Quality factor (ROE)

Why this can work

Profitable companies have tended to beat unprofitable ones.

What can go wrong

Quality can be expensive already; one-off profits inflate return on equity.

Rule

Each month: the 400 largest ranked by return on equity (latest full year); top 20% long, bottom 20% short.

Backtest

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

Capacity: No edge after costs
Avg costs: 1.0%
Avg fill days: 1.0
Turnover a year: 8545%

7400 signals → 5331 trades (177 left out by filters, 0 over the position limit, 144 still open, 0 too big to fill, 0 exited at delisting).

Short-selling bans: 1604 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	781	42.1%	−1.7%
2023	1085	42.9%	−1.0%
2024	778	42.5%	−0.3%
2025	1440	46.3%	−1.6%
2026	1247	50.4%	+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	394	−0.7%
May 1, 2024	No	408	−0.4%
Oct 30, 2024	No	465	−0.1%
Apr 30, 2025	No	833	−2.1%
Oct 29, 2025	No	814	0.0%
Apr 29, 2026	No	706	+0.5%
Oct 28, 2026	No	0	—

	All	In-sample	Out-of-sample	Walk-forward
Trades	5331	2978	2353	0
Profitable	45.4%	42.7%	48.9%	—
Avg net	−0.8%	−0.9%	−0.6%	—
Median	−1.5%	−2.1%	−0.5%	—
Worst trade	−134.0%	−134.0%	−97.7%	—
Worst drop (% of book)	−143.2%	−59.8%	−93.1%	0.0%
Sharpe	-1.51	-2.09	-1.13	—

Stock	Against	Entry	Exit	Gross	Costs	Net	Fill days
SFadu	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−34.5%	1.0%	−35.5%	1
SMezzion Pharma	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−0.4%	1.9%	−2.3%	1
SQurient	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−14.1%	3.0%	−17.1%	1
SSKC	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−17.6%	1.0%	−18.6%	1
SL&F	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+20.2%	0.9%	+19.4%	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	−10.0%	0.8%	−10.8%	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	+1.3%	1.8%	−0.6%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−28.9%	0.8%	−29.7%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+15.5%	1.5%	+14.0%	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	−7.2%	1.9%	−9.1%	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	−14.6%	2.1%	−16.7%	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	−28.3%	0.8%	−29.1%	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	+12.9%	1.7%	+11.3%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−9.3%	0.7%	−10.0%	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	+7.6%	2.4%	+5.2%	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	+2.1%	1.4%	+0.7%	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	+2.4%	1.3%	+1.2%	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	−0.6%	0.8%	−1.4%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+15.1%	1.0%	+14.0%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−7.3%	1.0%	−8.3%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+12.3%	1.7%	+10.6%	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	−1.0%	1.6%	−2.7%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−29.1%	1.9%	−31.0%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−3.1%	2.1%	−5.2%	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	−8.5%	1.2%	−9.7%	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	+4.9%	1.4%	+3.5%	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	+16.4%	0.6%	+15.8%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−3.0%	0.7%	−3.7%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+12.8%	1.1%	+11.7%	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	+7.4%	0.8%	+6.6%	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	−4.1%	0.9%	−5.0%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+5.9%	1.3%	+4.6%	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	+16.9%	0.9%	+16.0%	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	−11.8%	1.1%	−12.9%	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 2, 2026	+12.9%	0.8%	+12.1%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+12.7%	0.7%	+12.0%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+4.4%	1.6%	+2.8%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+7.6%	1.9%	+5.7%	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	+16.7%	0.9%	+15.8%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−3.3%	1.3%	−4.6%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−25.8%	1.5%	−27.3%	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	−2.1%	2.1%	−4.2%	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	+6.2%	1.0%	+5.1%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−21.9%	1.6%	−23.5%	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	+4.9%	0.7%	+4.3%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+11.4%	1.1%	+10.4%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−9.4%	1.5%	−10.9%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−0.1%	2.1%	−2.1%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+2.6%	2.2%	+0.4%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+6.7%	0.6%	+6.1%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+5.3%	1.5%	+3.9%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+46.7%	0.8%	+46.0%	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	+5.8%	0.8%	+5.0%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−10.7%	0.8%	−11.5%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−7.6%	0.8%	−8.3%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−2.1%	1.3%	−3.4%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−8.7%	0.6%	−9.3%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+0.7%	0.7%	0.0%	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	−10.9%	1.4%	−12.3%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+12.9%	0.7%	+12.3%	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	+19.2%	1.1%	+18.2%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−10.0%	0.6%	−10.6%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−10.3%	1.0%	−11.4%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+52.1%	1.1%	+51.0%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+17.5%	1.1%	+16.4%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−14.1%	0.8%	−14.9%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−11.0%	0.8%	−11.8%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+24.3%	1.1%	+23.2%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−17.2%	1.4%	−18.6%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 6, 2026	−15.3%	1.6%	−17.0%	2
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−6.6%	1.1%	−7.7%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−13.0%	0.9%	−13.9%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−5.5%	0.7%	−6.2%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−12.3%	2.0%	−14.3%	1

Show all 100 trades