Heavy foreign buying

Why this can work

Foreign investors move Korean prices. Stocks they buy heavily over a week have sometimes kept outperforming for a few weeks.

What can go wrong

Foreign flows reverse quickly around index changes and currency moves; much of the move can happen before the data is public.

Rule

Foreigners net bought 0.3%+ of the company in 5 trading days (300 largest companies) → long the stock, short the market for 20 trading days.

Backtest

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

Capacity: No edge after costs
Avg costs: 1.2%
Avg fill days: 1.1
Turnover a year: 1089%

50000 signals → 680 trades (11350 left out by filters, 37899 over the position limit, 20 still open, 0 too big to fill, 0 exited at delisting).

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
2023	54	29.6%	−4.7%
2024	226	43.4%	+0.9%
2025	234	27.8%	−6.2%
2026	166	31.3%	−9.9%

Walk-forward

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

From	Traded	Trades	Avg net
Nov 1, 2023	No	100	−3.5%
May 1, 2024	No	120	+4.1%
Oct 30, 2024	Yes	120	+0.1%
Apr 30, 2025	Yes	106	−12.3%
Oct 29, 2025	No	114	−7.9%
Apr 29, 2026	No	100	−9.8%
Oct 28, 2026	No	0	—

	All	In-sample	Out-of-sample	Walk-forward
Trades	680	360	320	226
Profitable	34.0%	40.8%	26.3%	28.8%
Avg net	−4.6%	+0.1%	−9.9%	−5.7%
Median	−5.7%	−3.0%	−9.8%	−8.4%
Worst trade	−76.0%	−43.4%	−76.0%	−43.4%
Worst drop (% of book)	−69.9%	−10.6%	−67.3%	−1,468.4%
Sharpe	-3.43	0.09	-7.04	-4.44

Stock	Against	Entry	Exit	Gross	Costs	Net	Fill days
LAcryl	KOSPI 200 futures	Sep 11, 2026	Oct 15, 2026	+8.6%	3.0%	+5.7%	1
LNBR Motion	KOSPI 200 futures	Sep 11, 2026	Oct 15, 2026	+1.6%	2.9%	−1.3%	1
LNBR Motion	KOSPI 200 futures	Sep 10, 2026	Oct 14, 2026	+4.1%	2.9%	+1.2%	1
LHanwha General Insurance	KOSPI 200 futures	Sep 10, 2026	Oct 14, 2026	−4.7%	1.3%	−6.0%	1
LShinsegae	KOSPI 200 futures	Sep 9, 2026	Oct 13, 2026	−9.9%	0.8%	−10.7%	1
L	KOSPI 200 futures	Sep 9, 2026	Oct 13, 2026	+16.4%	0.6%	+15.8%	1
L	KOSPI 200 futures	Sep 9, 2026	Oct 13, 2026	+7.9%	0.6%	+7.4%	1
L	KOSPI 200 futures	Sep 9, 2026	Oct 13, 2026	+5.2%	1.8%	+3.4%	1
L	KOSPI 200 futures	Sep 9, 2026	Oct 13, 2026	−2.5%	1.3%	−3.8%	1
L	KOSPI 200 futures	Sep 8, 2026	Oct 12, 2026	−5.3%	0.7%	−6.0%	1
L	KOSPI 200 futures	Sep 8, 2026	Oct 12, 2026	−8.6%	1.3%	−9.9%	1
L	KOSPI 200 futures	Sep 8, 2026	Oct 12, 2026	−14.2%	1.5%	−15.7%	1
L	KOSPI 200 futures	Sep 8, 2026	Oct 12, 2026	+10.9%	0.6%	+10.3%	1
L	KOSPI 200 futures	Sep 8, 2026	Oct 12, 2026	−0.1%	0.6%	−0.7%	1
L	KOSPI 200 futures	Sep 7, 2026	Oct 8, 2026	+6.6%	0.6%	+6.1%	1
L	KOSPI 200 futures	Sep 7, 2026	Oct 8, 2026	−6.0%	0.6%	−6.6%	1
L	KOSPI 200 futures	Sep 7, 2026	Oct 8, 2026	−9.8%	2.3%	−12.1%	1
L	KOSPI 200 futures	Sep 7, 2026	Oct 8, 2026	+44.6%	0.9%	+43.8%	1
L	KOSPI 200 futures	Sep 4, 2026	Oct 7, 2026	+51.0%	0.9%	+50.1%	1
L	KOSPI 200 futures	Sep 3, 2026	Oct 6, 2026	+51.9%	0.9%	+51.1%	1
L	KOSPI 200 futures	Aug 12, 2026	Sep 10, 2026	−8.5%	4.4%	−12.9%	1
L	KOSPI 200 futures	Aug 12, 2026	Sep 10, 2026	−10.7%	1.9%	−12.6%	1
L	KOSPI 200 futures	Aug 11, 2026	Sep 9, 2026	−15.1%	2.9%	−18.0%	1
L	KOSPI 200 futures	Aug 11, 2026	Sep 9, 2026	−15.0%	1.9%	−16.9%	1
L	KOSPI 200 futures	Aug 10, 2026	Sep 8, 2026	−21.0%	2.6%	−23.6%	1
L	KOSPI 200 futures	Aug 10, 2026	Sep 8, 2026	−12.2%	2.8%	−15.1%	1
L	KOSPI 200 futures	Aug 10, 2026	Sep 8, 2026	−12.1%	1.9%	−14.0%	1
L	KOSPI 200 futures	Aug 7, 2026	Sep 8, 2026	−0.6%	4.8%	−5.5%	2
L	KOSPI 200 futures	Aug 7, 2026	Sep 7, 2026	−22.4%	0.8%	−23.2%	1
L	KOSPI 200 futures	Aug 7, 2026	Sep 7, 2026	−15.0%	5.3%	−20.3%	1
L	KOSPI 200 futures	Aug 7, 2026	Sep 7, 2026	−12.2%	2.6%	−14.7%	1
L	KOSPI 200 futures	Aug 7, 2026	Sep 8, 2026	−6.5%	2.3%	−8.8%	2
L	KOSPI 200 futures	Aug 6, 2026	Sep 4, 2026	−12.2%	5.4%	−17.6%	1
L	KOSPI 200 futures	Aug 6, 2026	Sep 7, 2026	+8.0%	2.5%	+5.5%	2
L	KOSPI 200 futures	Aug 6, 2026	Sep 4, 2026	−7.1%	2.4%	−9.6%	1
L	KOSPI 200 futures	Aug 6, 2026	Sep 7, 2026	−5.7%	2.3%	−8.0%	2
L	KOSPI 200 futures	Aug 6, 2026	Sep 4, 2026	+37.5%	2.1%	+35.4%	1
L	KOSPI 200 futures	Aug 5, 2026	Sep 4, 2026	+0.2%	2.3%	−2.1%	2
L	KOSPI 200 futures	Aug 4, 2026	Sep 3, 2026	+5.9%	2.3%	+3.6%	2
L	KOSPI 200 futures	Aug 4, 2026	Sep 2, 2026	−0.7%	1.0%	−1.7%	1
L	KOSPI 200 futures	Jul 13, 2026	Aug 11, 2026	+19.1%	1.8%	+17.3%	1
L	KOSPI 200 futures	Jul 10, 2026	Aug 10, 2026	+28.2%	2.1%	+26.1%	1
L	KOSPI 200 futures	Jul 10, 2026	Aug 11, 2026	+14.8%	1.6%	+13.2%	2
L	KOSPI 200 futures	Jul 9, 2026	Aug 7, 2026	−9.5%	0.7%	−10.1%	1
L	KOSPI 200 futures	Jul 9, 2026	Aug 7, 2026	+26.5%	0.8%	+25.6%	1
L	KOSPI 200 futures	Jul 9, 2026	Aug 7, 2026	+4.7%	3.2%	+1.5%	1
L	KOSPI 200 futures	Jul 9, 2026	Aug 10, 2026	+20.3%	1.6%	+18.7%	2
L	KOSPI 200 futures	Jul 8, 2026	Aug 6, 2026	+15.6%	1.0%	+14.6%	1
L	KOSPI 200 futures	Jul 8, 2026	Aug 6, 2026	−6.3%	0.7%	−7.0%	1
L	KOSPI 200 futures	Jul 8, 2026	Aug 6, 2026	+5.8%	3.1%	+2.7%	1
L	KOSPI 200 futures	Jul 8, 2026	Aug 6, 2026	+12.5%	2.1%	+10.5%	1
L	KOSPI 200 futures	Jul 7, 2026	Aug 6, 2026	+23.6%	1.4%	+22.2%	2
L	KOSPI 200 futures	Jul 7, 2026	Aug 5, 2026	+5.1%	1.0%	+4.1%	1
L	KOSPI 200 futures	Jul 7, 2026	Aug 5, 2026	+13.4%	1.0%	+12.5%	1
L	KOSPI 200 futures	Jul 7, 2026	Aug 5, 2026	−2.7%	0.7%	−3.4%	1
L	KOSPI 200 futures	Jul 6, 2026	Aug 5, 2026	+13.1%	4.5%	+8.6%	2
L	KOSPI 200 futures	Jul 6, 2026	Aug 4, 2026	+13.5%	2.2%	+11.3%	1
L	KOSPI 200 futures	Jul 6, 2026	Aug 5, 2026	+16.9%	1.7%	+15.1%	2
L	KOSPI 200 futures	Jul 3, 2026	Aug 3, 2026	+18.0%	2.2%	+15.8%	1
L	KOSPI 200 futures	Jul 3, 2026	Aug 3, 2026	+14.4%	3.3%	+11.1%	1
L	KOSPI 200 futures	Jun 12, 2026	Jul 10, 2026	−19.6%	0.8%	−20.4%	1
L	KOSPI 200 futures	Jun 11, 2026	Jul 9, 2026	−18.3%	0.8%	−19.1%	1
L	KOSPI 200 futures	Jun 11, 2026	Jul 9, 2026	−17.3%	0.6%	−18.0%	1
L	KOSPI 200 futures	Jun 10, 2026	Jul 8, 2026	−19.6%	0.8%	−20.3%	1
L	KOSPI 200 futures	Jun 10, 2026	Jul 8, 2026	−10.4%	1.4%	−11.8%	1
L	KOSPI 200 futures	Jun 10, 2026	Jul 8, 2026	−13.6%	0.6%	−14.3%	1
L	KOSPI 200 futures	Jun 10, 2026	Jul 8, 2026	+0.7%	1.1%	−0.5%	1
L	KOSPI 200 futures	Jun 9, 2026	Jul 7, 2026	+1.3%	1.3%	−0.1%	1
L	KOSPI 200 futures	Jun 9, 2026	Jul 7, 2026	−9.5%	1.2%	−10.7%	1
L	KOSPI 200 futures	Jun 9, 2026	Jul 7, 2026	−10.9%	0.6%	−11.5%	1
L	KOSPI 200 futures	Jun 9, 2026	Jul 7, 2026	+0.8%	1.1%	−0.4%	1
L	KOSPI 200 futures	Jun 8, 2026	Jul 6, 2026	−8.6%	1.2%	−9.8%	1
L	KOSPI 200 futures	Jun 8, 2026	Jul 6, 2026	−11.8%	1.3%	−13.0%	1
L	KOSPI 200 futures	Jun 8, 2026	Jul 6, 2026	−20.7%	1.1%	−21.8%	1
L	KOSPI 200 futures	Jun 8, 2026	Jul 6, 2026	−19.8%	0.6%	−20.4%	1
L	KOSPI 200 futures	Jun 5, 2026	Jul 3, 2026	−8.4%	1.3%	−9.7%	1
L	KOSPI 200 futures	Jun 5, 2026	Jul 3, 2026	−19.1%	1.0%	−20.1%	1
L	KOSPI 200 futures	Jun 5, 2026	Jul 3, 2026	−17.8%	0.6%	−18.4%	1
L	KOSPI 200 futures	Jun 4, 2026	Jul 2, 2026	−9.0%	1.1%	−10.1%	1
L	KOSPI 200 futures	Jun 4, 2026	Jul 2, 2026	−7.4%	0.6%	−8.0%	1
L	KOSPI 200 futures	May 12, 2026	Jun 11, 2026	−23.1%	1.1%	−24.2%	1
L	KOSPI 200 futures	May 11, 2026	Jun 10, 2026	−16.7%	0.6%	−17.3%	1
L	KOSPI 200 futures	May 11, 2026	Jun 10, 2026	−24.7%	0.4%	−25.1%	1
L	KOSPI 200 futures	May 8, 2026	Jun 9, 2026	−50.0%	1.1%	−51.2%	1
L	KOSPI 200 futures	May 8, 2026	Jun 9, 2026	−52.2%	1.5%	−53.7%	1
L	KOSPI 200 futures	May 8, 2026	Jun 9, 2026	−29.8%	0.6%	−30.4%	1
L	KOSPI 200 futures	May 8, 2026	Jun 9, 2026	−54.9%	1.1%	−56.0%	1
L	KOSPI 200 futures	May 7, 2026	Jun 8, 2026	−33.6%	1.1%	−34.7%	1
L	KOSPI 200 futures	May 7, 2026	Jun 8, 2026	−47.2%	1.5%	−48.7%	1
L	KOSPI 200 futures	May 7, 2026	Jun 8, 2026	−22.9%	0.6%	−23.5%	1
L	KOSPI 200 futures	May 7, 2026	Jun 8, 2026	−47.4%	1.0%	−48.5%	1
L	KOSPI 200 futures	May 6, 2026	Jun 5, 2026	−40.5%	1.1%	−41.6%	1
L	KOSPI 200 futures	May 6, 2026	Jun 5, 2026	−52.2%	1.5%	−53.7%	1
L	KOSPI 200 futures	May 6, 2026	Jun 5, 2026	−28.3%	0.6%	−28.9%	1
L	KOSPI 200 futures	May 6, 2026	Jun 5, 2026	−38.9%	1.2%	−40.1%	1
L	KOSPI 200 futures	May 4, 2026	Jun 4, 2026	−52.8%	1.2%	−54.0%	1
L	KOSPI 200 futures	May 4, 2026	Jun 4, 2026	−40.4%	0.6%	−41.0%	1
L	KOSPI 200 futures	May 4, 2026	Jun 4, 2026	−53.9%	1.2%	−55.0%	1
L	KOSPI 200 futures	Apr 30, 2026	Jun 2, 2026	−69.9%	0.7%	−70.6%	1
L	KOSPI 200 futures	Apr 30, 2026	Jun 2, 2026	−72.3%	1.1%	−73.4%	1

Show all 100 trades