ANALISIS KOMPARATIF STRATEGI CROSSOVER EXPONENTIAL MOVING AVERAGE PADA SAHAM SEKTOR MINING INDEKS LQ45 PERIODE 2021-2025

Abstract

Peningkatan investor ritel di Indonesia mendorong penelitian ini untuk menganalisis efektivitas strategi active trading menggunakan indikator EMA, membandingkan parameter global EMA 20/50 dengan parameter lokal EMA 22/55, serta mengevaluasinya terhadap strategi Buy-and-Hold. Menggunakan data historis 8 emiten sektor mining dalam Indeks LQ45, penelitian ini melakukan backtesting dengan Risk-Reward Ratio 1:2, mengukur Win Rate, Net Profit, Maximum Drawdown, Recovery Ratio, dan Sharpe Ratio. Hasil menunjukkan EMA 22/55 lebih optimal, dengan win rate 51,5%, net profit 381,44%, recovery ratio 2,48, dan drawdown terkendali -19,15%. Strategi ini juga mengungguli Buy-and-Hold melalui mitigasi risiko, menjadikannya alat keputusan adaptif bagi investor ritel pada sektor volatil. Kata Kunci: analisis teknikal, backtesting, buy and hold, exponential moving average, LQ45

The surge in Indonesian retail investors motivates this study to evaluate active trading strategies using the EMA indicator, comparing global-standard EMA 20/50 against localized EMA 22/55, benchmarked against the passive Buy-andHold strategy. Using historical data from eight mining-sector issuers in the LQ45 Index, backtesting simulations apply a 1:2 risk-reward ratio, assessing win rate, net profit, maximum drawdown, recovery ratio, and Sharpe ratio. Results show EMA 22/55 outperforms EMA 20/50, with a 51.5% win rate, 381.44% net profit, 2.48 recovery ratio, and -19.15% drawdown, offering retail investors a more adaptive tool for high-volatility sectors. Keywords: backtesting, buy and hold, exponential moving average, LQ45, technical analysis