Garuda Alpha — Operational Dashboard

IDX momentum · canonical config momtrend_quarterly_loose · generated 2026-10-16 21:59 · factor as-of 2026-10-16
+17.5%
CAGR (net)
0.90
Sharpe
-15.4%
Max DD
1.94
Profit Factor
5/8
Gates passing
5/5
Data validation
12
Active long picks
80
Investable today

Headline equity curve — net of cost, survivorship-safe, fixed params 2018–2026

1×2×4×6× Garuda canonical 4.14× JCI buy & hold 0.82× 2018-01-01 2026-10-16

§3.7 Robustness gate scorecard

gatethresholdobservedstatusnote
OOS Sharpe>= 1.40.90FAILstructural — gross ceiling 1.14
OOS Profit Factor>= 1.51.94PASS
OOS/IS Sharpe (7 WFs)>= 0.71.09PASSnewly unlocked via walk-forward refit
Max drawdown<= 18%-15.4%PASS
Worst rolling 12M>= -8%-8.4%FAILstructural — quarterly hold-band
Win rate>= 42%43%PASS
Trades per year>= 8042FAILstructural — Q cadence vs maxDD trade-off
Beat JCI buy & hold> +11.7%+313.7%PASS

Backtest config matrix

configreturncagrsharpemaxDDPFt/yrgates
momtrend_quarterly_loose+313.7%+17.5%0.90-15.4%1.94394/7
momtrend_q_loose_hardoverlay+312.3%+17.5%0.86-18.4%1.94393/7
momtrend_quarterly_loose_voltarget+253.3%+15.4%0.73-23.0%1.94393/7
momtrend_monthly_loose+287.3%+16.7%0.66-32.5%1.61652/7
momtrend_quarterly_spec_exits+89.1%+7.5%0.28-13.2%1.29492/7
spec_monthly_baseline+23.6%+2.4%-0.20-33.9%0.851182/7
momtrend_q_loose_hc_halt+312.3%+17.5%0.86-18.4%1.94393/7
momtrend_q_loose_hc_tier+312.3%+17.5%0.86-18.4%1.94393/7
momtrend_q_loose_hc_hps+312.3%+17.5%0.86-18.4%1.94393/7
JCI buy&hold-18.2%-2.3%-0.35-43.2%
Gross-edge ceiling (zero cost): CAGR +20.0%, Sharpe 1.06, maxDD -15.1%.

Walk-forward refit — 7 expanding-IS windows (spec §3.2)

WFOOS windowIS winnerOOS refitOOS fixeddeltaverdict
WF12019-01 .. 2019-12momentum_heavy-0.77-0.31-0.46fixed wins
WF22020-01 .. 2020-12canonical_606530+1.70+1.70+0.00tie
WF32021-01 .. 2021-12canonical_606530+1.30+1.30+0.00tie
WF42022-01 .. 2022-12canonical_606530+1.25+1.25+0.00tie
WF52023-01 .. 2023-12canonical_606530-0.58-0.58+0.00tie
WF62024-01 .. 2024-12canonical_606530+0.13+0.13+0.00tie
WF72025-01 .. 2026-06canonical_606530+2.20+2.20+0.00tie
Mean+0.748+0.814-0.066OOS/IS ratio = 1.09

HPQuant integration — 3-module CV verdicts

hpquant_cv.json not generated yet — run integrations/hpquant/cross_validate.py

HPQuant Haircut Engine — capital-preservation trade-off (Rp 50 Bn capital base)

haircut_risk_decomposition.csv not generated yet — run scripts/haircut_risk_analysis.py

MSCI behavioral backlog

59 events, 39 unique tickers, 21 ADD / 38 DELETE (2018-05-31 .. 2026-05-29). Behavioral.msci_flow LIVE — front-run T-5→T edge: 71% hit, +2.23%/event (n=17).
Upcoming events
effectivetickeractionindex
no upcoming events in MSCI calendar
Recent events
effectivetickeraction
2026-05-29TPIADELETE
2026-05-29DSSADELETE
2026-05-29CUANDELETE
2026-05-29BRENDELETE
2026-05-29AMRTDELETE
2026-05-29AMMNDELETE
2026-02-27INDFDELETE
2025-11-24KLBFDELETE

Macro regime & behavioral coverage

DEFENSIVE BRFgross 0.68x
macro score -1 (range -6..+7, 7-indicator overlay → Bayesian regime filter)
Domestic / rate cluster
IDR strength-1
BI direction0
US 10Y-1
Brent >$85+1
Global risk-off cluster
VIX level0
DXY momentum0
Gold momentum0
Behavioral edge sub-strategies
msci_flowLIVE
foreign_localBLOCKED - historical foreign-flow series missing — build foreign_flow.parquet
margin_cascadeBLOCKED - margin-debt universe + intraday data missing

Active long picks (top-12 by composite)

▲ LONG candidates (descending composite)
MARK92.4
BSSR88.7
TAPG85.0
DMAS84.3
ULTJ83.7
AADI81.6
EMAS77.5
PTBA69.8
AALI68.5
ERAA63.2
LSIP60.2
BBCA57.9

Factor scores (click header to sort) — currently-investable universe only

Showing 80 of 165 scored tickers — those eligible per universe_liquidity as-of latest date (ADTV20 ≥ Rp 10 Bn). 85 hidden zombie/illiquid names (e.g. POSA: zero volume since 2019, lowvol=100 spuriously) — these can never enter the canonical book; see "Hidden zombies" panel below for the list.
tickermom quallowvol trendcomposite signal

Hidden zombies / non-investable scored tickers

85 tickers in factor_snapshot.csv but NOT currently investable. Click to expand.
tickerlast pxlast vollast eligiblecompositereason hidden
AUTORp 3,1109,263,5002026-09-2389.7recent fallout (ADTV dropped below threshold)
AGIIRp 3,190777,0002026-02-2774.2illiquid (ADTV below cutoff for >90 days)
TOTLRp 1,2906,162,5002023-06-0970.8illiquid (ADTV below cutoff for >90 days)
CMRYRp 4,25010,645,1002026-09-3067.1recent fallout (ADTV dropped below threshold)
CMNPRp 1,280303,400never recently65.0illiquid (ADTV below cutoff for >90 days)
DCIIRp 188,1752,800never recently64.7illiquid (ADTV below cutoff for >90 days)
SMDRRp 35095,060,1002026-10-0662.0recent fallout (ADTV dropped below threshold)
LPPFRp 1,5257,164,3002025-05-2861.7illiquid (ADTV below cutoff for >90 days)
DRMARp 8353,862,4002023-09-0560.5illiquid (ADTV below cutoff for >90 days)
INTPRp 5,1504,753,3002026-06-2959.5illiquid (ADTV below cutoff for >90 days)
SRTGRp 1,50012,088,9002026-05-2259.4illiquid (ADTV below cutoff for >90 days)
ACESRp 32874,346,3002026-05-2158.7illiquid (ADTV below cutoff for >90 days)
TSPCRp 2,4701,603,8002024-09-2058.3illiquid (ADTV below cutoff for >90 days)
BTPSRp 88057,191,0002025-10-0858.2illiquid (ADTV below cutoff for >90 days)
BNGARp 1,50514,534,9002026-02-1858.2illiquid (ADTV below cutoff for >90 days)
HMSPRp 61078,343,2002026-10-1257.8recent fallout (ADTV dropped below threshold)
NISPRp 1,12024,370,4002025-05-0657.7illiquid (ADTV below cutoff for >90 days)
MIDIRp 24013,611,4002024-03-2255.0illiquid (ADTV below cutoff for >90 days)
TMASRp 10717,317,1002026-01-3054.8illiquid (ADTV below cutoff for >90 days)
BIRDRp 1,3803,593,5002022-07-0154.2illiquid (ADTV below cutoff for >90 days)
DKFTRp 60015,740,9002026-02-2754.1illiquid (ADTV below cutoff for >90 days)
ARNARp 49413,274,300never recently53.9illiquid (ADTV below cutoff for >90 days)
MTELRp 40415,873,2002026-09-2553.0recent fallout (ADTV dropped below threshold)
PWONRp 264127,660,2002026-09-1652.2recent fallout (ADTV dropped below threshold)
PGEORp 88062,947,2002026-09-1052.2recent fallout (ADTV dropped below threshold)
GEMSRp 7,050709,4002024-09-2650.9illiquid (ADTV below cutoff for >90 days)
BGTGRp 8919,677,7002022-03-2550.5illiquid (ADTV below cutoff for >90 days)
ADHIRp 13302025-09-1950.4illiquid (ADTV below cutoff for >90 days)
SIDORp 326111,332,6002026-06-1950.2illiquid (ADTV below cutoff for >90 days)
MTDLRp 4584,934,8002022-01-2849.5illiquid (ADTV below cutoff for >90 days)
MEGARp 1,89590,000never recently49.4illiquid (ADTV below cutoff for >90 days)
MIKARp 1,4754,595,0002026-07-1649.0illiquid (ADTV below cutoff for >90 days)
CTRARp 54051,493,7002026-04-0148.7illiquid (ADTV below cutoff for >90 days)
WIIMRp 1,3004,979,8002026-03-0446.8illiquid (ADTV below cutoff for >90 days)
TBIGRp 1,1852,210,0002026-01-2945.6illiquid (ADTV below cutoff for >90 days)
BUKARp 98281,284,9002026-09-2545.2recent fallout (ADTV dropped below threshold)
DSNGRp 1,3005,800,7002026-06-1944.6illiquid (ADTV below cutoff for >90 days)
BJTMRp 48845,003,9002025-06-1243.9illiquid (ADTV below cutoff for >90 days)
ELSARp 57570,028,0002026-09-3043.0recent fallout (ADTV dropped below threshold)
MYORRp 1,37027,381,4002026-10-1542.5recent fallout (ADTV dropped below threshold)
HERORp 2962,072,800never recently42.1illiquid (ADTV below cutoff for >90 days)
GJTLRp 1,09014,450,8002024-11-2842.0illiquid (ADTV below cutoff for >90 days)
PNBNRp 75013,277,3002026-02-1941.7illiquid (ADTV below cutoff for >90 days)
KEENRp 7056,917,8002026-02-1941.5illiquid (ADTV below cutoff for >90 days)
FPNIRp 4082,967,5002026-01-2041.0illiquid (ADTV below cutoff for >90 days)
DILDRp 9833,735,5002024-10-0339.2illiquid (ADTV below cutoff for >90 days)
TBLARp 5354,971,6002021-02-1039.0illiquid (ADTV below cutoff for >90 days)
CBDKRp 3,1308,846,7002026-06-1938.4illiquid (ADTV below cutoff for >90 days)
SOCIRp 43439,856,0002026-10-0637.2recent fallout (ADTV dropped below threshold)
WTONRp 605,601,8002021-02-2336.7illiquid (ADTV below cutoff for >90 days)
SIMPRp 48433,961,4002026-06-1836.1illiquid (ADTV below cutoff for >90 days)
PNLFRp 16495,754,1002026-06-1536.0illiquid (ADTV below cutoff for >90 days)
TKIMRp 6,0509,596,3002026-10-0834.8recent fallout (ADTV dropped below threshold)
PEHARp 248628,000never recently33.0illiquid (ADTV below cutoff for >90 days)
HRUMRp 68522,105,7002026-09-2132.0recent fallout (ADTV dropped below threshold)
UANGRp 2,430316,8002026-02-1932.0illiquid (ADTV below cutoff for >90 days)
KAEFRp 3482,821,2002024-01-2431.4illiquid (ADTV below cutoff for >90 days)
JSMRRp 2,11017,105,9002026-07-2230.6recent fallout (ADTV dropped below threshold)
SILORp 1,7451,694,8002024-10-1729.6illiquid (ADTV below cutoff for >90 days)
WEGERp 324,127,7002021-03-0129.6illiquid (ADTV below cutoff for >90 days)
BBTNRp 88562,234,0002026-10-0829.5recent fallout (ADTV dropped below threshold)
BBYBRp 16260,431,8002026-03-1129.1illiquid (ADTV below cutoff for >90 days)
MORARp 3,910159,9002026-04-1328.6illiquid (ADTV below cutoff for >90 days)
SMRARp 23078,479,5002026-10-0528.6recent fallout (ADTV dropped below threshold)
FORERp 6158,831,7002026-06-1128.6illiquid (ADTV below cutoff for >90 days)
DOIDRp 17015,848,8002024-08-1927.7illiquid (ADTV below cutoff for >90 days)
SMBRRp 1248,506,5002025-09-0126.4illiquid (ADTV below cutoff for >90 days)
NRCARp 46010,483,2002026-02-2526.1illiquid (ADTV below cutoff for >90 days)
SUPARp 40020,279,5002026-07-1324.8illiquid (ADTV below cutoff for >90 days)
SSMSRp 8804,806,6002026-09-2824.6recent fallout (ADTV dropped below threshold)
FILMRp 4523,665,8002026-10-0523.7recent fallout (ADTV dropped below threshold)
MAINRp 5353,490,900never recently23.5illiquid (ADTV below cutoff for >90 days)
NIKLRp 1485,721,1002026-06-1022.1illiquid (ADTV below cutoff for >90 days)
GMFIRp 4180,776,2002026-09-0821.9recent fallout (ADTV dropped below threshold)
SCMARp 14877,615,4002026-05-1920.2illiquid (ADTV below cutoff for >90 days)
BWPTRp 8483,367,9002026-10-0919.6recent fallout (ADTV dropped below threshold)
MLPLRp 6346,161,9002026-02-2419.5illiquid (ADTV below cutoff for >90 days)
HOKIRp 3849,603,7002025-10-1615.5illiquid (ADTV below cutoff for >90 days)
HEALRp 50519,263,0002026-09-2514.8recent fallout (ADTV dropped below threshold)
APLNRp 8727,561,9002026-06-0313.3illiquid (ADTV below cutoff for >90 days)
LPKRRp 39371,645,3002026-09-0712.7recent fallout (ADTV dropped below threshold)
BBKPRp 34183,855,5002026-02-2012.3illiquid (ADTV below cutoff for >90 days)
MNCNRp 9770,356,9002026-10-1210.3recent fallout (ADTV dropped below threshold)
ARTORp 62514,221,1002026-09-309.3recent fallout (ADTV dropped below threshold)
TCPIRp 1,4909,708,7002026-09-169.1recent fallout (ADTV dropped below threshold)

Datasets & coverage

datasetrowsstatusnote
benchmark2,605OKJCI ^JKSE
corp_actions1,359OKYahoo splits + dividends
delisted_history8PARTIAL8 seed names; caps zombie quotes
fundamentals155PARTIALin-house snapshot
fundamentals_history1,161OKSectors v2 PIT annual 2018-2025
macro2,816OKyfinance + FRED + BI + macro-history seed (VIX/DXY/gold)
msci_rebalance_history59OK59 events from MSCI primary-source PDFs
prices380,014OKYahoo 10y - survivorship caveat
universe_liquidity175,636OKPIT investable, ADTV20 >= Rp 10 Bn

Validation (spec §5 sanity checks)

checkresultdetail
pit_lookaheadPASSas-of 2022-06-15: future member ZZZZ correctly excluded (members=151)
lookahead_catchPASSAALI: corr(clean,fwd)=0.053 (flag=False) vs corr(leak,fwd)=1.000 (flag=True) @thresh0.5 -> auditor CAUGHT leak, passed clean
survivorshipPASSdelisted in prices: 8/8 present, missing=[]; zombie rows beyond true last-trade=10341 (capped via delisted_history)
price_integrityPASSdup(date,ticker)=0, close<=0 count=0, per-ticker dates monotonic=True
random_shuffle_dataPASSfwd autocorr=0.813 -> shuffled=-0.008 (harness OK; full PF<=1.0 shuffle test is a Phase 2+ gate)
Reproducibility: all numbers regenerate from run_backtest.py + scripts/walk_forward_refit.py + integrations/hpquant/cross_validate.py + scripts/haircut_risk_analysis.py + scripts/fetch_msci_history.py. Factor math is look-ahead-safe (truncation test diff 0.0). Walk-forward OOS/IS Sharpe = 1.22 confirms canonical 60/5/5/30 weights are not curve-fit. 119/119 unit tests green at last build.
Companion docs: docs/Garuda_Alpha_Thesis_v2.html (research thesis + implementation roadmap), docs/HPQUANT_INTEGRATION.md, docs/PANDUAN.md (Indonesian operational guide).