Sistemasi: Jurnal Sistem Informasi
Vol 11, No 3 (2022): Sistemasi: Jurnal Sistem Informasi

Best Alpha for Forecasting Stock using Brown's Weighted Exponential Moving Average

Muhammad Amfahtori Wijarnoko (Unknown)
Mochammad Kautsar Sophan (Unknown)
Kurniawan Eka Permana (Unknown)



Article Info

Publish Date
30 Sep 2022

Abstract

Stocks are a very profitable type of investment, one of the most profitable stock sectors is mining. PT. Aneka Tambang Tbk (ANTM) is the largest mining company in Indonesia engaged in metals and minerals. The problem that occurs in stock investment is the fluctuation of stock prices. Stock price fluctuations occur because of the process of buying and selling shares, rumors about the company, or certain policies made by the government that can affect the company. These rapid stock price fluctuations are very dangerous for investors because these fluctuations are not always directly proportional to the company's fundamental conditions. Therefore we need a system that can perform forecasting to monitor stock price fluctuations that occur. The author uses the Brown's Weighted Exponential Moving Average (B-WEMA) method for forecasting. The data used are 241 daily PT Aneka Tambang Tbk (ANTM) in the Covid-19 era, starting January 1, 2020 - December 31, 2020. The experiment was carried out into 3 scenarios, namely using 3 months, 6 months, and 12 months data. Alpha tested is 0.1 to 0.9 (1 digit behind the comma) while the number of moving averages is 3, 5, 10, 20, 50, 100, and 200 adjusted to the amount of data. From the experiment it was found that the best forecasting was obtained in scenario 2 with the best manual alpha value having a MAPE error value of 2.84% using an alpha of 0.9 and a moving average of 100.

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Journal Info

Abbrev

stmsi

Publisher

Subject

Computer Science & IT Electrical & Electronics Engineering

Description

Sistemasi adalah nama terbitan jurnal ilmiah dalam bidang ilmu sains komputer program studi Sistem Informasi Universitas Islam Indragiri, Tembilahan Riau. Jurnal Sistemasi Terbit 3x setahun yaitu bulan Januari, Mei dan September,Focus dan Scope Umum dari Sistemasi yaitu Bidang Sistem Informasi, ...