Fadhila, Muhammad Farras Arif (2026) Analisis Komparatif Kinerja Strategi Trading Trend Following Dan Mean Reversion Berbasis Indikator Teknikal Pada Pasar Spot Solana. Other thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Pasar cryptocurrency, khususnya aset Solana (SOL), dicirikan oleh volatilitas yang sangat tinggi dan operasional 24/7, yang menghadirkan tantangan emosional signifikan bagi pedagang manusia. Penggunaan algorithmic trading menjadi solusi untuk mengeksekusi strategi secara objektif dan efisien. Penelitian ini bertujuan untuk melakukan analisis komparatif antara dua filosofi perdagangan yang dominan: trend following yang direpresentasikan oleh indikator exponential moving average (EMA) crossover (20/50), dan mean reversion yang direpresentasikan oleh indikator Stochastic RSI (14) dengan level ekstrem. Penelitian ini menguji kinerja kedua strategi tersebut pada dua resolusi waktu yang berbeda, yaitu timeframe 4 jam (4H) dan 15 menit (15M), di pasar spot SOL/USDT. Metodologi yang digunakan adalah eksperimental kuantitatif melalui proses backtesting selama periode dua tahun menggunakan data historis dari bursa Binance. Kinerja dievaluasi secara komprehensif menggunakan metrik profit and loss (P/L), profit factor, win rate, maximum drawdown, dan sharpe ratio. Berdasarkan hasil penelitian, strategi Trend Following menunjukkan kinerja profitabilitas dan manajemen risiko yang paling optimal dan stabil, dengan capaian Total Profit sebesar +30,42% dan Sharpe Ratio 0,80 pada skenario pengujian timeframe menengah (4H).
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The cryptocurrency market, particularly the Solana (SOL) asset, is characterized by extreme volatility and 24/7 operations, posing significant emotional challenges for human traders. The implementation of algorithmic trading serves as a solution to execute strategies objectively and efficiently. This study aims to conduct a comparative analysis of two dominant trading philosophies: trend following, represented by the Exponential Moving Average (EMA) crossover (20/50) indicator, and mean reversion, represented by the Stochastic RSI (14) indicator utilizing extreme levels. The study tests the performance of both strategies across two different time resolutions: the 4-hour (4H) and 15-minute (15M) timeframes within the SOL/USDT spot market. The methodology employed is quantitative experimental through a two-year backtesting process using historical data from the Binance exchange. Strategy performance is comprehensively evaluated using Profit and Loss (P/L), Profit Factor, Win Rate, Maximum Drawdown, and Sharpe Ratio metrics. Based on the research results, the Trend Following strategy demonstrated the most optimal and stable profitability and risk management performance, achieving a Total Profit of +30.42% and a Sharpe Ratio of 0.80 on the medium timeframe (4H) testing scenario
| Item Type: | Thesis (Other) |
|---|---|
| Uncontrolled Keywords: | Aset kripto, Backtesting, Mean reversion, Perdagangan algoritmik, Solana, Timeframe, Trend following, Algorithmic trading, Backtesting, Cryptocurrency, Mean reversion, Solana, Timeframe, Trend following |
| Subjects: | H Social Sciences > HG Finance > HG4529 Investment analysis Q Science > QA Mathematics > QA76.9 Computer algorithms. Virtual Reality. Computer simulation. |
| Divisions: | Faculty of Information Technology > Informatics Engineering > 55201-(S1) Undergraduate Thesis |
| Depositing User: | Muhammad Farras Arif Fadhila |
| Date Deposited: | 23 Jul 2026 14:44 |
| Last Modified: | 23 Jul 2026 14:44 |
| URI: | http://repository.its.ac.id/id/eprint/137107 |
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