Optimasi Portofolio Saham Pertambangan pada Indeks LQ45 Menggunakan Dream Optimization Algorithm
DOI:
https://doi.org/10.31102/jatim.v7i2.4242Keywords:
Dream Optimization Algorithm, LQ45, optimasi portofolio, saham pertambangan, metaheuristikAbstract
Pemilihan bobot aset pada saham pertambangan menghadapi hubungan imbal hasil–risiko yang nonlinier, volatilitas tinggi, dan perubahan kondisi pasar. Penelitian ini bertujuan mengimplementasikan Dream Optimization Algorithm (DOA) untuk membentuk portofolio saham pertambangan yang termasuk dalam indeks LQ45. Harga penutupan harian Yahoo Finance diminta untuk periode 1 September 2021 hingga 31 Agustus 2026. Dari 14 emiten awal, 13 emiten memenuhi syarat minimal 504 observasi dan menghasilkan panel bersama sebanyak 752 hari pada 7 Juli 2023 sampai 31 Agustus 2026. Fungsi objektif memaksimalkan Sharpe ratio dengan kendala investasi penuh, bobot nonnegatif, dan batas alokasi 20% per saham. DOA dievaluasi melalui tiga jendela walk-forward, masing-masing dengan 504 hari pelatihan dan 63 hari pengujian, serta 10 pengulangan independen. Secara agregat, portofolio DOA menghasilkan imbal hasil tahunan -18,35%, volatilitas 35,37%, Sharpe ratio -0,519, Sortino ratio -0,634, dan maximum drawdown -34,57%. Dua jendela awal menghasilkan Sharpe ratio positif, tetapi penurunan tajam pada jendela ketiga menyebabkan kinerja agregat negatif. Simpangan baku Sharpe ratio pelatihan antarpengulangan berada pada rentang 0,0036 – 0,0090, yang menunjukkan proses optimasi stabil meskipun kinerja pasar di luar sampel tidak stabil. Temuan ini menunjukkan bahwa DOA berhasil diterapkan secara komputasional, tetapi belum menghasilkan kinerja investasi yang konsisten pada seluruh periode pengujian.
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