Claim check: New highs lead to more highs
“Buying at new highs works: new highs lead to more new highs.”
What the data says
Partly Partly: after “Close above all closes of the previous 252 days”, the average 63-day return was +3.6% against +2.2% for all days (medians over 9 markets); it was higher than usual in 7 of 9 markets and statistically clear, with at least 20 independent events and the same sign in both halves, in 0. The direction mostly points the claimed way, but not strongly enough to be sure.
It holds in some markets or periods, leans the right way without proof, or helps on risk but not on return.
Who says it
George and Hwang (2004) 52-week-high momentum; frequently quoted when indices make records.
Origins are as commonly cited and were not independently verified.
How we tested it
Event: the close is above every close of the previous 252 trading days. We record the 63-trading-day return from that close (events at least 63 days apart) and compare it with the average 63-day return of the same market.
Results
Close above all closes of the previous 252 days 63-day (claim: higher than average)
| Market | Events | Mean after | All days | Difference | Median after | Up share | t-stat | Reading |
|---|---|---|---|---|---|---|---|---|
| S&P 500 | 43 | +2.5% | +3.6% | -1.1% | +3.4% | 72% | -1.3 (likely noise) | No effect |
| Gold | 19 | +5.1% | +2.2% | +2.8% | +6.4% | 84% | 2.1 (likely noise) | Right way, likely noise |
| Silver | 11 | +11.6% | +3.1% | +8.5% | +12.6% | 73% | 1.6 (likely noise) | Right way, likely noise |
| Oil | 13 | +2.5% | +1.1% | +1.4% | +2.1% | 54% | 0.2 (likely noise) | Right way, likely noise |
| Natural gas | 8 | -9.8% | -4.4% | -5.4% | -11.4% | 25% | -0.8 (likely noise) | Too little data |
| Commodities | 16 | +0.7% | +1.2% | -0.5% | +0.4% | 50% | -0.1 (likely noise) | No effect |
| Agriculture | 13 | +3.6% | +0.6% | +2.9% | +3.7% | 85% | 2.8 (likely noise) | Right way, likely noise |
| EUR/USD | 14 | -0.2% | -0.2% | 0.0% | -0.2% | 50% | 0.1 (likely noise) | Right way, likely noise |
| Bitcoin | 24 | +26.6% | +13.5% | +13.1% | +19.3% | 62% | 1.2 (likely noise) | Right way, likely noise |
| Ether | 11 | +24.5% | +11.0% | +13.5% | +16.9% | 55% | 0.8 (likely noise) | Right way, likely noise |
Difference from the average, by market (63-day)
By horizon: mean difference from all days
| Market | 5-day | 21-day | 63-day |
|---|---|---|---|
| S&P 500 | -0.1% (226) | -0.2% (85) | -1.1% (43) |
| Gold | +0.2% (85) | +1.2% (36) | +2.8% (19) |
| Silver | +2.8% (44) | +4.5% (19) | +8.5% (11) |
| Oil | +0.1% (56) | +1.2% (25) | +1.4% (13) |
| Natural gas | -0.7% (22) | +0.7% (12) | -5.4% (8) |
| Commodities | +0.2% (73) | +1.2% (34) | -0.5% (16) |
| Agriculture | +0.3% (59) | 0.0% (27) | +2.9% (13) |
| EUR/USD | 0.0% (42) | -0.2% (22) | 0.0% (14) |
| Bitcoin | +2.5% (102) | +6.8% (45) | +13.1% (24) |
| Ether | +2.4% (46) | +8.7% (19) | +13.5% (11) |
Average -day return after the signal vs all days (S&P 500)
9 of 10 markets had enough data.
Stability across the two halves of history
A saying that only works in one half of the history is not much of a rule. Each row shows the effect in the full history, the first half and the second half; green means the claimed effect was present.
| Market | Full history | First half | Second half |
|---|---|---|---|
| S&P 500 | -1.1% (43) | -0.6% (21) | -1.6% (22) |
| Gold | +2.8% (19) | +2.5% (5) | +1.8% (14) |
| Silver | +8.5% (11) | +3.1% (3) | +9.0% (8) |
| Oil | +1.4% (13) | +3.3% (4) | -1.0% (9) |
| Natural gas | -5.4% (8) | -5.2% (3) | -6.1% (5) |
| Commodities | -0.5% (16) | +2.2% (5) | -2.7% (11) |
| Agriculture | +2.9% (13) | +5.9% (2) | +1.2% (11) |
| EUR/USD | 0.0% (14) | +0.7% (6) | -0.5% (8) |
| Bitcoin | +13.1% (24) | +27.0% (10) | +4.5% (14) |
| Ether | +13.5% (11) | +26.5% (6) | -2.8% (5) |
Context and cross-checks
Shown for context; not part of the verdict.
The site's own strategies
| Strategy | Market | Sharpe, 5 years | Benchmark, 5 years | Sharpe, full | Benchmark, full | CAGR, full | Benchmark, full | Max DD, full | Benchmark, full | Reading |
|---|---|---|---|---|---|---|---|---|---|---|
| MOM-03 52-Week High Momentum | SPY | 0.61 | 0.72 | 0.67 | 0.85 | +8.6% | +13.8% | -34% | -34% | No effect |
| MOM-03 52-Week High Momentum | GLD | 0.76 | 0.89 | 0.37 | 0.51 | +4.3% | +7.5% | -47% | -46% | No effect |
| MOM-03 52-Week High Momentum | USO | 0.18 | 0.68 | 0.16 | 0.05 | +1.1% | -4.8% | -58% | -95% | Full history only |
| MOM-03 52-Week High Momentum | EUR/USD | -0.05 | -0.05 | -0.14 | -0.13 | -1.4% | -1.5% | -38% | -35% | No effect |
| MOM-03 52-Week High Momentum | DBC | 0.64 | 0.63 | 0.25 | 0.21 | +2.6% | +2.2% | -51% | -66% | Clear and stable |
| MOM-03 52-Week High Momentum | SLV | 0.89 | 0.57 | 0.43 | 0.35 | +7.1% | +6.1% | -54% | -76% | Clear and stable |
| MOM-03 52-Week High Momentum | DBA | 0.67 | 0.68 | -0.04 | 0.13 | -1.2% | +0.8% | -65% | -62% | No effect |
| MOM-03 52-Week High Momentum | UNG | -0.83 | -0.27 | -0.22 | -0.35 | -7.2% | -25.1% | -79% | -99% | Full history only |
| MOM-03 52-Week High Momentum | BTC | 0.43 | 0.25 | 0.86 | 0.80 | +39.7% | +52.0% | -54% | -83% | Clear and stable |
| MOM-03 52-Week High Momentum | ETH | 0.09 | 0.09 | 0.48 | 0.56 | +16.4% | +22.9% | -61% | -94% | No effect |
Sharpe ratio minus benchmark, full history · Benchmark = the buy-and-hold shown on the strategy pages.
The honest caveat
Overlapping signals cluster in bull markets, making observations non-independent.
Descriptive statistics from historical data, before costs. Not a forecast and not investment advice.
Questions
Buying at new highs works: new highs lead to more new highs.
Partly: after “Close above all closes of the previous 252 days”, the average 63-day return was +3.6% against +2.2% for all days (medians over 9 markets); it was higher than usual in 7 of 9 markets and statistically clear, with at least 20 independent events and the same sign in both halves, in 0. The direction mostly points the claimed way, but not strongly enough to be sure.
How was this claim tested?
Event: the close is above every close of the previous 252 trading days. We record the 63-trading-day return from that close (events at least 63 days apart) and compare it with the average 63-day return of the same market.
Related strategies on Quant Arena
Markets used
S&P 500 · Gold · Silver · Oil · Natural gas · Commodities · Agriculture · EUR/USD · Bitcoin · Ether