Holding company vs subsidiary

Why this can work

Korean holding companies often trade at a deep discount to the listed companies they own. When the holding company gets unusually cheap against a subsidiary it owns 20%+ of, the gap has tended to narrow.

What can go wrong

Holding-company discounts can widen for good reasons (tax, governance, a new listing of another subsidiary); the subsidiary's stake can change.

Rule

Holding/subsidiary price ratio 2+ standard deviations below its 1-year average → long holding company, short subsidiary; exit near the average or after 60 days.

Backtest

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

Capacity: No edge after costs
Avg costs: 3.1%
Avg fill days: 1.2
Turnover a year: 402%

1628 signals → 251 trades (765 left out by filters, 189 over the position limit, 1 still open, 0 too big to fill, 0 exited at delisting).

Short-selling bans: 422 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	17	52.9%	−2.2%
2023	75	56.0%	−8.9%
2025	80	66.3%	−2.0%
2026	79	54.4%	−3.4%

Walk-forward

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

From	Traded	Trades	Avg net
Nov 1, 2023	No	1	−32.7%
May 1, 2024	No	0	—
Oct 30, 2024	No	10	+8.1%
Apr 30, 2025	No	52	−3.0%
Oct 29, 2025	Yes	52	−10.5%
Apr 29, 2026	No	45	+4.2%
Oct 28, 2026	No	0	—

	All	In-sample	Out-of-sample	Walk-forward
Trades	251	102	149	52
Profitable	58.6%	57.8%	59.1%	53.8%
Avg net	−4.5%	−6.1%	−3.4%	−10.5%
Median	+4.3%	+3.1%	+4.6%	+3.5%
Worst trade	−168.5%	−168.1%	−168.5%	−142.0%
Worst drop (% of book)	−27.8%	−18.3%	−17.2%	−874.2%
Sharpe	-1.07	-1.09	-1.03	-2.12

Stock	Against	Entry	Exit	Gross	Costs	Net	Fill days
LHansol Chemical	Tapex	Oct 20, 2026	Oct 29, 2026	−7.6%	3.2%	−10.8%	1
LHanwha	Hanwha Galleria	Oct 15, 2026	Oct 29, 2026	+3.9%	2.4%	+1.5%	1
LHD Hyundai	HD Hyundai Marine Solution	Oct 14, 2026	Oct 29, 2026	+9.2%	1.5%	+7.7%	1
LLotte Chemical	Lotte Energy Materials	Oct 6, 2026	Oct 29, 2026	−3.2%	2.8%	−6.0%	1
LKakao	Kakao Games	Oct 2, 2026	Oct 29, 2026	−24.5%	2.5%	−27.0%	1
LSoulbrain Holdings		Oct 1, 2026	Oct 15, 2026	+15.9%	2.6%	+13.3%	1
L		Sep 22, 2026	Oct 29, 2026	+9.8%	2.9%	+6.9%	1
L		Sep 18, 2026	Oct 29, 2026	−10.9%	1.4%	−12.3%	1
L		Sep 16, 2026	Oct 15, 2026	+14.6%	2.0%	+12.6%	1
L		Sep 14, 2026	Oct 26, 2026	+22.8%	1.6%	+21.2%	1
L		Sep 10, 2026	Oct 29, 2026	+14.6%	2.6%	+12.1%	1
L		Sep 9, 2026	Oct 29, 2026	−15.2%	2.0%	−17.2%	1
L		Sep 9, 2026	Oct 29, 2026	+9.8%	1.3%	+8.5%	1
L		Sep 8, 2026	Oct 29, 2026	+7.1%	3.5%	+3.6%	1
L		Sep 1, 2026	Oct 29, 2026	−8.9%	5.7%	−14.6%	1
L		Aug 26, 2026	Oct 28, 2026	+20.0%	7.1%	+12.9%	1
L		Aug 24, 2026	Oct 29, 2026	−7.5%	5.4%	−12.9%	1
L		Aug 10, 2026	Aug 26, 2026	+24.1%	1.4%	+22.7%	1
L		Aug 10, 2026	Aug 26, 2026	+25.4%	1.6%	+23.8%	1
L		Aug 7, 2026	Aug 25, 2026	+7.2%	4.5%	+2.7%	1
L		Aug 6, 2026	Oct 29, 2026	−8.3%	8.7%	−17.0%	1
L		Aug 3, 2026	Oct 29, 2026	+4.9%	5.9%	−1.0%	1
L		Jul 30, 2026	Aug 21, 2026	+22.5%	1.9%	+20.7%	1
L		Jul 27, 2026	Oct 26, 2026	−15.3%	3.2%	−18.5%	1
L		Jul 21, 2026	Sep 11, 2026	+41.8%	5.9%	+36.0%	1
L		Jul 21, 2026	Aug 31, 2026	+9.6%	4.3%	+5.3%	1
L		Jul 13, 2026	Oct 13, 2026	−17.9%	2.0%	−19.8%	1
L		Jul 13, 2026	Jul 21, 2026	+12.3%	6.9%	+5.4%	1
L		Jul 13, 2026	Oct 13, 2026	−12.7%	1.1%	−13.8%	1
L		Jul 13, 2026	Sep 10, 2026	+7.9%	3.2%	+4.7%	1
L		Jul 1, 2026	Sep 16, 2026	+2.3%	7.0%	−4.6%	2
L		Jun 26, 2026	Sep 16, 2026	+56.4%	2.4%	+53.9%	1
L		Jun 26, 2026	Sep 22, 2026	−15.0%	3.3%	−18.3%	1
L		Jun 26, 2026	Jul 31, 2026	+36.0%	2.2%	+33.8%	1
L		Jun 23, 2026	Sep 15, 2026	+22.8%	1.2%	+21.6%	1
L		Jun 16, 2026	Sep 10, 2026	−18.2%	4.1%	−22.3%	1
L		Jun 16, 2026	Sep 10, 2026	−2.0%	4.7%	−6.7%	1
L		Jun 10, 2026	Sep 4, 2026	+4.8%	1.6%	+3.3%	1
L		Jun 1, 2026	Aug 27, 2026	+18.8%	2.9%	+15.9%	1
L		May 28, 2026	Jun 26, 2026	+14.0%	4.2%	+9.9%	1
L		May 27, 2026	Jul 9, 2026	+35.1%	3.5%	+31.7%	2
L		May 21, 2026	Jul 31, 2026	+22.5%	3.3%	+19.2%	1
L		May 19, 2026	Aug 5, 2026	+7.2%	2.9%	+4.3%	1
L		May 12, 2026	Aug 7, 2026	−4.3%	3.3%	−7.6%	1
L		May 11, 2026	Jul 2, 2026	+5.4%	2.6%	+2.8%	1
L		Apr 23, 2026	Jul 23, 2026	+18.5%	7.3%	+11.2%	1
L		Apr 20, 2026	Jul 20, 2026	−37.7%	5.9%	−43.7%	2
L		Apr 17, 2026	May 18, 2026	+16.7%	4.8%	+11.9%	1
L		Apr 17, 2026	May 22, 2026	+25.2%	3.1%	+22.1%	1
L		Apr 9, 2026	Jul 8, 2026	+1.5%	2.7%	−1.2%	1
L		Apr 8, 2026	Jul 7, 2026	−5.4%	7.3%	−12.7%	1
L		Apr 7, 2026	Jul 6, 2026	−6.8%	3.3%	−10.2%	2
L		Apr 7, 2026	Jul 2, 2026	+15.1%	2.4%	+12.7%	1
L		Mar 27, 2026	Jun 25, 2026	−25.4%	2.9%	−28.3%	1
L		Mar 27, 2026	Apr 1, 2026	+14.3%	3.4%	+10.9%	2
L		Mar 26, 2026	Jun 24, 2026	−57.8%	4.5%	−62.3%	1
L		Mar 26, 2026	Jun 24, 2026	−2.1%	5.3%	−7.4%	1
L		Mar 24, 2026	May 27, 2026	+21.8%	5.1%	+16.7%	1
L		Mar 24, 2026	Jun 22, 2026	−26.4%	3.9%	−30.4%	2
L		Mar 17, 2026	Jun 15, 2026	−91.1%	8.2%	−99.3%	2
L		Mar 17, 2026	Jun 15, 2026	−40.5%	4.3%	−44.8%	2
L		Mar 6, 2026	Jun 4, 2026	+21.3%	4.5%	+16.8%	1
L		Mar 3, 2026	May 29, 2026	−55.9%	5.1%	−61.0%	2
L		Feb 23, 2026	Feb 26, 2026	+47.1%	5.7%	+41.4%	1
L		Feb 20, 2026	May 20, 2026	−7.1%	3.4%	−10.5%	1
L		Feb 6, 2026	May 11, 2026	−56.9%	3.6%	−60.4%	1
L		Feb 6, 2026	Mar 16, 2026	+23.3%	3.1%	+20.2%	1
L		Feb 5, 2026	Feb 20, 2026	+16.7%	2.7%	+13.9%	1
L		Feb 5, 2026	May 8, 2026	−139.2%	2.9%	−142.0%	1
L		Jan 29, 2026	Feb 19, 2026	+35.8%	5.7%	+30.1%	1
L		Jan 22, 2026	Apr 22, 2026	−17.7%	2.3%	−20.0%	1
L		Jan 19, 2026	Apr 17, 2026	−12.6%	2.2%	−14.9%	1
L		Jan 16, 2026	Mar 5, 2026	+26.3%	1.6%	+24.7%	1
L		Jan 16, 2026	Apr 16, 2026	−25.0%	1.3%	−26.3%	1
L		Jan 16, 2026	Apr 16, 2026	−33.8%	2.6%	−36.4%	1
L		Jan 9, 2026	Mar 18, 2026	+26.0%	4.2%	+21.7%	1
L		Jan 6, 2026	Apr 6, 2026	−20.1%	2.1%	−22.2%	2
L		Jan 5, 2026	Apr 3, 2026	+12.8%	2.2%	+10.6%	1
L		Jan 5, 2026	Mar 24, 2026	+16.2%	1.6%	+14.6%	2
L		Dec 24, 2025	Jan 14, 2026	+10.0%	1.4%	+8.6%	1
L		Dec 23, 2025	Mar 26, 2026	−43.8%	1.5%	−45.2%	1
L		Dec 22, 2025	Jan 14, 2026	+64.3%	2.2%	+62.1%	1
L		Dec 22, 2025	Mar 25, 2026	−80.1%	9.3%	−89.4%	2
L		Dec 18, 2025	Feb 5, 2026	+23.1%	1.3%	+21.7%	1
L		Dec 18, 2025	Mar 23, 2026	−120.1%	1.9%	−122.0%	1
L		Dec 18, 2025	Jan 8, 2026	+2.5%	1.6%	+0.8%	1
L		Dec 12, 2025	Feb 4, 2026	+7.7%	3.2%	+4.5%	1
L		Dec 12, 2025	Mar 17, 2026	+8.5%	6.1%	+2.4%	1
L		Dec 11, 2025	Mar 16, 2026	+46.7%	2.7%	+44.0%	1
L		Dec 11, 2025	Mar 16, 2026	−56.1%	3.6%	−59.7%	1
L		Dec 9, 2025	Dec 18, 2025	+7.0%	2.3%	+4.7%	2
L		Dec 2, 2025	Jan 21, 2026	+20.6%	3.9%	+16.7%	1
L		Dec 1, 2025	Jan 27, 2026	+42.8%	2.6%	+40.2%	1
L		Nov 19, 2025	Dec 8, 2025	+17.3%	3.2%	+14.1%	1
L		Nov 10, 2025	Feb 5, 2026	−20.0%	5.4%	−25.4%	1
L		Nov 7, 2025	Feb 4, 2026	+21.0%	4.7%	+16.3%	1
L		Oct 31, 2025	Nov 18, 2025	+18.3%	2.4%	+16.0%	1
L		Oct 28, 2025	Jan 5, 2026	+17.4%	1.6%	+15.8%	1
L		Oct 27, 2025	Jan 14, 2026	+31.5%	1.5%	+30.0%	1
L		Oct 20, 2025	Jan 15, 2026	−0.1%	6.1%	−6.3%	1

Show all 100 trades