Post-earnings drift (misses)

Why this can work

Disappointments tend to keep weighing on prices as investors leave.

What can go wrong

Bad news is often priced in by the deadline; shorting small names is costly.

Rule

Operating profit down 30%+ on the same period last year, and worse than the period before → short vs the market for 40 trading days from the reporting deadline.

Backtest

At ₩1억 a trade, Oct 28, 2021 to Oct 27, 2026.

Capacity: ₩84.3억
Avg costs: 2.1%
Avg fill days: 1.1
Turnover a year: 314%

5437 signals → 196 trades (2422 left out by filters, 1034 over the position limit, 0 still open, 0 too big to fill, 0 exited at delisting).

Short-selling bans: 1784 trades skipped, 0 used index futures instead.

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
2022	56	53.6%	−3.4%
2023	40	57.5%	+2.7%
2025	60	68.3%	+10.6%
2026	40	47.5%	+28.1%

Walk-forward

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

From	Traded	Trades	Avg net
Oct 28, 2023	No	0	—
Apr 27, 2024	No	0	—
Oct 26, 2024	No	20	+5.8%
Apr 26, 2025	Yes	20	+15.7%
Oct 25, 2025	Yes	40	+45.9%
Apr 25, 2026	Yes	20	−25.3%
Oct 24, 2026	Yes	0	—

	All	In-sample	Out-of-sample	Walk-forward
Trades	196	116	80	80
Profitable	57.7%	56.9%	58.8%	58.8%
Avg net	+8.6%	+0.3%	+20.5%	+20.5%
Median	+2.6%	+1.3%	+17.4%	+17.4%
Worst trade	−92.9%	−92.9%	−73.6%	−73.6%
Worst drop (% of book)	−10.5%	−4.4%	−10.5%	−526.7%
Sharpe	1.60	0.11	3.38	3.38

Stock	Against	Entry	Exit	Gross	Costs	Net	Fill days
SGC	KOSPI 200 futures	Aug 18, 2026	Oct 20, 2026	−11.5%	3.2%	−14.7%	2
SShinpoong Pharmaceutical	KOSPI 200 futures	Aug 18, 2026	Oct 20, 2026	−28.6%	3.7%	−32.2%	2
SKorea Electric Terminal	KOSPI 200 futures	Aug 18, 2026	Oct 19, 2026	−7.7%	2.5%	−10.2%	1
SDreamtech	KOSPI 200 futures	Aug 18, 2026	Oct 19, 2026	−65.7%	3.1%	−68.8%	1
SPeople & Technology	KOSPI 200 futures	Aug 18, 2026	Oct 19, 2026	−18.4%	2.5%	−21.0%	1
S	KOSPI 200 futures	Aug 18, 2026	Oct 19, 2026	−41.6%	3.2%	−44.7%	1
S	KOSPI 200 futures	Aug 18, 2026	Oct 20, 2026	−17.0%	3.1%	−20.1%	2
S	KOSPI 200 futures	Aug 18, 2026	Oct 19, 2026	−19.7%	2.4%	−22.1%	1
S	KOSPI 200 futures	Aug 18, 2026	Oct 19, 2026	−22.4%	1.6%	−23.9%	1
S	KOSPI 200 futures	Aug 18, 2026	Oct 20, 2026	−20.5%	3.2%	−23.7%	2
S	KOSPI 200 futures	Aug 18, 2026	Oct 19, 2026	−11.8%	0.8%	−12.5%	1
S	KOSPI 200 futures	Aug 18, 2026	Oct 19, 2026	−68.5%	3.4%	−71.9%	1
S	KOSPI 200 futures	Aug 18, 2026	Oct 19, 2026	−17.5%	2.2%	−19.8%	1
S	KOSPI 200 futures	Aug 18, 2026	Oct 19, 2026	−22.7%	0.8%	−23.5%	1
S	KOSPI 200 futures	Aug 18, 2026	Oct 19, 2026	−11.1%	4.3%	−15.4%	1
S	KOSPI 200 futures	Aug 18, 2026	Oct 19, 2026	−58.6%	4.5%	−63.1%	1
S	KOSPI 200 futures	Aug 18, 2026	Oct 19, 2026	−22.9%	1.5%	−24.4%	1
S	KOSPI 200 futures	Aug 18, 2026	Oct 19, 2026	+26.3%	1.2%	+25.1%	1
S	KOSPI 200 futures	Aug 18, 2026	Oct 19, 2026	−0.8%	3.5%	−4.3%	1
S	KOSPI 200 futures	Aug 18, 2026	Oct 20, 2026	−10.2%	4.5%	−14.7%	2
S	KOSPI 200 futures	Apr 1, 2026	Jun 1, 2026	−54.9%	3.9%	−58.8%	1
S	KOSPI 200 futures	Apr 1, 2026	Jun 1, 2026	+101.2%	3.8%	+97.4%	1
S	KOSPI 200 futures	Apr 1, 2026	Jun 1, 2026	−48.9%	1.5%	−50.4%	1
S	KOSPI 200 futures	Apr 1, 2026	Jun 1, 2026	+102.0%	0.9%	+101.1%	1
S	KOSPI 200 futures	Apr 1, 2026	Jun 1, 2026	+106.4%	3.8%	+102.6%	1
S	KOSPI 200 futures	Apr 1, 2026	Jun 1, 2026	+86.9%	2.7%	+84.2%	1
S	KOSPI 200 futures	Apr 1, 2026	Jun 1, 2026	+89.1%	4.8%	+84.4%	1
S	KOSPI 200 futures	Apr 1, 2026	Jun 1, 2026	+137.6%	5.4%	+132.2%	1
S	KOSPI 200 futures	Apr 1, 2026	Jun 2, 2026	+112.6%	4.5%	+108.1%	2
S	KOSPI 200 futures	Apr 1, 2026	Jun 2, 2026	+125.4%	5.6%	+119.9%	2
S	KOSPI 200 futures	Apr 1, 2026	Jun 2, 2026	+105.5%	3.5%	+102.1%	2
S	KOSPI 200 futures	Apr 1, 2026	Jun 1, 2026	+107.3%	3.2%	+104.2%	1
S	KOSPI 200 futures	Apr 1, 2026	Jun 2, 2026	+72.9%	4.8%	+68.1%	2
S	KOSPI 200 futures	Apr 1, 2026	Jun 2, 2026	+86.9%	4.3%	+82.5%	2
S	KOSPI 200 futures	Apr 1, 2026	Jun 1, 2026	+74.5%	2.2%	+72.3%	1
S	KOSPI 200 futures	Apr 1, 2026	Jun 1, 2026	+101.0%	2.5%	+98.5%	1
S	KOSPI 200 futures	Apr 1, 2026	Jun 2, 2026	+105.6%	6.1%	+99.5%	2
S	KOSPI 200 futures	Apr 1, 2026	Jun 1, 2026	+97.7%	3.3%	+94.5%	1
S	KOSPI 200 futures	Apr 1, 2026	Jun 1, 2026	+90.5%	5.3%	+85.2%	1
S	KOSPI 200 futures	Apr 1, 2026	Jun 2, 2026	+108.1%	7.0%	+101.1%	2
S	KOSPI 200 futures	Nov 17, 2025	Jan 16, 2026	+0.2%	3.5%	−3.3%	2
S	KOSPI 200 futures	Nov 17, 2025	Jan 15, 2026	−0.4%	1.4%	−1.7%	1
S	KOSPI 200 futures	Nov 17, 2025	Jan 15, 2026	+40.1%	1.4%	+38.7%	1
S	KOSPI 200 futures	Nov 17, 2025	Jan 15, 2026	+24.9%	1.6%	+23.4%	1
S	KOSPI 200 futures	Nov 17, 2025	Jan 15, 2026	+15.2%	0.8%	+14.4%	1
S	KOSPI 200 futures	Nov 17, 2025	Jan 15, 2026	−40.8%	2.7%	−43.5%	1
S	KOSPI 200 futures	Nov 17, 2025	Jan 15, 2026	+28.2%	3.1%	+25.1%	1
S	KOSPI 200 futures	Nov 17, 2025	Jan 16, 2026	−14.5%	4.0%	−18.5%	2
S	KOSPI 200 futures	Nov 17, 2025	Jan 15, 2026	+31.9%	1.9%	+29.9%	1
S	KOSPI 200 futures	Nov 17, 2025	Jan 15, 2026	+28.5%	3.2%	+25.3%	1
S	KOSPI 200 futures	Nov 17, 2025	Jan 15, 2026	−4.9%	1.2%	−6.1%	1
S	KOSPI 200 futures	Nov 17, 2025	Jan 15, 2026	−0.8%	1.5%	−2.2%	1
S	KOSPI 200 futures	Nov 17, 2025	Jan 16, 2026	+3.7%	2.9%	+0.9%	2
S	KOSPI 200 futures	Nov 17, 2025	Jan 15, 2026	−22.6%	3.5%	−26.1%	1
S	KOSPI 200 futures	Nov 17, 2025	Jan 16, 2026	+31.1%	2.9%	+28.2%	2
S	KOSPI 200 futures	Nov 17, 2025	Jan 16, 2026	+16.7%	3.4%	+13.3%	2
S	KOSPI 200 futures	Nov 17, 2025	Jan 15, 2026	+35.3%	2.9%	+32.4%	1
S	KOSPI 200 futures	Nov 17, 2025	Jan 15, 2026	+16.2%	2.6%	+13.7%	1
S	KOSPI 200 futures	Nov 17, 2025	Jan 15, 2026	+30.7%	3.2%	+27.4%	1
S	KOSPI 200 futures	Nov 17, 2025	Jan 16, 2026	+38.9%	3.0%	+35.8%	2
S	KOSPI 200 futures	Aug 18, 2025	Oct 20, 2025	−19.2%	1.5%	−20.7%	1
S	KOSPI 200 futures	Aug 18, 2025	Oct 20, 2025	+20.0%	1.9%	+18.1%	1
S	KOSPI 200 futures	Aug 18, 2025	Oct 20, 2025	−71.9%	1.7%	−73.6%	1
S	KOSPI 200 futures	Aug 18, 2025	Oct 20, 2025	+15.0%	1.0%	+14.0%	1
S	KOSPI 200 futures	Aug 18, 2025	Oct 20, 2025	+18.6%	1.8%	+16.8%	1
S	KOSPI 200 futures	Aug 18, 2025	Oct 20, 2025	+31.4%	1.4%	+30.0%	1
S	KOSPI 200 futures	Aug 18, 2025	Oct 20, 2025	+36.4%	2.8%	+33.6%	1
S	KOSPI 200 futures	Aug 18, 2025	Oct 20, 2025	−3.9%	2.5%	−6.4%	1
S	KOSPI 200 futures	Aug 18, 2025	Oct 20, 2025	+28.4%	2.8%	+25.6%	1
S	KOSPI 200 futures	Aug 18, 2025	Oct 20, 2025	+12.6%	3.3%	+9.3%	1
S	KOSPI 200 futures	Aug 18, 2025	Oct 20, 2025	−12.0%	1.4%	−13.4%	1
S	KOSPI 200 futures	Aug 18, 2025	Oct 21, 2025	+32.9%	2.9%	+30.0%	2
S	KOSPI 200 futures	Aug 18, 2025	Oct 21, 2025	+55.3%	4.6%	+50.7%	2
S	KOSPI 200 futures	Aug 18, 2025	Oct 20, 2025	+48.9%	5.3%	+43.6%	1
S	KOSPI 200 futures	Aug 18, 2025	Oct 20, 2025	+39.0%	3.2%	+35.8%	1
S	KOSPI 200 futures	Aug 18, 2025	Oct 21, 2025	+36.9%	3.4%	+33.5%	2
S	KOSPI 200 futures	Aug 18, 2025	Oct 20, 2025	+37.5%	3.4%	+34.1%	1
S	KOSPI 200 futures	Aug 18, 2025	Oct 21, 2025	+34.5%	2.9%	+31.6%	2
S	KOSPI 200 futures	Aug 18, 2025	Oct 20, 2025	+29.3%	2.6%	+26.7%	1
S	KOSPI 200 futures	Aug 18, 2025	Oct 20, 2025	−2.7%	3.1%	−5.8%	1
S	KOSPI 200 futures	Apr 1, 2025	May 30, 2025	+9.8%	0.8%	+9.0%	1
S	KOSPI 200 futures	Apr 1, 2025	May 30, 2025	+19.8%	0.9%	+19.0%	1
S	KOSPI 200 futures	Apr 1, 2025	May 30, 2025	+16.3%	0.8%	+15.5%	1
S	KOSPI 200 futures	Apr 1, 2025	May 30, 2025	−4.7%	0.8%	−5.5%	1
S	KOSPI 200 futures	Apr 1, 2025	May 30, 2025	+25.9%	0.9%	+25.0%	1
S	KOSPI 200 futures	Apr 1, 2025	May 30, 2025	+9.7%	3.1%	+6.6%	1
S	KOSPI 200 futures	Apr 1, 2025	May 30, 2025	+23.4%	3.8%	+19.6%	1
S	KOSPI 200 futures	Apr 1, 2025	May 30, 2025	−7.9%	3.9%	−11.8%	1
S	KOSPI 200 futures	Apr 1, 2025	Jun 2, 2025	−30.3%	3.4%	−33.7%	2
S	KOSPI 200 futures	Apr 1, 2025	May 30, 2025	+37.2%	4.4%	+32.8%	1
S	KOSPI 200 futures	Apr 1, 2025	Jun 2, 2025	+13.1%	4.6%	+8.5%	2
S	KOSPI 200 futures	Apr 1, 2025	May 30, 2025	+6.1%	3.9%	+2.2%	1
S	KOSPI 200 futures	Apr 1, 2025	May 30, 2025	+15.0%	3.1%	+11.8%	1
S	KOSPI 200 futures	Apr 1, 2025	May 30, 2025	+9.8%	3.9%	+5.9%	1
S	KOSPI 200 futures	Apr 1, 2025	May 30, 2025	−1.5%	3.3%	−4.8%	1
S	KOSPI 200 futures	Apr 1, 2025	Jun 2, 2025	+0.8%	3.1%	−2.2%	2
S	KOSPI 200 futures	Apr 1, 2025	May 30, 2025	−0.9%	3.5%	−4.4%	1
S	KOSPI 200 futures	Apr 1, 2025	May 30, 2025	+20.9%	2.4%	+18.5%	1
S	KOSPI 200 futures	Apr 1, 2025	May 30, 2025	+2.5%	3.1%	−0.6%	1
S	KOSPI 200 futures	Apr 1, 2025	May 30, 2025	+7.9%	3.1%	+4.8%	1

Show all 100 trades