Comparative Analysis of Technical Indicators Accuracy through Backtesting of Historical IHSG Data Period 2021.1–2026.2: Implications for Investment Risk Management
DOI:
https://doi.org/10.38035/gijea.v4i4.834Keywords:
Technical Indicators, Backtesting, IHSG, Risk Management, SMA CrossoverAbstract
This study compares the accuracy of five popular technical indicators — SMA Crossover (50/200), EMA Crossover (50/200), RSI (14), MACD (12,26,9), and Stochastic Oscillator (14,3,3) — through backtesting on daily historical data of the Indonesia Composite Index (IHSG) from January 1, 2021, to February 28, 2026. Using a quantitative descriptive-comparative approach with long-only trading simulation (0.3% round-trip transaction cost), the research evaluates total return, win rate, maximum drawdown, Sharpe Ratio, Sortino Ratio, and parameter sensitivity analysis.Results show that the SMA Crossover (50/200) is the best-performing indicator, recording a cumulative return of +26.4%, win rate of 68.8%, lowest maximum drawdown of -18.7%, Sharpe Ratio of 0.94, and Sortino Ratio of 1.42. All technical strategies outperformed the buy-and-hold benchmark in risk-adjusted returns and reduced maximum drawdown by up to 60%. Parameter sensitivity analysis confirms the robustness of standard parameters.This study provides the first comprehensive backtesting on the IHSG at the aggregate index level for the 2021–2026 period and offers practical implications for risk management among more than 21 million retail investors in Indonesia.
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