Comparison of Different Investment Strategies on the Market for Alternative Investment (MAI), Thailand

Choosing forecasting techniques for stock investments is challenging due to the pros and cons of each method. Fundamental analysis, technical analysis, and machine learning algorithms are common approaches, but there's no consensus on the best one. This study employs technical indicators to analyze market movements and generate buy/sell signals, while ANN is used to predict stock prices for generating buy/sell signals. It examines stocks in the MAI index of the Stock Exchange of Thailand (SET), comparing the buy-and-hold strategy, technical analysis, and ANN over weekly, monthly, and quarterly periods. Stocks are grouped by characteristics to identify the best strategy for each group. Results show Moving Average Convergence Divergence (MACD) consistently outperforms other strategies across various groups and time frames.