IPO lock-up expiry (3 months)

Why this can work

When lock-ups end, holders who bought before the IPO can sell; the extra supply often weighs on the price around the date.

What can go wrong

Well-known dates get traded early; a strong story or index inclusion can swamp the selling. New listings are thin and hard to borrow.

Rule

Three months after a new listing, when pre-IPO and institutional lock-ups end (의무보유 해제) → short the stock vs the market from 5 trading days before to 5 after.

Backtest

At ₩1억 a trade, Oct 29, 2021 to Oct 28, 2026.

Capacity: ₩20.7억
Avg costs: 1.7%
Avg fill days: 1.0
Turnover a year: 200%

476 signals → 125 trades (64 left out by filters, 0 over the position limit, 1 still open, 0 too big to fill, 0 exited at delisting).

Short-selling bans: 276 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
2021	2	50.0%	+6.3%
2022	7	85.7%	+3.9%
2023	5	40.0%	+8.4%
2025	63	69.8%	+4.0%
2026	48	66.7%	+3.2%

Walk-forward

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

From	Traded	Trades	Avg net
Oct 29, 2023	Yes	2	+36.5%
Apr 28, 2024	Yes	0	—
Oct 27, 2024	Yes	9	+11.8%
Apr 27, 2025	No	44	+4.8%
Oct 26, 2025	Yes	38	−1.0%
Apr 26, 2026	Yes	20	+6.6%
Oct 25, 2026	Yes	0	—

	All	In-sample	Out-of-sample	Walk-forward
Trades	125	23	102	69
Profitable	68.0%	69.6%	67.6%	66.7%
Avg net	+3.9%	+8.2%	+3.0%	+4.0%
Median	+6.2%	+7.4%	+6.0%	+8.4%
Worst trade	−117.4%	−19.8%	−117.4%	−117.4%
Worst drop (% of book)	−4.2%	−1.0%	−4.2%	−209.2%
Sharpe	1.03	1.36	1.24	0.80

Stock	Against	Entry	Exit	Gross	Costs	Net	Fill days
SRemedi	KOSPI 200 futures	Oct 2, 2026	Oct 20, 2026	−3.2%	1.6%	−4.8%	1
SLemon Healthcare	KOSPI 200 futures	Sep 28, 2026	Oct 14, 2026	+18.2%	1.8%	+16.5%	1
SMadup	KOSPI 200 futures	Sep 22, 2026	Oct 12, 2026	−2.5%	1.8%	−4.3%	1
SStradVision	KOSPI 200 futures	Sep 21, 2026	Oct 8, 2026	+5.8%	2.2%	+3.7%	1
SJustek	KOSPI 200 futures	Sep 18, 2026	Oct 7, 2026	+10.8%	1.7%	+9.1%	1
S	KOSPI 200 futures	Sep 3, 2026	Sep 17, 2026	+2.3%	2.9%	−0.6%	1
S	KOSPI 200 futures	Sep 1, 2026	Sep 16, 2026	+1.8%	2.3%	−0.6%	2
S	KOSPI 200 futures	Aug 12, 2026	Aug 27, 2026	+24.2%	1.4%	+22.7%	1
S	KOSPI 200 futures	Aug 7, 2026	Aug 24, 2026	+18.2%	4.3%	+14.0%	1
S	KOSPI 200 futures	Aug 4, 2026	Aug 19, 2026	+16.6%	1.4%	+15.1%	1
S	KOSPI 200 futures	Jul 22, 2026	Aug 5, 2026	+3.0%	4.0%	−1.1%	1
S	KOSPI 200 futures	Jun 25, 2026	Jul 10, 2026	−17.8%	3.0%	−20.8%	2
S	KOSPI 200 futures	Jun 24, 2026	Jul 8, 2026	+15.9%	2.5%	+13.4%	1
S	KOSPI 200 futures	Jun 19, 2026	Jul 3, 2026	+12.0%	2.9%	+9.1%	1
S	KOSPI 200 futures	Jun 18, 2026	Jul 3, 2026	+13.6%	2.8%	+10.8%	2
S	KOSPI 200 futures	Jun 15, 2026	Jun 29, 2026	+16.4%	3.0%	+13.5%	1
S	KOSPI 200 futures	Jun 9, 2026	Jun 23, 2026	+18.5%	2.6%	+15.9%	1
S	KOSPI 200 futures	Jun 1, 2026	Jun 16, 2026	+20.6%	2.0%	+18.5%	1
S	KOSPI 200 futures	May 29, 2026	Jun 16, 2026	+17.5%	2.3%	+15.3%	2
S	KOSPI 200 futures	May 28, 2026	Jun 12, 2026	−12.5%	0.8%	−13.4%	1
S	KOSPI 200 futures	Apr 23, 2026	May 11, 2026	+13.2%	1.5%	+11.7%	1
S	KOSPI 200 futures	Apr 7, 2026	Apr 21, 2026	−3.4%	2.0%	−5.4%	1
S	KOSPI 200 futures	Mar 23, 2026	Apr 6, 2026	+1.7%	1.6%	0.0%	1
S	KOSPI 200 futures	Mar 23, 2026	Apr 6, 2026	+21.3%	1.6%	+19.7%	1
S	KOSPI 200 futures	Mar 17, 2026	Mar 31, 2026	+9.5%	1.1%	+8.4%	1
S	KOSPI 200 futures	Mar 16, 2026	Mar 30, 2026	+6.2%	1.8%	+4.4%	1
S	KOSPI 200 futures	Mar 11, 2026	Mar 25, 2026	−28.5%	1.3%	−29.8%	1
S	KOSPI 200 futures	Mar 10, 2026	Mar 24, 2026	−7.9%	1.2%	−9.0%	1
S	KOSPI 200 futures	Mar 9, 2026	Mar 23, 2026	−7.3%	1.9%	−9.1%	1
S	KOSPI 200 futures	Mar 9, 2026	Mar 23, 2026	−115.1%	2.3%	−117.4%	1
S	KOSPI 200 futures	Mar 5, 2026	Mar 19, 2026	+7.5%	1.6%	+5.8%	1
S	KOSPI 200 futures	Mar 4, 2026	Mar 18, 2026	+4.7%	2.0%	+2.7%	1
S	KOSPI 200 futures	Mar 3, 2026	Mar 17, 2026	+3.8%	1.4%	+2.3%	1
S	KOSPI 200 futures	Feb 27, 2026	Mar 16, 2026	−22.5%	1.1%	−23.6%	1
S	KOSPI 200 futures	Feb 24, 2026	Mar 11, 2026	−30.0%	1.0%	−31.0%	1
S	KOSPI 200 futures	Feb 20, 2026	Mar 9, 2026	+22.6%	1.7%	+20.9%	1
S	KOSPI 200 futures	Feb 12, 2026	Mar 4, 2026	+4.4%	0.7%	+3.7%	1
S	KOSPI 200 futures	Feb 12, 2026	Mar 4, 2026	+23.2%	2.0%	+21.1%	1
S	KOSPI 200 futures	Feb 11, 2026	Mar 3, 2026	+20.6%	1.5%	+19.1%	1
S	KOSPI 200 futures	Feb 10, 2026	Feb 27, 2026	−3.0%	1.2%	−4.2%	1
S	KOSPI 200 futures	Feb 9, 2026	Feb 26, 2026	+27.9%	1.5%	+26.4%	1
S	KOSPI 200 futures	Feb 9, 2026	Feb 26, 2026	+17.1%	1.1%	+16.0%	1
S	KOSPI 200 futures	Feb 9, 2026	Feb 26, 2026	+33.3%	2.0%	+31.3%	1
S	KOSPI 200 futures	Feb 9, 2026	Feb 26, 2026	+30.2%	2.3%	+27.9%	1
S	KOSPI 200 futures	Feb 6, 2026	Feb 25, 2026	−27.1%	1.7%	−28.7%	1
S	KOSPI 200 futures	Feb 2, 2026	Feb 19, 2026	+14.3%	1.9%	+12.4%	1
S	KOSPI 200 futures	Jan 27, 2026	Feb 10, 2026	+21.4%	0.8%	+20.5%	1
S	KOSPI 200 futures	Jan 20, 2026	Feb 3, 2026	+29.1%	1.5%	+27.6%	1
S	KOSPI 200 futures	Dec 23, 2025	Jan 9, 2026	+29.4%	1.2%	+28.2%	1
S	KOSPI 200 futures	Dec 12, 2025	Dec 29, 2025	−1.1%	1.2%	−2.2%	1
S	KOSPI 200 futures	Nov 18, 2025	Dec 2, 2025	−62.6%	2.2%	−64.8%	1
S	KOSPI 200 futures	Nov 14, 2025	Nov 28, 2025	+0.2%	1.7%	−1.6%	1
S	KOSPI 200 futures	Nov 13, 2025	Nov 27, 2025	−30.5%	0.7%	−31.2%	1
S	KOSPI 200 futures	Nov 12, 2025	Nov 26, 2025	+6.6%	1.1%	+5.5%	1
S	KOSPI 200 futures	Nov 11, 2025	Nov 25, 2025	+12.6%	1.0%	+11.5%	1
S	KOSPI 200 futures	Nov 7, 2025	Nov 21, 2025	−35.4%	0.8%	−36.3%	1
S	KOSPI 200 futures	Oct 31, 2025	Nov 14, 2025	+5.7%	2.3%	+3.4%	1
S	KOSPI 200 futures	Oct 27, 2025	Nov 10, 2025	+27.1%	0.6%	+26.5%	1
S	KOSPI 200 futures	Oct 22, 2025	Nov 5, 2025	−32.5%	1.4%	−33.9%	1
S	KOSPI 200 futures	Oct 21, 2025	Nov 4, 2025	+9.6%	1.9%	+7.7%	1
S	KOSPI 200 futures	Oct 20, 2025	Nov 3, 2025	+10.4%	1.3%	+9.1%	1
S	KOSPI 200 futures	Oct 16, 2025	Oct 30, 2025	+11.8%	1.8%	+10.1%	1
S	KOSPI 200 futures	Oct 1, 2025	Oct 22, 2025	+13.6%	2.0%	+11.6%	1
S	KOSPI 200 futures	Sep 26, 2025	Oct 17, 2025	+8.3%	2.1%	+6.2%	1
S	KOSPI 200 futures	Sep 26, 2025	Oct 17, 2025	+22.2%	1.3%	+20.8%	1
S	KOSPI 200 futures	Sep 26, 2025	Oct 17, 2025	+19.4%	1.4%	+18.0%	1
S	KOSPI 200 futures	Sep 23, 2025	Oct 14, 2025	+5.2%	2.1%	+3.2%	1
S	KOSPI 200 futures	Sep 10, 2025	Sep 24, 2025	+11.7%	1.8%	+9.9%	1
S	KOSPI 200 futures	Sep 4, 2025	Sep 19, 2025	+9.2%	2.0%	+7.2%	2
S	KOSPI 200 futures	Sep 3, 2025	Sep 17, 2025	+11.1%	2.5%	+8.7%	1
S	KOSPI 200 futures	Aug 18, 2025	Sep 1, 2025	−17.4%	2.0%	−19.4%	1
S	KOSPI 200 futures	Aug 14, 2025	Aug 29, 2025	−6.5%	0.8%	−7.4%	1
S	KOSPI 200 futures	Aug 12, 2025	Aug 27, 2025	+9.6%	1.6%	+8.0%	1
S	KOSPI 200 futures	Aug 11, 2025	Aug 26, 2025	−3.2%	1.2%	−4.4%	1
S	KOSPI 200 futures	Aug 8, 2025	Aug 25, 2025	+11.4%	2.5%	+8.9%	1
S	KOSPI 200 futures	Aug 8, 2025	Aug 25, 2025	+17.6%	2.2%	+15.4%	1
S	KOSPI 200 futures	Aug 5, 2025	Aug 20, 2025	+3.1%	1.2%	+1.9%	1
S	KOSPI 200 futures	Aug 4, 2025	Aug 19, 2025	−1.7%	1.5%	−3.2%	1
S	KOSPI 200 futures	Aug 4, 2025	Aug 19, 2025	+18.5%	2.0%	+16.6%	1
S	KOSPI 200 futures	Aug 1, 2025	Aug 18, 2025	+17.5%	1.6%	+16.0%	1
S	KOSPI 200 futures	Jul 22, 2025	Aug 5, 2025	+4.1%	2.4%	+1.7%	1
S	KOSPI 200 futures	Jul 21, 2025	Aug 4, 2025	+7.7%	2.0%	+5.7%	1
S	KOSPI 200 futures	Jun 27, 2025	Jul 11, 2025	+13.1%	1.6%	+11.4%	1
S	KOSPI 200 futures	Jun 26, 2025	Jul 10, 2025	+11.2%	2.4%	+8.8%	1
S	KOSPI 200 futures	Jun 23, 2025	Jul 7, 2025	+22.9%	2.7%	+20.2%	1
S	KOSPI 200 futures	Jun 17, 2025	Jul 1, 2025	−0.9%	1.3%	−2.2%	1
S	KOSPI 200 futures	Jun 16, 2025	Jun 30, 2025	−11.3%	2.3%	−13.5%	1
S	KOSPI 200 futures	Jun 13, 2025	Jun 27, 2025	+14.1%	1.1%	+13.1%	1
S	KOSPI 200 futures	Jun 13, 2025	Jun 27, 2025	+7.3%	1.6%	+5.6%	1
S	KOSPI 200 futures	Jun 10, 2025	Jun 24, 2025	−12.3%	1.9%	−14.2%	1
S	KOSPI 200 futures	Jun 9, 2025	Jun 23, 2025	−2.7%	1.1%	−3.8%	1
S	KOSPI 200 futures	May 29, 2025	Jun 16, 2025	+4.0%	1.2%	+2.8%	1
S	KOSPI 200 futures	May 29, 2025	Jun 16, 2025	+0.3%	1.9%	−1.7%	1
S	KOSPI 200 futures	May 29, 2025	Jun 16, 2025	+19.3%	1.5%	+17.8%	1
S	KOSPI 200 futures	May 21, 2025	Jun 5, 2025	+24.5%	1.9%	+22.6%	1
S	KOSPI 200 futures	May 19, 2025	Jun 2, 2025	+2.5%	2.1%	+0.4%	1
S	KOSPI 200 futures	May 19, 2025	Jun 2, 2025	+16.2%	1.5%	+14.7%	1
S	KOSPI 200 futures	May 13, 2025	May 27, 2025	+19.3%	1.3%	+17.9%	1
S	KOSPI 200 futures	May 12, 2025	May 26, 2025	+3.9%	1.6%	+2.3%	1
S	KOSPI 200 futures	May 7, 2025	May 21, 2025	−8.2%	1.5%	−9.7%	1

Show all 100 trades