COMPARISON OF RETURNS USING TECHNICAL STRATEGIES RELATIVE STRENGTH INDEX (RSI) IN THE STOCK EXCHANGE OF THAILAND

Abstract

The purpose of this study is to analyze trading in the Stock Exchange of Thailand using the technical tool Relative Strength Index (RSI) to determine the returns generated by using RSI at the levels of (70,30) and (60,40). Data is collected from SET SMART, covering all 8 industry groups in the Stock Exchange of Thailand over a period of 10 years, from January 1, 2013, to December 31, 2022. The study finds that investing using the RSI tool with the (70,30) strategy produces an average return of 22.85% over 10 years, equivalent to 2.08% per year, which is higher than the return achieved using the (60,40) strategy, which had an average return of 18.28% over 10 years, or 1.69% per year. Additionally, the (60,40) strategy demonstrate lower risk, shorter holding periods, and a lower Maximum Drawdown compared to the (70,30) strategy. This indicates that the RSI tool in the (60,40) strategy has lower return volatility (SD) and Maximum Drawdown (MDD), reflecting a better ability to control risk. Specifically, it can reduce the risk of maximum loss and maintain return stability more effectively. Conversely, while the (70,30) strategy offers higher average returns, it involves higher risk and longer holding periods compared to the (60,40) RSI strategy.