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This paper investigates whether the prospect theory exists in the decision making of individual investor investment decision using the value function of cumulative prospect theory proposed by Tversky and Kahneman (1992). Firstly, ward method is used to separate the respondents. Investors type respondents are separated from the traders type, assuming that the investor is more unaffected to the daily closing price change. The next analysis is only focusing on the traders type respondents. Each traders decision is grouping on a binary scale with the decision to sell or hold the stock. After that, logistics regression is used to mapping the probabilities of each traders decision on each buying price base return. The probabilities from logistics regression then multiplied by the buying price base return resulting in a value function that is subsequently used in nonlinear regression. The results show a contrary curve from prospect theory hypothetical value function. Traders from Indonesia Stock Exchange Investment Gallery show a convex curve on a profit condition and a concave curve on the loss condition. This research contributed to the development of quantitative methods in testing the prospects theory on stock transactions.