December tax selling

Why this can work

Big individual holders sell before the year-end large-holder tax test (대주주 양도세); the selling often reverses in January.

What can go wrong

The tax rules change often (the threshold was raised in 2023); the bounce depends on the market mood in January.

Rule

Second-to-last trading day of December: small caps (₩300–3,000억) down 10%+ over 20 days → long vs the market for 10 trading days.

Backtest

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

Capacity: No edge after costs
Avg costs: 1.7%
Avg fill days: 1.2
Turnover a year: 160%

1390 signals → 100 trades (664 left out by filters, 626 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	20	20.0%	−5.0%
2022	20	40.0%	−0.9%
2023	20	70.0%	+8.2%
2024	20	40.0%	0.0%
2025	20	10.0%	−10.6%

Walk-forward

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

From	Traded	Trades	Avg net
Nov 1, 2023	No	20	+8.2%
May 1, 2024	Yes	0	—
Oct 30, 2024	Yes	20	0.0%
Apr 30, 2025	Yes	0	—
Oct 29, 2025	Yes	20	−10.6%
Apr 29, 2026	No	0	—
Oct 28, 2026	No	0	—

	All	In-sample	Out-of-sample	Walk-forward
Trades	100	80	20	40
Profitable	36.0%	42.5%	10.0%	25.0%
Avg net	−1.7%	+0.6%	−10.6%	−5.3%
Median	−3.2%	−1.4%	−16.7%	−7.1%
Worst trade	−27.3%	−16.5%	−27.3%	−27.3%
Worst drop (% of book)	−5.4%	−2.4%	−5.0%	−268.3%
Sharpe	-0.61	0.29	-4.69	-2.01

Stock	Against	Entry	Exit	Gross	Costs	Net	Fill days
LMemRAY BT	KOSPI 200 futures	Dec 29, 2025	Jan 14, 2026	−13.3%	3.5%	−16.7%	1
LMicro Contact Solution	KOSPI 200 futures	Dec 29, 2025	Jan 14, 2026	−19.6%	1.5%	−21.1%	1
LMaum.Ai	KOSPI 200 futures	Dec 29, 2025	Jan 14, 2026	−5.6%	1.8%	−7.3%	1
LLemon	KOSPI 200 futures	Dec 29, 2025	Jan 15, 2026	+40.5%	3.2%	+37.4%	2
LLabGenomics	KOSPI 200 futures	Dec 29, 2025	Jan 14, 2026	−20.1%	1.8%	−21.9%	1
L	KOSPI 200 futures	Dec 29, 2025	Jan 15, 2026	−14.4%	2.5%	−16.9%	2
L	KOSPI 200 futures	Dec 29, 2025	Jan 14, 2026	−11.1%	1.9%	−13.0%	1
L	KOSPI 200 futures	Dec 29, 2025	Jan 14, 2026	−24.6%	2.6%	−27.3%	1
L	KOSPI 200 futures	Dec 29, 2025	Jan 14, 2026	−12.3%	1.4%	−13.7%	1
L	KOSPI 200 futures	Dec 29, 2025	Jan 14, 2026	−11.9%	1.4%	−13.3%	1
L	KOSPI 200 futures	Dec 29, 2025	Jan 14, 2026	−9.6%	1.2%	−10.8%	1
L	KOSPI 200 futures	Dec 29, 2025	Jan 14, 2026	+56.8%	1.1%	+55.6%	1
L	KOSPI 200 futures	Dec 29, 2025	Jan 14, 2026	−16.6%	1.6%	−18.2%	1
L	KOSPI 200 futures	Dec 29, 2025	Jan 15, 2026	−18.9%	1.2%	−20.0%	2
L	KOSPI 200 futures	Dec 29, 2025	Jan 14, 2026	−14.9%	1.7%	−16.6%	1
L	KOSPI 200 futures	Dec 29, 2025	Jan 14, 2026	−13.8%	2.6%	−16.4%	1
L	KOSPI 200 futures	Dec 29, 2025	Jan 14, 2026	−15.7%	1.5%	−17.3%	1
L	KOSPI 200 futures	Dec 29, 2025	Jan 14, 2026	−16.4%	1.5%	−17.9%	1
L	KOSPI 200 futures	Dec 29, 2025	Jan 14, 2026	−14.6%	1.5%	−16.1%	1
L	KOSPI 200 futures	Dec 29, 2025	Jan 14, 2026	−18.5%	1.5%	−20.0%	1
L	KOSPI 200 futures	Dec 27, 2024	Jan 14, 2025	−1.0%	2.6%	−3.6%	1
L	KOSPI 200 futures	Dec 27, 2024	Jan 14, 2025	+10.2%	1.3%	+8.9%	1
L	KOSPI 200 futures	Dec 27, 2024	Jan 15, 2025	−2.6%	3.7%	−6.3%	2
L	KOSPI 200 futures	Dec 27, 2024	Jan 14, 2025	+28.2%	2.0%	+26.2%	1
L	KOSPI 200 futures	Dec 27, 2024	Jan 15, 2025	+2.1%	2.5%	−0.4%	2
L	KOSPI 200 futures	Dec 27, 2024	Jan 14, 2025	−2.1%	2.9%	−5.0%	1
L	KOSPI 200 futures	Dec 27, 2024	Jan 15, 2025	−2.4%	1.6%	−4.1%	2
L	KOSPI 200 futures	Dec 27, 2024	Jan 14, 2025	+5.4%	1.0%	+4.4%	1
L	KOSPI 200 futures	Dec 27, 2024	Jan 15, 2025	+7.1%	2.3%	+4.7%	2
L	KOSPI 200 futures	Dec 27, 2024	Jan 14, 2025	−5.3%	1.5%	−6.8%	1
L	KOSPI 200 futures	Dec 27, 2024	Jan 14, 2025	+7.0%	2.3%	+4.7%	1
L	KOSPI 200 futures	Dec 27, 2024	Jan 14, 2025	+2.2%	1.7%	+0.6%	1
L	KOSPI 200 futures	Dec 27, 2024	Jan 15, 2025	+0.3%	2.2%	−1.9%	2
L	KOSPI 200 futures	Dec 27, 2024	Jan 14, 2025	+9.3%	1.3%	+8.0%	1
L	KOSPI 200 futures	Dec 27, 2024	Jan 15, 2025	+1.1%	2.1%	−1.0%	2
L	KOSPI 200 futures	Dec 27, 2024	Jan 15, 2025	−5.5%	1.2%	−6.7%	2
L	KOSPI 200 futures	Dec 27, 2024	Jan 14, 2025	+4.8%	2.3%	+2.5%	1
L	KOSPI 200 futures	Dec 27, 2024	Jan 14, 2025	−12.5%	1.6%	−14.1%	1
L	KOSPI 200 futures	Dec 27, 2024	Jan 14, 2025	+1.4%	1.8%	−0.4%	1
L	KOSPI 200 futures	Dec 27, 2024	Jan 14, 2025	−6.7%	2.4%	−9.1%	1
L	KOSPI 200 futures	Dec 27, 2023	Jan 12, 2024	+8.9%	1.9%	+7.0%	1
L	KOSPI 200 futures	Dec 27, 2023	Jan 12, 2024	+11.2%	1.6%	+9.6%	1
L	KOSPI 200 futures	Dec 27, 2023	Jan 12, 2024	+0.5%	1.4%	−0.9%	1
L	KOSPI 200 futures	Dec 27, 2023	Jan 12, 2024	+34.7%	1.7%	+33.0%	1
L	KOSPI 200 futures	Dec 27, 2023	Jan 12, 2024	−7.7%	1.5%	−9.2%	1
L	KOSPI 200 futures	Dec 27, 2023	Jan 12, 2024	+2.4%	1.4%	+1.0%	1
L	KOSPI 200 futures	Dec 27, 2023	Jan 12, 2024	−1.4%	2.2%	−3.5%	1
L	KOSPI 200 futures	Dec 27, 2023	Jan 12, 2024	−3.9%	1.3%	−5.1%	1
L	KOSPI 200 futures	Dec 27, 2023	Jan 12, 2024	+8.1%	2.3%	+5.7%	1
L	KOSPI 200 futures	Dec 27, 2023	Jan 12, 2024	+22.6%	2.7%	+19.9%	1
L	KOSPI 200 futures	Dec 27, 2023	Jan 15, 2024	+3.3%	1.9%	+1.4%	2
L	KOSPI 200 futures	Dec 27, 2023	Jan 12, 2024	+10.6%	2.0%	+8.7%	1
L	KOSPI 200 futures	Dec 27, 2023	Jan 15, 2024	+27.6%	0.9%	+26.7%	2
L	KOSPI 200 futures	Dec 27, 2023	Jan 12, 2024	+33.6%	1.3%	+32.3%	1
L	KOSPI 200 futures	Dec 27, 2023	Jan 12, 2024	+9.2%	0.9%	+8.3%	1
L	KOSPI 200 futures	Dec 27, 2023	Jan 15, 2024	+7.7%	1.7%	+6.0%	2
L	KOSPI 200 futures	Dec 27, 2023	Jan 12, 2024	+25.2%	2.1%	+23.1%	1
L	KOSPI 200 futures	Dec 27, 2023	Jan 12, 2024	−7.0%	1.0%	−8.0%	1
L	KOSPI 200 futures	Dec 27, 2023	Jan 12, 2024	−1.3%	1.0%	−2.3%	1
L	KOSPI 200 futures	Dec 27, 2023	Jan 12, 2024	+11.3%	1.7%	+9.6%	1
L	KOSPI 200 futures	Dec 28, 2022	Jan 12, 2023	−4.8%	1.3%	−6.1%	1
L	KOSPI 200 futures	Dec 28, 2022	Jan 13, 2023	−4.4%	1.0%	−5.4%	2
L	KOSPI 200 futures	Dec 28, 2022	Jan 13, 2023	−2.0%	1.0%	−3.0%	2
L	KOSPI 200 futures	Dec 28, 2022	Jan 13, 2023	−1.6%	1.1%	−2.8%	2
L	KOSPI 200 futures	Dec 28, 2022	Jan 12, 2023	−7.3%	2.3%	−9.6%	1
L	KOSPI 200 futures	Dec 28, 2022	Jan 12, 2023	+0.2%	1.5%	−1.2%	1
L	KOSPI 200 futures	Dec 28, 2022	Jan 12, 2023	+1.9%	1.2%	+0.7%	1
L	KOSPI 200 futures	Dec 28, 2022	Jan 12, 2023	+6.2%	2.3%	+3.9%	1
L	KOSPI 200 futures	Dec 28, 2022	Jan 12, 2023	+1.2%	1.0%	+0.2%	1
L	KOSPI 200 futures	Dec 28, 2022	Jan 12, 2023	−2.1%	1.2%	−3.3%	1
L	KOSPI 200 futures	Dec 28, 2022	Jan 13, 2023	−3.9%	1.2%	−5.1%	2
L	KOSPI 200 futures	Dec 28, 2022	Jan 13, 2023	+11.3%	1.4%	+9.9%	2
L	KOSPI 200 futures	Dec 28, 2022	Jan 12, 2023	−5.1%	1.2%	−6.3%	1
L	KOSPI 200 futures	Dec 28, 2022	Jan 12, 2023	+16.5%	1.4%	+15.1%	1
L	KOSPI 200 futures	Dec 28, 2022	Jan 12, 2023	+2.4%	1.2%	+1.2%	1
L	KOSPI 200 futures	Dec 28, 2022	Jan 12, 2023	−9.7%	2.6%	−12.3%	1
L	KOSPI 200 futures	Dec 28, 2022	Jan 12, 2023	+5.9%	1.6%	+4.3%	1
L	KOSPI 200 futures	Dec 28, 2022	Jan 12, 2023	−0.9%	1.5%	−2.4%	1
L	KOSPI 200 futures	Dec 28, 2022	Jan 12, 2023	+5.6%	1.7%	+4.0%	1
L	KOSPI 200 futures	Dec 28, 2022	Jan 13, 2023	+1.0%	1.2%	−0.2%	2
L	KOSPI 200 futures	Dec 29, 2021	Jan 13, 2022	−4.0%	1.3%	−5.2%	1
L	KOSPI 200 futures	Dec 29, 2021	Jan 13, 2022	−7.7%	1.3%	−9.0%	1
L	KOSPI 200 futures	Dec 29, 2021	Jan 13, 2022	−15.0%	0.9%	−15.9%	1
L	KOSPI 200 futures	Dec 29, 2021	Jan 13, 2022	+3.6%	1.3%	+2.3%	1
L	KOSPI 200 futures	Dec 29, 2021	Jan 13, 2022	−2.3%	1.1%	−3.3%	1
L	KOSPI 200 futures	Dec 29, 2021	Jan 13, 2022	−11.2%	1.1%	−12.3%	1
L	KOSPI 200 futures	Dec 29, 2021	Jan 13, 2022	+2.4%	1.0%	+1.5%	1
L	KOSPI 200 futures	Dec 29, 2021	Jan 13, 2022	−2.0%	0.8%	−2.8%	1
L	KOSPI 200 futures	Dec 29, 2021	Jan 13, 2022	−2.9%	1.2%	−4.1%	1
L	KOSPI 200 futures	Dec 29, 2021	Jan 14, 2022	−0.6%	2.5%	−3.1%	2
L	KOSPI 200 futures	Dec 29, 2021	Jan 13, 2022	+17.2%	1.0%	+16.1%	1
L	KOSPI 200 futures	Dec 29, 2021	Jan 13, 2022	−6.7%	1.0%	−7.7%	1
L	KOSPI 200 futures	Dec 29, 2021	Jan 13, 2022	−6.0%	0.9%	−6.9%	1
L	KOSPI 200 futures	Dec 29, 2021	Jan 14, 2022	−9.9%	2.7%	−12.6%	2
L	KOSPI 200 futures	Dec 29, 2021	Jan 13, 2022	−0.2%	1.4%	−1.6%	1
L	KOSPI 200 futures	Dec 29, 2021	Jan 13, 2022	−8.7%	2.2%	−10.9%	1
L	KOSPI 200 futures	Dec 29, 2021	Jan 13, 2022	−15.2%	1.4%	−16.5%	1
L	KOSPI 200 futures	Dec 29, 2021	Jan 13, 2022	−6.6%	0.7%	−7.2%	1
L	KOSPI 200 futures	Dec 29, 2021	Jan 14, 2022	+6.1%	2.1%	+4.0%	2
L	KOSPI 200 futures	Dec 29, 2021	Jan 13, 2022	−2.6%	1.7%	−4.3%	1

Show all 100 trades