fifty two week low drift
What it checks
Stocks within 10% of 52w low keep drifting down.
Mechanism
Stocks within 10% of 52w low continue to drift down 30-90d.
Signal rule
close/252d-min ratio; short when ratio < 1.10; hold 30/60/90d
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Paper alpha
- ~0.45%/mo
- Paper window
- 1963-2001
George-Hwang 2004: 0.45%/month short-side drift.
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
high 52w momentumMomentumGeorge & Hwang (2004) and Geczy & Samonov (2015) show proximity to the 52-week high is a stronger predictor of next-month returns than raw 6-month momentum. Stocks within 5% of their 52-week high earn ~0.45%/month more than the market. Three variants: proximity LONG (≥95% of 52w high, 4-12w hold), deep-drawdown bounce LONG (≤60% of 52w high AND positive 5d return), broken-down SHORT (was within 5% of 52w high in the last 60d but now <80%).
cross sectional momentumMomentumCross-sectional momentum (Jegadeesh-Titman 1993): rank stocks vs peers on trailing 12m return excluding the most-recent month, long the top tercile. The single-ticker analog compares the stock to its sector ETF — without explicit peer-by-peer ranks we use the stock-minus-sector residual return as a proxy. Sweep formation periods (126/252d) and skip windows (0 vs 21d) for the Jegadeesh-Titman convention.
frog in pan momentumMomentumDa, Gurun & Warachka (2014) *Review of Financial Studies*, "Frog in the Pan: Continuous Information and Momentum."
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