MOM-03 · Momentum

52-Week High Momentum

Based on George & Hwang (2004) research. Stocks near their 52-week highs tend to outperform due to investor underreaction (anchoring bias). Enter when price reaches 95% of 52-week high, exit when falling below 85%.

MomentumTechnical

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At a glance

Best onTrending markets

Signal frequencyDaily

Typical holding periodWeeks

Asset classesIndex, Commodity, FX

Markets tested10

Data through2026-11-10

What the backtest shows

Beat buy-and-hold on 4 of 10 markets by annual return over 5 years.
Had a smaller maximum drawdown than buy-and-hold on 6 of 10 markets.
Best market by Sharpe ratio: SLV (Sharpe 0.89, CAGR 23.5%).
Weakest market: UNG (Sharpe -0.83, CAGR -21.7%).
Few or no trades in the window on SPY — treat those rows as a sign the rules rarely triggered, not as an edge.

Equity curve

52-Week High Momentum Buy & hold · SPY, 2010-01-04 → 2026-11-10, growth of 1

Score and risk profile

Arena Score: 64.2SPY, 5 years

Return quality · 30%70

Drawdown control · 25%38

Consistency · 20%61

Robustness · 15%83

Significance · 10%91

Each bar is a percentile against every strategy on the same market and window (100 = best).

Time in market83%

Ulcer index9.5%

Longest drawdown745 days

Daily VaR (95%)-1.43%

Probability Sharpe > 091%

Beta vs buy & hold0.60

Alpha (annual)+0.8%

Positive months53%

CAGR after 10 bp costs7.6%

Deflated Sharpe (luck-adjusted)46%

CAGR, 90% bootstrap range-3.1% to 17.7%

Max drawdown, 90% bootstrap range-36.8% to -12.3%

How it held up in sell-offs (SPY)

Period	Strategy	Buy & hold
Q4 2018 sell-off	-17.5%	-19.2%
COVID crash (Feb–Mar 2020)	-31.3%	-33.7%
2022 bear market	-16.4%	-24.5%
Market above its 200-day average (annualized) · 81%	+12.0%	+12.5%
Market below its 200-day average (annualized) · 19%	-4.9%	+19.8%

Sell-off dates follow the US stock market. Above/below the 200-day average uses the previous day's position, so there is no look-ahead.

Out-of-sample check (SPY)

Check	Value
Chosen parameters on their 3-year training windows (average Sharpe)	0.81
Same parameters in the following 6 months, when traded (Sharpe)	0.76
Default parameters over the same months (Sharpe)	0.82
Parameter re-selections / changes	28 / 5
Parameter settings with a positive Sharpe (full history)	6 of 9
Sharpe across settings: worst / median / best	0.00 / 0.66 / 0.75

Out-of-sample periods start on 2013-01-04. Training-window figures are flattered by picking the best of 9 settings; the out-of-sample figure is what the strategy actually earned. A large drop, or a result that depends on one setting, points to overfitting. How walk-forward testing works.

Results by market (5 years)

Market	CAGR	Buy & hold CAGR	Sharpe	Max drawdown	Buy & hold max DD	Volatility	Arena Score
SLViShares Silver Trust	23.5%	15.2%	0.89	-32.2%	-57.8%	29.1%	83
GLDSPDR Gold Shares	12.0%	16.4%	0.76	-33.9%	-28.3%	17.2%	51
DBAInvesco DB Agriculture	8.4%	8.8%	0.67	-16.3%	-15.9%	13.8%	73
DBCInvesco DB Commodity Index	10.1%	10.8%	0.64	-27.5%	-27.3%	16.9%	74
SPYSPDR S&P 500	7.7%	11.6%	0.61	-20.9%	-24.5%	13.4%	64
BTC-USDBitcoin	12.6%	2.6%	0.43	-47.0%	-75.9%	26.1%	76
USOUnited States Oil Fund	1.3%	20.2%	0.18	-58.0%	-36.2%	32.5%	34
ETH-USDEthereum	-1.2%	-15.1%	0.09	-34.7%	-79.0%	26.6%	48
EURUSD=XEUR/USD	-0.7%	-0.7%	-0.05	-16.7%	-17.2%	7.5%	43
UNGUnited States Natural Gas	-21.7%	-30.7%	-0.83	-72.6%	-93.3%	25.6%	13

Strategy metrics use daily returns without trading costs. Buy-and-hold figures are for the same market and window. Rows are sorted by Sharpe ratio.

SPY across time windows

Window	Total return	CAGR	Sharpe	Sortino	Max DD	Win days	Trades
1 year	+11.2%	11.2%	0.96	1.32	-8.9%	52%	0
3 years	+53.0%	15.2%	1.16	1.38	-17.9%	55%	2
5 years	+44.7%	7.7%	0.61	0.70	-20.9%	45%	4
Full history	+298.6%	8.6%	0.67	0.72	-34.4%	48%	47

Rules

Entry

Buy when high ratio >= 0.95 (near 52W high)

Exit

Exit when high ratio < 0.85

Indicators

52-week high
High ratio = Price / 52W High

Inputs

Lookback = 252 (52 weeks)
Entry_Threshold = 0.95
Exit_Threshold = 0.85

Position sizing

Fixed 100% allocation

Risk controls

Exit on significant pullback from high

Strategy evidence

Only available, validated bundles appear below. Missing evidence is not a passing validation result.

Evidence coverage

10 / 10 declared strategy–market pairs validated

Notes

Anchoring bias: investors underreact to prices near historical highs
George & Hwang (2004) academic research
Works best in uptrending markets

Related strategies

COMBO-02 · SPY 5Y Sharpe 0.51MACD + RSI Filter COMBO-01 · SPY 5Y Sharpe 0.03Bollinger-Keltner Squeeze CS-01 · CS-UNIV 5Y Sharpe 0.76Cross-Sectional Momentum HMA-01 · SPY 5Y Sharpe 0.06HMA Crossover MOM-01 · EURUSD=X 5Y Sharpe 0.19Time-Series Momentum MOM-02 · DUAL-MOM 5Y Sharpe 0.47Dual Momentum

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Backtests are historical simulations on daily data and do not include commissions or slippage. They do not guarantee future results and are not investment advice. See the methodology for how every strategy is tested.