Since the Linux 5.4 when the lockdown LSM has been implemented, the current linux 5.9.1 has not yet implemented any option to lift kernel lockdown status. The SysReq+x mentioned on the man kernel_lockdown.7, is still not yet been integrated with the main branch. More info, please check my blog.

The following is my proposition to lift the kernel lockdown.

Loading unsigned module is the typical operation lockdown denies.

$ sudo insmod ald.ko 
insmod: ERROR: could not insert module ald.ko: Operation not permitted

If you find in the kernel logs something like the followings Lockdown: insmod: unsigned module loading is restricted; see man kernel_lockdown.7, you have no alternatives but sign the kernel module with a valid key. The key used to build the kernel tree is not commonly available, in particular, if the kernel comes from a Linux distribution. The only alternative to this is by using MOK ("Machine Owner Key"). Here a brief walk-through for signing a kernel module with a freshly registered MOK.

#find a suitable location in your filesystem where to generate keys and keep them safe
$ openssl req -new -x509 -newkey rsa:2048 -keyout MOK.priv -outform DER -out MOK.der -nodes -days 36500 -subj "/CN=Exein.io/"
$ mokutil --import MOK.der
input password:
input password again:
#the password you put here must match the one you'll put on the UEFI prompt on the next machine boot 

After the machine have been rebooted, you need to use the key to sign the module:

# sign-file is an utility provided with the kernel, and can be found in the kernel source tree in the /script directory
sign-file sha256 MOK.priv MOK.der "$modfile"

Now the kernel module can be loaded and it will work as intended. Please note that the Linux kernel will still complain about the fact that the module is out-of-tree. loading out-of-tree module taints kernel.

$ make -C /lib/modules/$(uname -r)/build M=$PWD modules 
$ sign-file sha256 MOK.priv MOK.der ald.ko
$ sudo cat /sys/kernel/security/lockdown 
none [integrity] confidentiality
$ sudo insmod ald.ko 
$ sudo cat /sys/kernel/security/lockdown 
[none] integrity confidentiality