Backtest Template
Strategi: autocorrelation-regime (strict, sesuai ruleset) — lag 1/5/10 lookback 20, lag 20 lookback 40 (lag 20 butuh lookback > 20).
Eksekusi: fill harian di close tanpa slippage, komisi bps per side. Indikator warm-up memakai data 120 hari sebelum window; trading baru mulai di awal window (tradingFrom).
Benchmark B&H = beli close pertama window, jual close terakhir, net komisi 0.4%.
Catatan Metodologi
- Window 2007 tanpa buffer warm-up. Data historis hanya tersedia mulai 2007-01-02, sehingga warm-up indikator window 2007 terjadi di dalam window: lag 1 mulai aktif sekitar akhir Januari 2007 dan lag 20 (lookback 40) sekitar akhir Maret 2007. Perbandingan antar-lag pada window ini sedikit tidak setara; window lain memiliki buffer 76-85 bar sebelum awal window (kebutuhan maksimum 59 bar untuk lag 20/lookback 40).
- Perbandingan vs B&H. Strategi dibatasi maksimal 20% exposure per saham (rata-rata terpakai sekitar 5-15% modal), sedangkan B&H memakai 100% modal. Return strategi karenanya konservatif secara struktural saat pasar naik dan tidak dimaksudkan mengalahkan B&H pada bull run; perbandingan yang lebih adil adalah MaxDD / risiko kerugian (contoh: 2008 B&H -10.9% s/d -60.7% vs strategi terbaik +4.3% s/d +4.9%; H1-2026 B&H -31% s/d -34% vs strategi -5.1% s/d +3.3%).
Regime: Low Volatility Bull Run
2007 (2007-01-01 s/d 2007-12-31)
| Saham | lag | Return | Annual | Sharpe | MaxDD | Win Rate | PF | Trades (W/L) | Avg Win/Loss | Avg Hold |
|---|
| BBCA | B&H | +38.38% | | | | | | | | |
| BBCA | 1 | -0.58% | -0.79% | -4.39 | 1.20% | 44.4% | 0.62 | 27(12/15) | +2.47/-1.53 | 3.3d |
| BBCA | 5 | +0.45% | +0.59% | -2.96 | 0.98% | 56.0% | 1.59 | 25(14/11) | +1.67/-1.12 | 4.6d |
| BBCA | 10 | +2.50% | +2.88% | -0.72 | 1.94% | 57.1% | 2.32 | 63(36/27) | +3.62/-1.88 | 9.5d |
| BBCA | 20 | -0.21% | -0.36% | -3.68 | 1.37% | 50.0% | 0.81 | 20(10/10) | +1.81/-3.68 | 5.7d |
| TLKM | B&H | -2.33% | | | | | | | | |
| TLKM | 1 | -1.34% | -1.65% | -3.65 | 1.57% | 31.8% | 0.20 | 22(7/15) | +0.98/-2.22 | 5.8d |
| TLKM | 5 | -2.10% | -3.45% | -5.56 | 2.55% | 47.4% | 0.16 | 19(9/10) | +0.97/-4.53 | 9.1d |
| TLKM | 10 | +3.75% | +4.32% | -0.49 | 1.63% | 62.7% | 4.69 | 59(37/22) | +3.15/-1.20 | 11.2d |
| TLKM | 20 | -1.39% | -1.87% | -2.24 | 2.83% | 60.0% | 0.50 | 40(24/16) | +2.90/-3.71 | 9.3d |
| ASII | B&H | +66.57% | | | | | | | | |
| ASII | 1 | -0.78% | -0.97% | -3.74 | 1.26% | 46.7% | 0.40 | 15(7/8) | +2.26/-2.10 | 7.2d |
| ASII | 5 | +3.21% | +4.17% | -0.80 | 1.46% | 52.0% | 4.66 | 25(13/12) | +4.55/-3.80 | 5.0d |
| ASII | 10 | -0.68% | -0.78% | -1.94 | 3.16% | 30.4% | 0.76 | 46(14/32) | +1.51/-2.65 | 5.7d |
| ASII | 20 | +2.47% | +3.36% | -0.77 | 2.43% | 62.8% | 3.95 | 43(27/16) | +5.98/-1.54 | 9.1d |
2009 (2009-01-01 s/d 2009-12-31)
| Saham | lag | Return | Annual | Sharpe | MaxDD | Win Rate | PF | Trades (W/L) | Avg Win/Loss | Avg Hold |
|---|
| BBCA | B&H | +38.17% | | | | | | | | |
| BBCA | 1 | -1.83% | -1.99% | -3.64 | 2.36% | 32.1% | 0.35 | 28(9/19) | +1.71/-2.90 | 4.0d |
| BBCA | 5 | +3.44% | +6.54% | -0.73 | 0.97% | 88.2% | 14.70 | 17(15/2) | +8.76/-1.81 | 13.5d |
| BBCA | 10 | +0.30% | +0.35% | -1.23 | 3.26% | 60.7% | 1.08 | 56(34/22) | +5.41/-3.29 | 6.1d |
| BBCA | 20 | -0.49% | -0.65% | -2.23 | 1.86% | 51.4% | 0.75 | 35(18/17) | +5.01/-4.08 | 8.5d |
| TLKM | B&H | +29.05% | | | | | | | | |
| TLKM | 1 | +0.90% | +2.04% | -1.81 | 1.46% | 60.0% | 2.86 | 15(9/6) | +4.23/-3.21 | 8.2d |
| TLKM | 5 | -1.59% | -1.80% | -2.49 | 2.65% | 40.8% | 0.55 | 49(20/29) | +1.70/-3.30 | 6.3d |
| TLKM | 10 | +0.47% | +0.56% | -1.63 | 2.17% | 66.0% | 1.16 | 50(33/17) | +1.54/-2.04 | 12.3d |
| TLKM | 20 | -1.15% | -1.19% | -2.65 | 1.80% | 45.9% | 0.47 | 37(17/20) | +2.87/-2.30 | 5.3d |
| ASII | B&H | +184.03% | | | | | | | | |
| ASII | 1 | +5.08% | +8.41% | 0.08 | 1.12% | 42.9% | 7.39 | 21(9/12) | +9.65/-2.42 | 9.1d |
| ASII | 5 | +4.64% | +4.75% | -0.02 | 2.90% | 65.6% | 1.72 | 64(42/22) | +8.29/-5.02 | 11.3d |
| ASII | 10 | -3.59% | -4.06% | -1.90 | 5.55% | 33.3% | 0.49 | 69(23/46) | +3.26/-4.45 | 7.7d |
| ASII | 20 | +0.49% | +0.63% | -1.66 | 2.06% | 70.4% | 1.42 | 27(19/8) | +3.13/-2.90 | 5.8d |
2025 (2025-01-01 s/d 2025-12-31)
| Saham | lag | Return | Annual | Sharpe | MaxDD | Win Rate | PF | Trades (W/L) | Avg Win/Loss | Avg Hold |
|---|
| BBCA | B&H | -18.83% | | | | | | | | |
| BBCA | 1 | -1.77% | -3.01% | -6.40 | 2.35% | 16.7% | 0.10 | 12(2/10) | +0.78/-4.80 | 7.4d |
| BBCA | 5 | -2.34% | -2.39% | -2.95 | 2.85% | 17.6% | 0.44 | 51(9/42) | +4.79/-2.73 | 14.9d |
| BBCA | 10 | -2.91% | -3.10% | -2.82 | 2.95% | 26.5% | 0.33 | 49(13/36) | +2.01/-2.24 | 7.7d |
| BBCA | 20 | +0.86% | +1.81% | -2.04 | 1.81% | 34.4% | 1.57 | 32(11/21) | +5.95/-1.68 | 13.2d |
| TLKM | B&H | +28.49% | | | | | | | | |
| TLKM | 1 | -0.19% | -0.22% | -2.01 | 2.09% | 42.4% | 0.90 | 33(14/19) | +4.09/-2.69 | 9.7d |
| TLKM | 5 | +0.00% | +0.00% | -1.40 | 2.40% | 41.9% | 1.00 | 43(18/25) | +6.02/-2.67 | 11.2d |
| TLKM | 10 | +1.65% | +1.74% | -0.88 | 2.45% | 63.4% | 1.69 | 41(26/15) | +5.09/-2.05 | 6.0d |
| TLKM | 20 | +2.26% | +4.09% | -1.07 | 1.21% | 66.7% | 4.00 | 36(24/12) | +4.57/-1.63 | 14.9d |
| ASII | B&H | +34.95% | | | | | | | | |
| ASII | 1 | -0.40% | -0.99% | -17.74 | 0.40% | 33.3% | 0.01 | 3(1/2) | +0.04/-3.20 | 1.7d |
| ASII | 5 | +4.00% | +4.99% | -0.27 | 1.28% | 61.5% | 4.67 | 39(24/15) | +4.92/-1.85 | 12.0d |
| ASII | 10 | -0.64% | -0.69% | -2.30 | 1.99% | 48.4% | 0.80 | 62(30/32) | +1.81/-2.31 | 6.2d |
| ASII | 20 | +1.69% | +1.71% | -0.96 | 1.72% | 53.1% | 2.43 | 64(34/30) | +3.53/-1.94 | 13.8d |
Regime: Market Downturn
2008 (2008-01-01 s/d 2008-12-31)
| Saham | lag | Return | Annual | Sharpe | MaxDD | Win Rate | PF | Trades (W/L) | Avg Win/Loss | Avg Hold |
|---|
| BBCA | B&H | -10.87% | | | | | | | | |
| BBCA | 1 | -3.06% | -3.39% | -1.80 | 5.24% | 42.4% | 0.57 | 59(25/34) | +3.37/-4.25 | 10.5d |
| BBCA | 5 | +4.31% | +4.69% | -0.09 | 2.77% | 47.7% | 2.54 | 44(21/23) | +8.29/-3.95 | 8.7d |
| BBCA | 10 | +1.98% | +1.99% | -0.67 | 3.90% | 59.2% | 1.44 | 49(29/20) | +3.78/-3.17 | 5.3d |
| BBCA | 20 | -0.71% | -0.95% | -3.24 | 1.94% | 55.6% | 0.72 | 18(10/8) | +3.72/-5.33 | 3.6d |
| TLKM | B&H | -31.40% | | | | | | | | |
| TLKM | 1 | -4.10% | -4.74% | -2.65 | 4.81% | 58.3% | 0.32 | 60(35/25) | +2.44/-4.19 | 6.2d |
| TLKM | 5 | -2.26% | -2.28% | -2.19 | 4.90% | 44.6% | 0.45 | 56(25/31) | +2.22/-3.21 | 7.0d |
| TLKM | 10 | +0.26% | +0.31% | -2.77 | 0.92% | 65.8% | 1.12 | 38(25/13) | +2.19/-2.68 | 3.3d |
| TLKM | 20 | -0.18% | -0.21% | -1.17 | 3.90% | 47.6% | 0.94 | 42(20/22) | +4.20/-5.02 | 13.0d |
| ASII | B&H | -60.74% | | | | | | | | |
| ASII | 1 | -10.85% | -11.74% | -1.82 | 15.33% | 39.7% | 0.28 | 68(27/41) | +4.95/-8.25 | 14.2d |
| ASII | 5 | +4.86% | +5.18% | 0.03 | 3.28% | 80.8% | 3.11 | 26(21/5) | +11.39/-5.54 | 3.7d |
| ASII | 10 | -0.59% | -0.69% | -1.76 | 2.88% | 24.4% | 0.78 | 45(11/34) | +3.37/-4.04 | 10.4d |
| ASII | 20 | -5.60% | -5.65% | -1.65 | 12.07% | 49.1% | 0.39 | 55(27/28) | +5.05/-10.18 | 13.0d |
H1-2026 (2026-01-01 s/d 2026-06-30)
| Saham | lag | Return | Annual | Sharpe | MaxDD | Win Rate | PF | Trades (W/L) | Avg Win/Loss | Avg Hold |
|---|
| BBCA | B&H | -31.24% | | | | | | | | |
| BBCA | 1 | -1.05% | -2.53% | -2.60 | 1.71% | 46.7% | 0.39 | 15(7/8) | +4.23/-4.92 | 7.9d |
| BBCA | 5 | -0.63% | -1.41% | -1.98 | 2.62% | 30.0% | 0.70 | 20(6/14) | +5.82/-2.37 | 8.8d |
| BBCA | 10 | +3.26% | +7.10% | 0.77 | 0.89% | 75.0% | 10.43 | 24(18/6) | +6.77/-1.24 | 5.4d |
| BBCA | 20 | -3.30% | -7.41% | -3.14 | 4.51% | 17.1% | 0.18 | 35(6/29) | +5.39/-5.36 | 14.4d |
| TLKM | B&H | -32.68% | | | | | | | | |
| TLKM | 1 | +1.14% | +3.20% | -1.30 | 0.60% | 37.5% | 2.76 | 8(3/5) | +6.10/-2.02 | 1.3d |
| TLKM | 5 | -2.99% | -7.50% | -2.47 | 5.96% | 21.9% | 0.49 | 32(7/25) | +8.33/-3.99 | 5.4d |
| TLKM | 10 | +0.56% | +1.40% | -0.97 | 1.73% | 64.3% | 1.27 | 14(9/5) | +5.09/-6.22 | 4.2d |
| TLKM | 20 | -0.88% | -2.27% | -2.06 | 2.68% | 48.3% | 0.57 | 29(14/15) | +2.61/-5.19 | 9.6d |
| ASII | B&H | -33.93% | | | | | | | | |
| ASII | 1 | +0.00% | +0.00% | 0.00 | 0.00% | 0.0% | 0.00 | 0(0/0) | +0.00/0.00 | 0.0d |
| ASII | 5 | -5.12% | -11.65% | -2.76 | 7.10% | 33.3% | 0.16 | 30(10/20) | +2.60/-10.11 | 12.9d |
| ASII | 10 | -3.61% | -7.87% | -2.73 | 6.25% | 20.0% | 0.26 | 15(3/12) | +4.72/-12.13 | 9.9d |
| ASII | 20 | -2.61% | -5.34% | -3.91 | 2.93% | 31.3% | 0.17 | 16(5/11) | +1.98/-3.61 | 4.9d |
Regime: Sideways
2019 (2019-01-01 s/d 2019-12-31)
| Saham | lag | Return | Annual | Sharpe | MaxDD | Win Rate | PF | Trades (W/L) | Avg Win/Loss | Avg Hold |
|---|
| BBCA | B&H | +27.18% | | | | | | | | |
| BBCA | 1 | +0.77% | +0.87% | -5.54 | 0.53% | 56.5% | 2.92 | 23(13/10) | +3.18/-0.65 | 6.9d |
| BBCA | 5 | +0.29% | +0.31% | -4.70 | 1.04% | 36.4% | 1.46 | 22(8/14) | +2.21/-0.82 | 3.4d |
| BBCA | 10 | +0.01% | +0.01% | -4.79 | 0.70% | 33.3% | 1.01 | 54(18/36) | +0.78/-0.76 | 5.4d |
| BBCA | 20 | +0.70% | +0.82% | -4.22 | 0.59% | 64.7% | 2.26 | 34(22/12) | +1.37/-0.87 | 6.1d |
| TLKM | B&H | +6.03% | | | | | | | | |
| TLKM | 1 | -0.53% | -0.68% | -10.20 | 0.56% | 20.0% | 0.36 | 15(3/12) | +1.05/-1.43 | 1.9d |
| TLKM | 5 | -0.57% | -0.65% | -3.69 | 1.29% | 46.4% | 0.30 | 28(13/15) | +1.40/-1.68 | 12.7d |
| TLKM | 10 | +0.40% | +0.41% | -2.75 | 1.43% | 52.1% | 1.21 | 48(25/23) | +1.93/-1.54 | 6.0d |
| TLKM | 20 | -0.32% | -0.40% | -2.50 | 1.89% | 43.5% | 0.87 | 69(30/39) | +2.93/-2.26 | 9.3d |
| ASII | B&H | -15.95% | | | | | | | | |
| ASII | 1 | -0.60% | -0.69% | -5.08 | 1.19% | 26.7% | 0.26 | 15(4/11) | +2.07/-1.25 | 8.9d |
| ASII | 5 | -2.51% | -2.79% | -2.57 | 3.52% | 23.7% | 0.37 | 59(14/45) | +1.84/-3.03 | 16.5d |
| ASII | 10 | -0.25% | -0.25% | -2.82 | 1.82% | 50.0% | 0.85 | 38(19/19) | +1.42/-2.57 | 8.2d |
| ASII | 20 | +0.26% | +0.29% | -2.82 | 1.51% | 45.7% | 1.18 | 46(21/25) | +2.28/-1.93 | 8.2d |
2023 (2023-01-01 s/d 2023-12-31)
| Saham | lag | Return | Annual | Sharpe | MaxDD | Win Rate | PF | Trades (W/L) | Avg Win/Loss | Avg Hold |
|---|
| BBCA | B&H | +9.54% | | | | | | | | |
| BBCA | 1 | +0.04% | +0.04% | -5.51 | 0.97% | 44.4% | 1.04 | 27(12/15) | +1.24/-1.87 | 4.5d |
| BBCA | 5 | -0.42% | -0.44% | -5.15 | 1.56% | 24.1% | 0.65 | 29(7/22) | +1.70/-1.17 | 10.2d |
| BBCA | 10 | -0.66% | -0.68% | -5.95 | 1.50% | 31.4% | 0.59 | 35(11/24) | +1.30/-0.92 | 5.1d |
| BBCA | 20 | +0.73% | +0.83% | -3.38 | 0.78% | 46.9% | 3.18 | 32(15/17) | +2.03/-0.69 | 7.8d |
| TLKM | B&H | +3.55% | | | | | | | | |
| TLKM | 1 | -0.63% | -0.86% | -12.51 | 0.72% | 20.0% | 0.12 | 10(2/8) | +0.76/-1.44 | 3.1d |
| TLKM | 5 | -0.52% | -0.61% | -3.17 | 1.21% | 36.1% | 0.43 | 36(13/23) | +1.40/-1.32 | 11.3d |
| TLKM | 10 | -0.92% | -0.98% | -5.00 | 1.70% | 42.4% | 0.57 | 33(14/19) | +1.51/-1.68 | 4.0d |
| TLKM | 20 | -1.25% | -2.18% | -5.18 | 2.27% | 37.9% | 0.12 | 29(11/18) | +2.31/-1.68 | 7.8d |
| ASII | B&H | -1.28% | | | | | | | | |
| ASII | 1 | -1.26% | -1.62% | -4.63 | 1.38% | 31.7% | 0.24 | 41(13/28) | +1.46/-1.71 | 9.1d |
| ASII | 5 | +0.97% | +1.15% | -1.74 | 2.39% | 56.3% | 1.69 | 48(27/21) | +3.20/-2.81 | 10.5d |
| ASII | 10 | -2.22% | -2.40% | -5.25 | 3.11% | 26.8% | 0.29 | 41(11/30) | +2.18/-2.21 | 5.9d |
| ASII | 20 | -1.60% | -2.16% | -4.79 | 2.31% | 31.6% | 0.24 | 38(12/26) | +1.27/-2.32 | 9.0d |
Regime: Low Volatility, Low Trust
Sep 2008 - Apr 2009 (2008-09-01 s/d 2009-04-30)
| Saham | lag | Return | Annual | Sharpe | MaxDD | Win Rate | PF | Trades (W/L) | Avg Win/Loss | Avg Hold |
|---|
| BBCA | B&H | +2.68% | | | | | | | | |
| BBCA | 1 | -3.46% | -10.23% | -2.10 | 4.13% | 28.6% | 0.34 | 21(6/15) | +6.02/-5.76 | 9.5d |
| BBCA | 5 | +4.50% | +8.83% | 0.54 | 1.28% | 52.9% | 4.48 | 17(9/8) | +13.70/-3.85 | 3.0d |
| BBCA | 10 | +4.08% | +7.28% | 0.33 | 1.82% | 55.3% | 2.33 | 38(21/17) | +4.07/-3.30 | 3.7d |
| BBCA | 20 | -2.01% | -3.18% | -2.76 | 3.43% | 46.4% | 0.36 | 28(13/15) | +5.26/-5.55 | 8.9d |
| TLKM | B&H | -0.40% | | | | | | | | |
| TLKM | 1 | -0.83% | -1.46% | -1.68 | 2.15% | 63.2% | 0.57 | 19(12/7) | +4.12/-4.50 | 7.1d |
| TLKM | 5 | -2.67% | -4.55% | -2.09 | 3.15% | 29.4% | 0.30 | 34(10/24) | +2.68/-4.48 | 7.1d |
| TLKM | 10 | -1.45% | -2.63% | -3.71 | 2.68% | 54.2% | 0.52 | 24(13/11) | +1.86/-3.62 | 3.3d |
| TLKM | 20 | +1.16% | +1.92% | -0.53 | 2.62% | 68.8% | 1.99 | 32(22/10) | +4.95/-3.74 | 8.0d |
| ASII | B&H | -14.69% | | | | | | | | |
| ASII | 1 | -2.88% | -4.40% | -0.86 | 11.34% | 41.2% | 0.68 | 34(14/20) | +9.75/-11.92 | 18.4d |
| ASII | 5 | +9.69% | +15.75% | 1.09 | 4.01% | 79.2% | 3.58 | 53(42/11) | +10.87/-6.43 | 11.0d |
| ASII | 10 | -4.11% | -9.13% | -3.17 | 4.24% | 30.4% | 0.11 | 23(7/16) | +2.13/-7.02 | 9.1d |
| ASII | 20 | -5.12% | -8.77% | -1.54 | 11.52% | 50.0% | 0.39 | 42(21/21) | +9.77/-13.06 | 10.5d |
Regime: Full Sample
Jan 2025 - Aug 2026 (2025-01-01 s/d 2026-08-11)
| Saham | lag | Return | Annual | Sharpe | MaxDD | Win Rate | PF | Trades (W/L) | Avg Win/Loss | Avg Hold |
|---|
| BBCA | B&H | -36.76% | | | | | | | | |
| BBCA | 1 | -1.19% | -0.88% | -2.87 | 2.83% | 51.3% | 0.58 | 39(20/19) | +3.51/-4.39 | 13.6d |
| BBCA | 5 | -2.92% | -2.03% | -2.62 | 4.99% | 18.8% | 0.52 | 69(13/56) | +5.86/-2.62 | 15.2d |
| BBCA | 10 | +0.27% | +0.18% | -1.61 | 3.62% | 39.7% | 1.06 | 73(29/44) | +4.92/-2.07 | 8.6d |
| BBCA | 20 | -0.29% | -0.26% | -1.80 | 4.74% | 37.2% | 0.94 | 78(29/49) | +6.20/-3.79 | 16.7d |
| TLKM | B&H | -3.73% | | | | | | | | |
| TLKM | 1 | +2.78% | +1.76% | -1.27 | 2.25% | 45.1% | 2.10 | 51(23/28) | +4.67/-2.27 | 7.3d |
| TLKM | 5 | -3.16% | -2.16% | -1.86 | 7.84% | 33.3% | 0.65 | 78(26/52) | +6.52/-3.26 | 8.5d |
| TLKM | 10 | +2.19% | +1.48% | -1.00 | 2.45% | 64.3% | 1.48 | 56(36/20) | +4.97/-3.11 | 5.6d |
| TLKM | 20 | +1.33% | +1.24% | -1.54 | 2.68% | 59.1% | 1.46 | 66(39/27) | +3.82/-3.64 | 12.5d |
| ASII | B&H | -2.02% | | | | | | | | |
| ASII | 1 | -0.40% | -0.99% | -21.78 | 0.40% | 33.3% | 0.01 | 3(1/2) | +0.04/-3.20 | 1.7d |
| ASII | 5 | -1.31% | -0.90% | -1.47 | 7.11% | 50.0% | 0.82 | 66(33/33) | +4.34/-6.55 | 12.6d |
| ASII | 10 | -4.28% | -2.98% | -2.40 | 6.28% | 42.9% | 0.47 | 77(33/44) | +2.08/-4.99 | 6.9d |
| ASII | 20 | +0.96% | +0.62% | -1.36 | 2.83% | 54.5% | 1.27 | 88(48/40) | +3.69/-2.32 | 12.2d |