Simulasi Perdagangan Kontrak Berjangka CPO pada Bursa Malaysia dengan Cyclic Forecasting Periode Januari-Desember 2009
Keywords:forward contract, CPO, KLSE, cyclic forecasting, simulation, back-testing
Crude palm oil (CPO) is one commodity that could be consumed and also as one alternative of non- fossil fuel: biodiesel. Since 2006, CPO commodity trade has its significant raise, followed by forward contract trade. The increasing of CPO price in 2006 is the lowest in historic analysis data period 2007-2008. Cyclic forecasting model is used following cycle pattern of twice-a-year, with a combination of Solver function in Ms. Excel that could minimize MSE as 161,02, Beta 0,0688 and intercept in -11,0396. Cyclic forecasting period is supposed to be used along with technical analysis, using stop loss to reduce risk. It needs additional research to adjust confidence level so VaR value is not too high that could fix trading strategy along this research.
Aczel, A. D., & Sounderpandian, J. (2002). Complete business statistic (5th ed.). New York: McGraw- Hill.
Barlow, J. F. (2005). Excel model for business and operation management (2nd ed.). Wiley & Sons.
Colby, R. W. (2003). The encyclopedia of technical market indicators (2nd ed.). United States: McGraw-Hill.
Diebold, F. X. (2008). Element of forecasting (4th ed.). South Western, United States of America: Cengage Learning.
Elton, E. J., Gruber, M. J., Brown, S. J., & Goetzmann, W. N. (2003). Modern portfolio theory and investment analysis (6th ed.). United States of America: John Wiley & Sons.
Frenkel, M., Hommel, U., & Rudolf, M. (2005). Risk management: challenge and opportunity (2nd ed.). Germany: Spinger.
Hull, J. C. (2005). Fundamentals of futures and options markets (5th ed.). New Jersey: Pearson Education.
Holton, G. A. (2003). Value at risk: theory and practice. USA: Academic Press Advanced Finance Series.
Katz, R. W., & Murphy, A. H. (2005). Economic value of weather and climate forecasts. Cambridge University Press.
Schofield, N. C. (2007). Commodity derivatives—markets and applications. Wiley Finance, John Wiley & Sons.
Authors who publish with this journal agree to the following terms:
a. Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution License - Share Alike that allows others to share the work with an acknowledgment of the work's authorship and initial publication in this journal.
b. Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgment of its initial publication in this journal.
c. Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work.
All articles published Open Access will be immediately and permanently free for everyone to read and download. We are continuously working with our author communities to select the best choice of license options, currently being defined for this journal as follows: Creative Commons Attribution-Share Alike (CC BY-SA)