Tender offers

Why this can work

Buyers usually pay a premium; the price tends to move toward the offer price while it's open.

What can go wrong

The offer can be withdrawn or under-subscribed; the price after it ends can fall back. We don't read the offer price yet, so this tests the announcement drift.

Rule

A tender offer (공개매수) is filed → long the target vs the market for 20 trading days from the next day.

Backtest

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

Capacity: No edge after costs
Avg costs: 1.7%
Avg fill days: 1.1
Turnover a year: 111%

102 signals → 69 trades (30 left out by filters, 0 over the position limit, 3 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
2021	1	100.0%	+2.8%
2022	4	75.0%	+3.4%
2023	14	28.6%	−8.7%
2024	22	40.9%	+0.3%
2025	15	13.3%	−13.2%
2026	13	23.1%	−21.1%

Walk-forward

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

From	Traded	Trades	Avg net
Nov 1, 2023	No	6	−4.5%
May 1, 2024	No	13	+2.8%
Oct 30, 2024	No	6	−10.3%
Apr 30, 2025	No	9	−15.5%
Oct 29, 2025	No	13	−13.9%
Apr 29, 2026	No	4	−31.0%
Oct 28, 2026	No	0	—

Past trades (69)

Stock	Against	Entry	Exit	Gross	Costs	Net	Fill days
L	KOSPI 200 futures	Aug 19, 2026	Sep 16, 2026	−13.3%	2.7%	−16.0%	1	Filing ↗
L	KOSPI 200 futures	Aug 11, 2026	Sep 9, 2026	+5.7%	0.7%	+5.0%	1	Filing ↗
L	KOSPI 200 futures	May 21, 2026	Jun 22, 2026	−44.7%	2.3%	−47.0%	1	Filing ↗
L	KOSPI 200 futures	May 19, 2026	Jun 19, 2026	−62.7%	3.4%	−66.1%	2	Filing ↗

	All	In-sample	Out-of-sample	Walk-forward
Trades	69	43	26	0
Profitable	31.9%	39.5%	19.2%	—
Avg net	−8.2%	−2.9%	−17.1%	—
Median	−6.8%	−3.1%	−16.6%	—
Worst trade	−66.1%	−44.8%	−66.1%	—
Worst drop (% of book)	−11.8%	−3.0%	−8.9%	0.0%
Sharpe	-1.73	-0.59	-4.59	—