Beta — Indonesia Momentum Beta
12-month momentum on Jakarta Composite (JK) equities. Mcap ≥ 1T IDR (~€60M), JCI (^JKSE) MA200 regime overlay. Monthly rebalance, top 15 equal weighted.
Unlike the other strategies on this site, Indonesia Momentum is backtest-only. There is no live portfolio, no daily/monthly signal generation, and no Telegram alert for this strategy. It was built and put through unusually heavy scrutiny this cycle — a self-audit, an independent reimplementation, and a hostile adversarial audit — before any consideration of running it live. This page shows what the research found.
Net figures = 2017–2026 survivorship-clean window, net of an estimated 100bps round-trip cost and a 6% IDR risk-free rate. The raw full-period (2004–2026) backtest reports a higher CAGR +28.0% / Sharpe 0.99 — that number is inflated by survivorship bias and is not the headline for a reason. Full breakdown in the strategy report below.
Rules
- Universe: Jakarta Composite (IDX) common shares, market cap ≥ 1 trillion IDR (~€60M).
- Regime filter: JCI (^JKSE) below its 200-day moving average → entire portfolio to cash.
- Ranking: 12-month total return, no skip month. Top 15, equal weight.
- Rebalance: monthly, at month-end close.
- Data: EODHD daily prices/fundamentals, ~1,014 JK tickers, 2004–2026.
Why it's research-only
The hostile audit found the raw backtest is not executable at scale as specified (28% of positions exceed 100% of daily traded volume at $1M of capital), and that the survivorship bias in the 2004–2016 leg of the data is real and unquantifiable with certainty, even after a partial correction. The signal itself held up under adversarial testing — it is not a data artifact — but the specific configuration backtested is not yet the configuration that could be traded. Before any live signal is built for this market, the next steps are: reconstructing the universe against the official IDX delistings list, measuring real execution costs via a broker, and a frozen paper-trading period.