Value factor

Why this can work

Cheap stocks have tended to beat expensive ones over long periods, in Korea partly through the value-up push.

What can go wrong

Value can lag for years; book values of holding companies and banks behave differently.

Rule

Each month: the 400 largest stocks ranked by book value to market value; top 20% long, bottom 20% short, for a month.

Backtest

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

Capacity: No edge after costs
Avg costs: 1.0%
Avg fill days: 1.1
Turnover a year: 8646%

7398 signals → 5400 trades (193 left out by filters, 0 over the position limit, 143 still open, 0 too big to fill, 0 exited at delisting).

Short-selling bans: 1520 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	839	46.0%	−0.6%
2023	1144	40.4%	−2.7%
2024	753	43.4%	−1.2%
2025	1418	46.1%	−0.9%
2026	1246	48.1%	+0.4%

Walk-forward

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

From	Traded	Trades	Avg net
Oct 28, 2023	No	402	−2.8%
Apr 27, 2024	No	390	−0.5%
Oct 26, 2024	No	441	−1.0%
Apr 26, 2025	No	826	−1.4%
Oct 25, 2025	No	812	−1.0%
Apr 25, 2026	No	706	+2.1%
Oct 24, 2026	No	0	—

	All	In-sample	Out-of-sample	Walk-forward
Trades	5400	3056	2344	0
Profitable	45.0%	43.2%	47.3%	—
Avg net	−1.0%	−1.6%	−0.2%	—
Median	−1.5%	−1.7%	−1.1%	—
Worst trade	−134.0%	−134.0%	−113.0%	—
Worst drop (% of book)	−183.9%	−98.9%	−102.8%	0.0%
Sharpe	-2.12	-4.24	-0.44	—

Stock	Against	Entry	Exit	Gross	Costs	Net	Fill days
SDoosan Bobcat	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+14.7%	1.2%	+13.5%	1
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
SRainbow Robotics	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+5.4%	0.7%	+4.7%	1
SAlteogen	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	+20.5%	0.6%	+19.9%	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	+19.0%	1.0%	+17.9%	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	+15.5%	1.5%	+14.0%	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	+30.3%	1.1%	+29.3%	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	−26.7%	2.2%	−28.9%	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	+10.0%	2.2%	+7.8%	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	−12.5%	3.0%	−15.5%	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	−11.8%	1.1%	−12.9%	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	+0.9%	0.8%	+0.1%	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	−21.7%	0.9%	−22.6%	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	+16.5%	1.0%	+15.5%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+15.0%	0.7%	+14.3%	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	−6.7%	0.7%	−7.4%	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	−53.9%	1.3%	−55.2%	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	−12.9%	0.7%	−13.7%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+7.7%	0.6%	+7.0%	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	−5.7%	0.5%	−6.2%	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	−11.5%	1.0%	−12.6%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−5.5%	0.8%	−6.2%	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	−5.8%	0.9%	−6.7%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−9.9%	0.9%	−10.8%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−6.0%	0.4%	−6.4%	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	+12.0%	0.6%	+11.5%	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	+20.2%	0.9%	+19.4%	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	−12.1%	1.1%	−13.3%	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	+17.6%	0.9%	+16.7%	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	+3.7%	0.9%	+2.8%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−0.9%	2.2%	−3.1%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−14.4%	1.5%	−15.9%	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	−8.4%	0.8%	−9.2%	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	−58.7%	1.6%	−60.2%	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	−32.6%	0.8%	−33.4%	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	+2.5%	1.0%	+1.5%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−10.2%	1.1%	−11.3%	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	+14.6%	1.0%	+13.6%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+2.8%	0.8%	+2.0%	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	+9.1%	0.9%	+8.2%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+4.5%	0.9%	+3.6%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+3.5%	0.6%	+2.8%	1
S	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−22.2%	1.5%	−23.6%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−5.2%	1.0%	−6.2%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−4.1%	1.2%	−5.3%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−14.4%	0.8%	−15.3%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−0.6%	1.2%	−1.8%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−18.8%	1.3%	−20.1%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−8.5%	1.2%	−9.7%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−5.5%	1.4%	−6.9%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−12.8%	0.9%	−13.7%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−4.4%	1.1%	−5.5%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−8.3%	1.5%	−9.8%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−7.4%	0.7%	−8.2%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−13.8%	1.4%	−15.2%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−10.0%	0.6%	−10.7%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−12.6%	0.7%	−13.3%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−20.3%	1.6%	−21.9%	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	−12.9%	0.7%	−13.6%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−10.2%	1.4%	−11.6%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−7.8%	1.0%	−8.8%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−10.8%	1.4%	−12.1%	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	+2.2%	1.2%	+1.0%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	−11.0%	1.0%	−12.0%	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	+1.7%	0.8%	+0.9%	1
L	KOSPI 200 futures	Sep 1, 2026	Oct 2, 2026	+5.5%	1.1%	+4.4%	1
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	+3.5%	2.3%	+1.2%	1

Show all 100 trades