Price & Market BehaviorCore researchInactiveNew

Fifty Two Week Low Drift

Updated dailyData needs: lowshort onlylong only

paper

2004

Source

George, T. J., Hwang, C. (2004). "The 52-Week High and Momentum Investing." Journal of Finance, 59(5), 2145-2176.

Read the paper →

In plain terms

This older implementation is blocked. Its replacement compares stocks with their actual monthly peers.

How it works

The guarded legacy own-stock expanding percentile is not the paper’s monthly cross-sectional 30/30 sort. Its distinct replacement uses dated peer cohorts and overlapping calendar-month positions.

Live results

7 times picked on its own · 190 times inside a blend (144 beat the stock) · updated 2026-07-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 190 such blended picks (144 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.

Expected edge

Reported return: ~0.45%/mo (long-short spread)
Tested over: 1963-2001

See the source research for the original effect size; a modern replication on new data may be weaker.

Example tickers where this is likely to fire

LCID RIVN CHWY NIO PARA

Illustrative only, the signal fires based on the live data, not a fixed list.

Related families

Monthly cross-sectional 52-week highPrice & Market Behavior

Once a month, compare how close each eligible stock is to its yearly high. Trade the strongest or weakest group, spreading each new monthly signal across its holding period.

52-Week-High MomentumPrice & Market Behavior

This older implementation is blocked; its replacement tests the original price rules with canonical trading accounting.

Explore Fifty Two Week Low Drift on alphactor.ai

See which tickers this family is currently firing on, with live signals and rankings.

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