Momentum factor (12-1)

Why this can work

Winners have tended to keep winning for some months.

What can go wrong

Momentum crashes when markets turn sharply; Korea's theme-driven rallies reverse fast.

Rule

Each month: the 400 largest ranked by their return over the past 12 months excluding the last one; top 20% long, bottom 20% short, for a month.

Backtest

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

Capacity: ₩2,839만
Avg costs: 1.0%
Avg fill days: 1.0
Turnover a year: 8686%

7654 signals → 5422 trades (253 left out by filters, 0 over the position limit, 154 still open, 0 too big to fill, 3 exited at delisting).

Short-selling bans: 1662 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	236	40.7%	−2.1%
2023	1363	41.5%	−0.7%
2024	893	47.9%	+1.0%
2025	1556	46.1%	−0.4%
2026	1374	49.5%	−0.1%

Walk-forward

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

From	Traded	Trades	Avg net
Nov 1, 2023	No	502	+0.8%
May 1, 2024	No	442	−0.4%
Oct 30, 2024	No	511	+0.9%
Apr 30, 2025	No	895	−0.8%
Oct 29, 2025	Yes	901	+1.6%
Apr 29, 2026	Yes	768	−2.3%
Oct 28, 2026	No	0	—

	All	In-sample	Out-of-sample	Walk-forward
Trades	5422	2858	2564	1669
Profitable	45.9%	43.8%	48.2%	48.3%
Avg net	−0.3%	−0.1%	−0.4%	−0.2%
Median	−1.5%	−1.9%	−0.9%	−0.9%
Worst trade	−91.2%	−91.2%	−84.4%	−69.0%
Worst drop (% of book)	−66.9%	−51.0%	−63.0%	−3,150.6%
Sharpe	-0.47	-0.20	-0.81	-0.35

Stock	Against	Entry	Exit	Gross	Costs	Net	Fill days
SKolon TissueGene	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+13.6%	1.2%	+12.5%	1
SYG Entertainment	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+3.9%	1.5%	+2.4%	1
SPeptron	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+23.9%	1.2%	+22.7%	1
SCJ ENM	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−0.1%	2.1%	−2.1%	1
SParadise	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+11.0%	1.2%	+9.8%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−3.6%	2.1%	−5.8%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+11.6%	2.4%	+9.2%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−3.4%	1.8%	−5.2%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−1.3%	1.4%	−2.7%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−6.4%	2.3%	−8.6%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+27.5%	0.8%	+26.7%	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	+12.3%	2.3%	+10.0%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+9.9%	1.6%	+8.3%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+5.7%	1.6%	+4.1%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+9.3%	1.2%	+8.1%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+6.1%	1.2%	+4.8%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+12.0%	0.6%	+11.3%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+14.6%	1.0%	+13.6%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+16.4%	0.6%	+15.8%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+12.0%	1.3%	+10.8%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−14.6%	2.1%	−16.7%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+8.7%	1.1%	+7.6%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+1.4%	2.5%	−1.1%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−1.0%	1.6%	−2.7%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+14.7%	1.6%	+13.0%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+13.6%	0.8%	+12.8%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+4.3%	1.2%	+3.1%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+17.6%	1.4%	+16.2%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+7.6%	2.4%	+5.2%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 6, 2026	+15.3%	2.5%	+12.8%	2
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+8.3%	1.9%	+6.4%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+6.2%	1.5%	+4.8%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+16.0%	0.7%	+15.3%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−2.1%	2.1%	−4.2%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+16.4%	0.8%	+15.7%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+4.1%	1.4%	+2.7%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+16.2%	1.0%	+15.2%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+8.0%	1.5%	+6.5%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 6, 2026	+6.2%	2.5%	+3.7%	2
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+18.6%	1.9%	+16.7%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+16.4%	0.9%	+15.6%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+19.4%	1.4%	+17.9%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 6, 2026	−5.4%	2.4%	−7.8%	2
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−1.9%	1.8%	−3.7%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+4.9%	1.4%	+3.5%	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	+21.6%	0.6%	+21.0%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+30.3%	1.1%	+29.3%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−24.3%	1.4%	−25.7%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+7.7%	1.2%	+6.4%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+29.5%	1.1%	+28.4%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+5.5%	1.7%	+3.8%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+10.5%	1.4%	+9.1%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+9.0%	1.9%	+7.2%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+13.3%	0.7%	+12.6%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+8.5%	1.4%	+7.1%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+12.2%	0.6%	+11.5%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−3.5%	2.5%	−6.0%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−10.7%	1.9%	−12.6%	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	+10.2%	1.2%	+9.0%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−47.6%	1.6%	−49.2%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−0.4%	1.1%	−1.5%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+10.0%	1.5%	+8.6%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+4.5%	1.9%	+2.6%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+17.6%	0.9%	+16.7%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+8.2%	1.5%	+6.8%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+3.9%	0.9%	+3.0%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+32.1%	0.8%	+31.2%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+10.7%	1.6%	+9.2%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+5.3%	0.9%	+4.4%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+1.4%	1.7%	−0.4%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+10.8%	1.6%	+9.2%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+4.2%	1.7%	+2.5%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+6.2%	1.0%	+5.1%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−10.0%	0.8%	−10.8%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−16.4%	1.8%	−18.2%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+2.4%	1.5%	+1.0%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+15.2%	1.3%	+13.9%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+56.3%	1.2%	+55.1%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+35.0%	1.1%	+33.9%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−17.0%	0.5%	−17.5%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−12.2%	0.7%	−12.9%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+47.1%	0.8%	+46.3%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−11.4%	1.0%	−12.4%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−12.3%	1.5%	−13.8%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−67.0%	1.9%	−69.0%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+2.2%	1.2%	+1.0%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−2.4%	1.6%	−4.0%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+17.4%	0.9%	+16.4%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−10.0%	1.9%	−12.0%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−12.7%	0.6%	−13.3%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+7.6%	1.5%	+6.1%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+7.3%	0.9%	+6.4%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+14.7%	1.2%	+13.6%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−7.7%	0.6%	−8.2%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+22.4%	1.3%	+21.1%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−19.6%	0.7%	−20.3%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+34.4%	1.3%	+33.2%	1

Show all 100 trades