Latest research

#7Research NoteOverfittingValidation Method

Why a Fix That Looked Good Actually Lost Money — Proxy vs. Reality

In our previous test we found a weakness in our strategy. We built a rule to fix it, and in a quick approximation (a proxy) it looked perfect. Then we ran it on the real simulator — and it was the opposite. This is a record of that razor-thin difference.

2026-07-08

#6Research NoteStress TestRegime Strategy

If 2008 Came Again — We Stress-Tested Our Defense Against Real Data

Our backtest contains only one major crisis: COVID. But COVID was a V-shape — a sharp drop followed by a sharp rebound. What if a 2008-style crisis came, one that grinds down for a full year? We pulled 2005 data via CYBOS and actually ran it.

2026-07-08

#5Research NoteValue FactorRegime Strategy

Do Cheap Stocks Improve Our Strategy? — Eight Low-PBR Combination Experiments

'Cheap stocks win in the end' — low PBR is one of the oldest quant factors. We combined this proven factor into our regime strategy eight different ways. All eight were rejected. This is the data on why, and what it tells us.

2026-07-08

#4Research NoteRegime Strategy

Five Experiments to Beat the Sideways Market — and What the Data Actually Said

We tried five different ways to lift returns in the sideways regime that makes up 60% of the market. All five failed. This is a record of those failures — and why that turned out to be good news.

2026-05-30

REGIMESYSTEM

What Is the Regime Strategy — A Quant System That Adapts to the Market

Markets don't always wear the same face. The Regime Strategy measures each month whether the market is rising, ranging, or falling, and runs KOSPI large caps with a stance to match. Measurement, not prediction.

2026-05-29

#2VALIDATIONOVERFITTING

10 Hypotheses, 0 Adopted — One Month of Validation

Is there a way to push the Regime Strategy's returns higher? Over one month we tested more than ten improvement hypotheses and adopted none. Here is the honest record of failure.

2026-05-27

#3REGIMESIDEWAYS

In Sideways Markets, Quant Doesn't Win — It Holds. An 81-Month Look

Over 11 years, the market spent 81 months going nowhere. In that stretch the Regime Strategy didn't beat KOSPI. But that was by design. Here's what sideways regimes are really for, in the data.

2026-05-26