Bonus issues (free shares)

Why this can work

Bonus issues don't change a company's value but often draw retail buying before the new shares arrive.

What can go wrong

The bounce is often in the first day or two, before an end-of-day entry; it reverses after the ex-date.

Rule

A bonus issue (무상증자) is filed → long vs the market for 10 trading days from the next day.

Backtest

At ₩1억 a trade, Nov 1, 2021 to Oct 29, 2026.

Capacity: ₩10.1억
Avg costs: 1.7%
Avg fill days: 1.1
Turnover a year: 404%

324 signals → 252 trades (66 left out by filters, 0 over the position limit, 0 still open, 0 too big to fill, 0 exited at delisting).

Equity curve (% of book)

How this is calculated

Each trade pays commission (your setting), half the typical spread (half a price tick) on the way in and out, the securities transaction tax when a stock is sold or sold short, and borrow fees for a short stock (by how easy it is to borrow). Index futures pay a small fee and no tax or borrow.
Price impact uses the square-root model: impact = k × daily volatility × √(order ÷ 20-day average trading value), k = 1.0 by default, on the way in and out, for each leg.
Days to fill = trade size ÷ (average trading value × your participation %). Orders that take more than a day are spread over those days at each day's typical price (high + low + close ÷ 3), in and out.
Capacity is the trade size at which the setup's average return after costs falls to zero, if each trade were done within a day.
Everything is point in time: filters use only what was known on the entry day, financial statements count from their reporting deadline, and delisted stocks stay in (a stock that stops trading is exited at its last price).
Short selling was banned in Korea (all stocks Nov 2023–Mar 2025, most stocks from Mar 2020). During bans a short stock leg moves to index futures when futures are your hedge; otherwise the trade is skipped. Each setup says how many.
In-sample is the first 70% of the history, out-of-sample the last 30%. Walk-forward trades each half-year only if the setup made money over the previous two years.
Returns are per trade, as a % of the trade size. Sharpe is per trade, scaled by how often the setup trades. Drawdown and the equity curve are in % of your book.

By year

Year	Trades	Profitable	Avg net
2021	17	41.2%	−2.6%
2022	77	55.8%	+5.4%
2023	60	50.0%	+4.4%
2024	44	43.2%	−0.3%
2025	34	38.2%	+2.8%
2026	20	55.0%	+1.3%

Walk-forward

Each half-year is traded only if the previous two years were positive.

From	Traded	Trades	Avg net
Nov 1, 2023	Yes	33	+2.3%
May 1, 2024	Yes	15	−1.6%
Oct 30, 2024	Yes	18	+1.0%
Apr 30, 2025	Yes	15	+4.5%
Oct 29, 2025	Yes	20	−2.0%
Apr 29, 2026	Yes	13	+2.3%
Oct 28, 2026	Yes	0	—

Past trades (252)

Stock	Against	Entry	Exit	Gross	Costs	Net	Fill days
L	KOSPI 200 futures	Oct 8, 2026	Oct 23, 2026	+9.9%	5.9%	+4.0%	1	Filing ↗
L	KOSPI 200 futures	Sep 15, 2026	Oct 1, 2026	−6.3%	1.7%	−8.0%	1	Filing ↗
L	KOSPI 200 futures	Aug 21, 2026	Sep 4, 2026	+4.1%	2.2%	+1.9%	1	Filing ↗
L	KOSPI 200 futures	Jul 24, 2026	Aug 7, 2026	+24.5%	2.1%	+22.3%	1	Filing ↗

	All	In-sample	Out-of-sample	Walk-forward
Trades	252	204	48	114
Profitable	48.8%	50.5%	41.7%	45.6%
Avg net	+3.0%	+3.4%	+1.2%	+1.1%
Median	−0.3%	0.0%	−3.9%	−1.2%
Worst trade	−45.3%	−45.3%	−39.5%	−45.3%
Worst drop (% of book)	−3.6%	−1.9%	−3.6%	−180.8%
Sharpe	1.16	1.49	0.32	0.39