Data statis (sesuai desain)— Perbandingan atas data backtest tetap — bukan real-time.

Free Strategy Lab

Strategy Comparison — cari yang paling defensive konsisten

Tujuan halaman ini bukan cari return paling tinggi, tapi cari strategi yang tahan banting dan konsisten di berbagai regime market.

Goal: bukan ROI tertinggi, tapi konsistensi bulanan + max drawdown rendah. Strategi "scalping defensive" = banyak bulan positif kecil > sedikit bulan home run + bulan rugi besar.

Key metric: Sharpe-like (avg/std × √12). Yang lebih tinggi = lebih konsisten.

1. Summary metrics (sortir by Sharpe)

2. Total ROI per tahun, semua strategi

3. % bulan positif per tahun (defensive consistency)

4. Equity curve (semua strategi)

Risk-Return Scatter — Mana yang Efisien?

Setiap titik = 1 strategi. Sumbu-X = Max Drawdown (%) — semakin kanan = risiko makin brutal. Sumbu-Y = Sharpe ratio — semakin atas = risk-adjusted return makin bagus. Efficient zone = pojok kiri-atas (Sharpe tinggi, DD rendah). Warna: hijau = Sharpe > 1.0, kuning = 0.5-1.0, merah = < 0.5. Inspirasi: Markowitz (1952) efficient frontier, Sharpe (1966) reward-to-variability.

5. Monthly returns distribution per strategi

Referensi Ilmiah:

Primary: Sharpe, W.F. (1966). "Mutual Fund Performance." Journal of Business, 39(1), 119-138. — Sharpe ratio foundational paper (reward-to-variability).
Markowitz, H. (1952). "Portfolio Selection." Journal of Finance, 7(1), 77-91. DOI: 10.2307/2975974. — Mean-variance optimization & efficient frontier.
Cont, R. (2001). "Empirical properties of asset returns: stylized facts and statistical issues." Quantitative Finance, 1(2), 223-236. — Fat-tail empirical evidence.
Bouri, E., Molnár, P., Azzi, G., Roubaud, D., & Hagfors, L.I. (2017). "On the hedge and safe haven properties of Bitcoin." Finance Research Letters, 20, 192-198. — Crypto fat-tail & non-normality.

Past performance does not guarantee future results. Crypto is high-risk; size positions accordingly. Sharpe assumes normal returns — for crypto, kombinasikan dengan bootstrap CI (lihat block_bootstrap.html).

Risk-Return Scatter — Mana yang Efisien?

5. Monthly returns distribution per strategi

Referensi Ilmiah:

Primary: Sharpe, W.F. (1966). "Mutual Fund Performance." Journal of Business, 39(1), 119-138. — Sharpe ratio foundational paper (reward-to-variability).
Markowitz, H. (1952). "Portfolio Selection." Journal of Finance, 7(1), 77-91. DOI: 10.2307/2975974. — Mean-variance optimization & efficient frontier.
Cont, R. (2001). "Empirical properties of asset returns: stylized facts and statistical issues." Quantitative Finance, 1(2), 223-236. — Fat-tail empirical evidence.
Bouri, E., Molnár, P., Azzi, G., Roubaud, D., & Hagfors, L.I. (2017). "On the hedge and safe haven properties of Bitcoin." Finance Research Letters, 20, 192-198. — Crypto fat-tail & non-normality.