O'Neil 52-Week-High Breakout with 8% Stop: does it still work? Replicated through 2026
We re-ran it on 10 markets from 2010-12-21 to 2026-11-10 (15.9 years, before costs): +10.1% a year, Sharpe 0.85, worst drawdown -26.5%. The benchmark, Equal-weight of 10 markets, did +9.2% a year (Sharpe 0.62, worst drawdown -43.1%).
Verdict: Better risk-adjusted return than its benchmark over this period. Historical, hypothetical results before costs, taxes and fees. Not investment advice.
This is our adapted version, not the real portfolio or fund. Read what is lost before comparing it with anything published about the original.
What is lost
- CAN SLIM stock picking (earnings, leaders, volume, market direction) is the heart of the method and is absent.
- No base-pattern recognition: any new 252-day high counts.
Where it comes from
CAN SLIM made 'buy new highs, cut losses at 8%' a mantra for growth investors.
Rules, weights and thresholds are given as commonly cited. We have not re-checked them against the primary text.
The original rules
Buy leading stocks as they break out to new highs from a base, and sell if the price falls 7-8% below the purchase price.
How we replicate it
What we changed
Stock selection (earnings growth, market leaders, volume) cannot be applied to ETFs. Only the new-high entry and the 8% loss rule survive: buy when the close reaches a new 252-day closing high, sell if it closes 8% below the entry close, fixed 1/10 slot per market.
The exact rule we run
For each of the 10 markets, at the close: when flat and the close is at or above the highest close of the prior 252 days, go long; exit to cash when the close is at or below 92% of the entry close. Re-entry needs another new 252-day high. Fixed 1/10 slot per market.
Conventions: Position decided at a close earns the next day's return; no look-ahead; before costs; cash earns 0%; starts 2010-12-21, the first day a signal exists; every market has an equal slot of equity; indicators use each market's own trading days.
Growth of 1 vs the benchmark
Benchmark: Equal-weight of 10 markets, same period. Equal slots in S&P 500, Gold, Silver, Oil, Natural gas, Commodities, Agriculture, EUR/USD, Bitcoin, Ether, rebalanced daily; a market without data yet stays in cash.
Drawdown from the previous peak
Key numbers
Sample: 2010-12-21 to 2026-11-10, 15.9 years, 5414 daily observations. Annualised from the number of observations per year of the strategy's own calendar. Before costs.
Recent and full-period returns
| Period | Replica | Benchmark |
|---|---|---|
| Last month | -6.9% | -7.4% |
| Last year | +7.5% | +5.9% |
| Last 5 years | +51.8% | +54.3% |
| Whole period (cumulative) | +363.8% | +307.6% |
Calendar-year returns
| Year | Replica | Benchmark | Replica minus benchmark |
|---|---|---|---|
| 2026* | +7.1% | +6.8% | +0.3% |
| 2025 | +18.5% | +18.5% | -0.0% |
| 2024 | +27.6% | +29.0% | -1.4% |
| 2023 | +22.7% | +13.9% | +8.8% |
| 2022 | -17.2% | -9.5% | -7.7% |
| 2021 | +40.8% | +54.6% | -13.8% |
| 2020 | +38.1% | +37.7% | +0.4% |
| 2019 | +12.5% | +19.2% | -6.7% |
| 2018 | -13.0% | -23.9% | +10.9% |
| 2017 | +37.5% | +52.2% | -14.7% |
| 2016 | +8.0% | +18.4% | -10.3% |
| 2015 | +3.8% | -12.1% | +15.8% |
| 2014 | -0.9% | -14.8% | +13.9% |
| 2013 | -1.2% | -4.0% | +2.8% |
| 2012 | +1.0% | +0.5% | +0.6% |
| 2011 | -2.8% | -5.7% | +3.0% |
| 2010* | 0.0% | +2.3% | -2.3% |
* Partial year. The first year starts on the first day of the replica; the current year is year to date.
Position as of 2026-11-10
| Holding | Weight |
|---|---|
| S&P 500 SPY | 10.0% |
| Gold GLD | 10.0% |
| Silver SLV | 10.0% |
| Oil USO | 10.0% |
| Commodities DBC | 10.0% |
| Agriculture DBA | 10.0% |
| EUR/USD EURUSD=X | 10.0% |
| Bitcoin BTC-USD | 10.0% |
| Ether ETH-USD | 10.0% |
| Cash (0%) | 10.0% |
Last change of position: 2025-03-17. Drawdown from its peak today: -9.4%.
What it did in 2020 and 2022
| Episode | Dates | Replica | Benchmark |
|---|---|---|---|
| COVID crash | 2020-02-19 → 2020-03-23 | -9.0% | -25.4% |
| 2022 bear market | 2022-01-03 → 2022-10-12 | -17.3% | -9.2% |
Close to close between the two dates. Two episodes only: not enough to judge a strategy.
How much to trust it
- 74 position changes over 15.9 years.
- This is one backtest on one path of history, before costs and with hindsight on the choice of strategy. It does not show the strategy will work in future.
Honest caveat
Only the price-breakout and stop parts are replicated; the stock-picking fundamentals that define CAN SLIM are lost.
Related
Other famous strategies
Closest strategies on Quant Arena
Similar idea, tested on the site's own rule set; not the same rule.
Markets used: S&P 500 · Gold · Silver · Oil · Natural gas · Commodities · Agriculture · EUR/USD · Bitcoin · Ether
Historical, hypothetical results before costs, taxes and fees. Not investment advice.