Low-volatility factor

Why this can work

Calmer stocks have tended to give better returns per unit of risk than the most volatile ones.

What can go wrong

Low-volatility stocks lag in strong rallies.

Rule

Each month: the 400 largest ranked by how much their price moved over the past year; the calmest 20% long, the most volatile 20% short.

Backtest

At ₩1억 a trade, Nov 1, 2021 to Oct 30, 2026.

Capacity: No edge after costs
Avg costs: 1.0%
Avg fill days: 1.1
Turnover a year: 9354%

8872 signals → 5839 trades (628 left out by filters, 0 over the position limit, 157 still open, 0 too big to fill, 4 exited at delisting).

Short-selling bans: 2080 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	915	48.5%	−0.3%
2023	1213	36.9%	−3.7%
2024	805	50.8%	+0.1%
2025	1520	43.0%	−2.2%
2026	1386	47.2%	−0.6%

Walk-forward

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

From	Traded	Trades	Avg net
Nov 1, 2023	No	444	−2.6%
May 1, 2024	No	407	+0.4%
Oct 30, 2024	No	464	−1.7%
Apr 30, 2025	No	882	−3.1%
Oct 29, 2025	No	906	−2.7%
Apr 29, 2026	No	777	+2.2%
Oct 28, 2026	No	0	—

	All	In-sample	Out-of-sample	Walk-forward
Trades	5839	3274	2565	0
Profitable	44.6%	44.1%	45.3%	—
Avg net	−1.5%	−1.7%	−1.4%	—
Median	−1.4%	−1.2%	−2.2%	—
Worst trade	−146.6%	−134.0%	−146.6%	—
Worst drop (% of book)	−267.5%	−119.0%	−153.2%	0.0%
Sharpe	-3.30	-4.64	-2.69	—

Stock	Against	Entry	Exit	Gross	Costs	Net	Fill days
SRznomics	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+4.5%	2.0%	+2.5%	1
SAimed Bio	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−0.9%	2.2%	−3.1%	1
SCmtx	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−29.1%	1.9%	−31.0%	1
STaihan Fiberoptics	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−28.9%	0.8%	−29.7%	1
SSungho Electronics	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−84.7%	1.3%	−86.0%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−14.7%	1.4%	−16.1%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−6.0%	2.0%	−8.0%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−15.2%	1.6%	−16.8%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−53.9%	1.3%	−55.2%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+13.5%	1.0%	+12.6%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+19.0%	1.0%	+17.9%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+3.5%	1.0%	+2.5%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+17.7%	1.7%	+16.0%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−56.3%	1.5%	−57.7%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+14.2%	1.9%	+12.4%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−14.9%	1.0%	−15.9%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−24.1%	0.7%	−24.8%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−8.4%	0.8%	−9.2%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+0.9%	1.3%	−0.4%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−58.7%	1.6%	−60.2%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−0.7%	1.2%	−1.9%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−35.5%	0.6%	−36.1%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+2.1%	1.4%	+0.7%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−8.5%	1.2%	−9.7%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−7.4%	2.4%	−9.9%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+3.7%	0.9%	+2.8%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−28.3%	0.8%	−29.1%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−12.9%	0.7%	−13.7%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+9.1%	0.9%	+8.2%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−11.8%	1.1%	−12.9%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+67.0%	2.2%	+64.8%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−37.6%	1.0%	−38.5%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−36.4%	1.4%	−37.8%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−20.7%	1.8%	−22.5%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+16.9%	0.9%	+16.0%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−15.3%	1.4%	−16.7%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−21.7%	0.9%	−22.6%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−28.4%	0.8%	−29.2%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+15.6%	2.1%	+13.5%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−21.7%	1.2%	−22.9%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−14.1%	3.0%	−17.1%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+13.6%	1.2%	+12.5%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−24.2%	0.8%	−24.9%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−52.1%	1.1%	−53.2%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−12.5%	3.0%	−15.5%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−23.7%	0.9%	−24.6%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−19.6%	0.8%	−20.4%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+10.2%	0.9%	+9.3%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+6.1%	0.9%	+5.2%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+23.9%	1.2%	+22.7%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−34.5%	1.0%	−35.5%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−56.6%	2.0%	−58.6%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+20.0%	1.2%	+18.8%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+13.9%	1.8%	+12.1%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−31.0%	0.7%	−31.7%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−32.8%	1.0%	−33.7%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−34.2%	1.4%	−35.5%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−6.9%	0.6%	−7.5%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−7.2%	1.9%	−9.1%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+2.4%	1.8%	+0.6%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+18.4%	1.9%	+16.5%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−10.6%	2.0%	−12.6%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−20.1%	1.4%	−21.5%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−19.6%	1.8%	−21.5%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+3.7%	0.7%	+3.0%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−17.5%	1.3%	−18.8%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+10.0%	2.2%	+7.8%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−17.4%	1.2%	−18.5%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−12.1%	1.1%	−13.3%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−32.6%	0.8%	−33.4%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−35.0%	1.4%	−36.3%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−27.9%	1.1%	−29.0%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−46.7%	0.9%	−47.6%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+1.1%	0.7%	+0.4%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+5.4%	0.7%	+4.7%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−22.2%	1.5%	−23.6%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−90.5%	1.7%	−92.2%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−26.7%	2.2%	−28.9%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+15.5%	1.5%	+14.0%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−5.0%	0.9%	−5.9%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−8.0%	1.2%	−9.2%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−16.4%	0.8%	−17.2%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−9.3%	0.9%	−10.2%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−3.2%	1.0%	−4.1%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−12.0%	1.0%	−13.0%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−15.1%	0.8%	−15.9%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−7.0%	0.6%	−7.5%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−1.0%	1.0%	−2.0%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−14.1%	1.3%	−15.3%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+0.1%	1.8%	−1.8%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−10.0%	1.2%	−11.2%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+4.5%	0.6%	+3.9%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−1.4%	2.2%	−3.6%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−7.1%	1.1%	−8.2%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−11.6%	2.1%	−13.8%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−17.6%	1.2%	−18.7%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+6.3%	1.6%	+4.7%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−12.9%	1.4%	−14.4%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−6.5%	0.4%	−6.9%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−10.3%	1.0%	−11.4%	1

Show all 100 trades