PSX (Pakistan Stock Exchange) is a place where the trend is decided by the majority like any other market. Some traders prefer fundamentals while others were technical, some have an inclination toward news and some others belief inside news can give only abnormal returns. In this paper, an attempt is done to identify the best trading strategy for a shorter duration trade (a couple of days) by using comparative methodology & ANOVA (Analysis of Variance) analysis and lastly comparing the returns with alternative options that reflect the overall market performance i.e. all-share index, KSE 100 index (Karachi Stock Exchange 100 companies), KMI 30 index (Karachi Meezan Index 30 companies), KSE 30 index (Karachi Stock Exchange 30 companies), interest rate, and Gold. Different strategies have different mechanics and results, but in this paper, the idea is to compare technical strategies and pick the best among the slot in the light of applicability on PSX. There are many well-established stock trading strategies and in this paper, an attempt is made to develop an algorithm based on data from the year 2006 to 2015 by technical trading strategies and applying to data from the year 2016 to 2018 and then by using the comparative methodology and ANOVA analysis coming at strategy giving maximum return and lastly comparing it with returns of dedicated equity fund, Interest Rate & Gold in the application period i.e. Jan 2015 to Dec 2018. Technical analysis is solely done on historical prices but in this paper volume and market capitalization parameter is also included and so the top 20 companies based on the volume of KSE 100 index companies have been picked for analysis. Technical strategies compared in this paper are RSI (Relative Strength Index), Bollinger Band, Fibonacci, Date, Random, MACD (Moving Average Convergence & Divergence), and Regression. The results showed that the regression strategy offers the best return in comparison to other comparative strategies. Yearly returns are Regression (88%), Date (20%), Fibonacci (1.16%), MACD (-13%), Random (-13%), RSI (-19%) and Bollinger Band (-30%). Regression even offers better yearly returns than return from deposit investment (7.16%), investment in $ (12.49%), investment in gold (16.84%), All Share Index (10.57%), KSE 100 Index (6.14%), KSE 30 Index (4.54%), KMI 30 index (4.54%), and investment in dedicated equity fund (-3.59%). Research suggests technical traders take smaller rides and must remain patient for share price triggering/touching the targeted level. Besides that at the time of entering the market one needs to be clear about profit target and take a calculated loss if the market does not perform as per the developed analytical framework about market performance
