi Terpilih Pasar Saham Tim- <br />ing Techniques, Trading Tactics, and Trend Analysis, Investors Intelligence , ing Teknik, Taktik Perdagangan, dan Analisis Trend, Investor Intelijen, <br />Larchmont, New York, 3 8p., illus. Larchmont, New York, 3 8p, ilus.. <br />n n <br />Levy, Robert A., 968, Random Walks: Reality or Myth - Reply, Financial Levy, Robert A., 968, Walks Acak: Realitas atau Mitos - Jawab, Keuangan <br />Analysts Journal , 29- 32. , Jurnal Analis 29 - 32. <br />n n <br />Levy,RobertA., 967,Relativestrengthasacriterionforinvestmentselection, Levy, Roberta, 967., Relativestrengthasacriterionforinvestmentselection, <br />Journal of Finance V22, 595-6 0. Jurnal Keuangan V22, 595-6 0. <br />n n <br />Levy,RobertA., 966, AnEvaluationofSelectedApplicationsofStockMarket Levy, Roberta, 966., AnEvaluationofSelectedApplicationsofStockMarket <br />Timing Techniques, Trading Tactics and Trend Analysis , Unpublished Ph.D. Waktu Teknik, Taktik Perdagangan dan Analisis Trend, Ph.D. tidak diterbitkan <br />dissertation, The American University. Disertasi, Universitas Amerika. <br />n n <br />Liao, Tung Liang, and others, 1995, Testing PSR filters with the stochastic Liao, Tung Liang, dan lain-lain, 1995, Pengujian filter PSR dengan stochastic <br />dominance approach, Journal of Portfolio Management v2 n3, 85-9 . Pendekatan dominasi, Jurnal Manajemen Portofolio v2 n3, 85-9. <br />n n <br />Lo, Andrew W., Harry Mamaysky, Jiang Wang, and Narasimhan Jegadeesh, Lo, Andrew W., Harry Mamaysky, Jiang Wang, dan Narasimhan Jegadeesh, <br />2000, Foundations of technical analysis: Computational algorithms, statistical 2000, Dasar-dasar analisa teknikal: algoritma Komputasi, statistik <br />inference,andempiricalimplementation/discussion, JournalofFinance v55n4, inferensi, andempiricalimplementation / diskusi, JournalofFinance v55n4, <br />705- 770. 705-770. <br />n n <br />Lo, Andrew W., and Craig A. MacKinlay, 1990, When are contrarian profits Lo, Andrew W., dan Craig A. MacKinlay, 1990, Kapan keuntungan pelawan <br />due to stock market overreaction? Review of Financial Studies v3, 75-206 karena pasar saham reaksi berlebihan? Review v3 Studi Keuangan, 75-206 <br />n n <br />Merrill,ArthurA., 977, FilteredWaves,BasicTheory:AToolforStockMarket Merrill, ArthurA, 977, FilteredWaves, BasicTheory:. AToolforStockMarket <br />Analysts , Analysis Press, Chappaqua, New York. Analis, Analisis Tekan, Chappaqua, New York. <br />n n <br />Murphy, John J., 986, Technical Analysis of the Futures Markets , Institute of Murphy, John J., 986, Analisis Teknis Pasar Berjangka, Institut <br />Finance, New York. Keuangan, New York. <br />n n <br />Niederhoffer, Victor, and Patrick J. Regan, 972, Earnings changes, analysts' Niederhoffer, Victor, dan Patrick J. Regan, 972, Penghasilan perubahan, analis ' <br />forecasts and stock prices, Financial Analysts Journal , 65-7 . <br />n n <br />O'Shaughnessy, James P., 998, What Works on Wall Street: A Guide to the <br />Best-Performing Investment Strategies of All Time , McGraw-Hill, New York <br />n n <br />Poterba JM, and LH Summers, 1988, Mean reversion in stock prices: <br />Evidence and implications, Journal of Financial Economics v22, 27-59. <br />n n <br />Ramakrishnam,RamT.S.andJacobK.Thomas, 998,Valuationofpermanent, <br />transitory, and price irrelevant components of reported earnings, Journal of <br />Accounting, Auditing, & Finance v 3n3, 30 -336. <br />n n <br />Rosenburg, B., K. Reid, and R. Lanstein, 985, Persuasive evidence of market <br />inefficiency, Journal of Portfolio Management v11, 9-16. <br />n n <br />Senchack, AJ, Jr. and John D. Martin, 987, The relative performance of <br />the PSR and PER investment strategies, Financial Analysts Journal v43n2, <br />46-56 <br />Charles D. Kirkpatrick II, CMT(AB, Harvard; MBA, Wharton) is the author <br />of“MarketStrategist”letter,whichincludestheselectedstocklistsmentioned <br />in this paper. dalam makalah ini. He is the former editor of the Journal of Technical Analysis, <br />BoardmemberandAcademicLiaisonfortheMarketTechniciansAssociation, <br />Inc. He currently serves on the Board of Directors of the MTA Educational <br />Foundation, Inc. He taught technical analysis at Fort Lewis College School <br />of Business in Durango, Colorado from 2002-2006. <br />He lives on an island off the Maine coast. <br />Stock Selection: A Test of Relative Stock Values Reported Over 17-1/2 Years by Charles D. Kirkpatrick II, <br />CMT was written in 2001 for a competition sponsored by the Market Technicians Association, Inc. (MTA), Dow <br />Jones Newswires and Barron's for the annual Charles H. Dow Award for excellence in technical analysis. <br />The award is given to the work that breaks new ground or makes innovative use of established techniques in the <br />spirit of pioneering market technician, Charles H. Dow. <br />Stock Selection was the co-winner of the 2001 Dow Award and was published in Barron's Online and in the <br />Journal of Technical Analysis (Winter <br />• • <br />Spring 2002 edition). Charles Kirkpatrick also won the first Charles H. <br />Dow Award in 1993 with his paper: Charles Dow Looks at the Long Wave. <br />