KOSDAQ → KOSPI transfers

Why this can work

A KOSPI listing can bring index inclusion and new institutional buyers.

What can go wrong

Moves are announced early and run up before; KOSDAQ index funds sell when it leaves.

Rule

A move from KOSDAQ to KOSPI (이전상장) is filed → long vs the market for 20 trading days from the next day.

Backtest

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

Only 9 trades so far: treat these numbers with care.

Capacity: ₩3.5억
Avg costs: 1.1%
Avg fill days: 1.2
Turnover a year: 14%

59 signals → 9 trades (50 left out by filters, 0 over the position limit, 0 still open, 0 too big to fill, 0 exited at delisting).

Equity curve (% of book)

Shaded: out-of-sample, from Apr 28, 2025.

Trade returns

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%	+8.8%
2023	5	40.0%	−0.7%
2025	2	0.0%	−18.3%
2026	1	100.0%	+38.4%

Walk-forward

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

From	Traded	Trades	Avg net
Oct 29, 2023	Yes	0	—
Apr 28, 2024	No	0	—
Oct 27, 2024	No	2	−18.3%
Apr 27, 2025	No	0	—
Oct 26, 2025	No	0	—
Apr 26, 2026	No	1	+38.4%
Oct 25, 2026	No	0	—

	All	In-sample	Out-of-sample	Walk-forward
Trades	9	8	1	0
Profitable	44.4%	37.5%	100.0%	—
Avg net	+0.8%	−3.9%	+38.4%	—
Median	−0.7%	−2.0%	+38.4%	—
Worst trade	−19.2%	−19.2%	+38.4%	—
Worst drop (% of book)	−0.8%	−0.8%	0.0%	0.0%
Sharpe	0.07	-0.63	—	—

Stock	Against	Entry	Exit	Gross	Costs	Net	Fill days
LAlteogen	KOSPI 200 futures	Jul 20, 2026	Aug 18, 2026	+39.1%	0.8%	+38.4%	1	Filing ↗
LEcopro BM	KOSPI 200 futures	Mar 4, 2025	Apr 1, 2025	−16.8%	0.6%	−17.4%	1	Filing ↗
LEcopro	KOSPI 200 futures	Mar 4, 2025	Apr 1, 2025	−18.5%	0.7%	−19.2%	1	Filing ↗
LHLB	KOSPI 200 futures	Oct 18, 2023	Nov 15, 2023	0.0%	0.6%	−0.7%	1	Filing ↗
L	KOSPI 200 futures	Sep 21, 2023	Oct 26, 2023	+2.4%	0.7%	+1.7%	1	Filing ↗
L	KOSPI 200 futures	Aug 25, 2023	Sep 22, 2023	+2.9%	0.7%	+2.2%	1	Filing ↗
L	KOSPI 200 futures	Feb 24, 2023	Mar 28, 2023	−1.8%	1.5%	−3.3%	2	Filing ↗
L	KOSPI 200 futures	Feb 24, 2023	Mar 28, 2023	−1.8%	1.5%	−3.3%	2	Filing ↗
L	KOSPI 200 futures	Dec 7, 2021	Jan 5, 2022	+11.5%	2.7%	+8.8%	1	Filing ↗