Three-Factor Risk Filter: Cutting Indonesia Equity Drawdown from 41.5% to 8.1% Out of Sample
According to a research report on the Indonesian equity market, a risk-filter model that uses only three momentum signals—banking sector, foreign liquidity, and the commodity cycle—cut buy-and-hold maximum drawdown from 41.5% to 8.1% in out-of-sample backtests, with an out-of-sample Calmar of about 3.53. This outlet maps the IHSG structural rationale, walk-forward calibration, binary risk-off framing, and a 2026 MSCI exploratory case; past results do not imply future performance.