Price & Market BehaviorCore researchlive in production

52-Week-High Momentum

Updated dailyData needs: lowlong onlyshort onlylong short

In plain terms

Stocks within 5% of their 52-week high tend to keep going (anchoring effect). Conversely, stocks at very deep drawdowns (-40%+) often bounce.

How it works

George & 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%).

Live results

32 times picked on its own · 77 times inside a blend (69 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 77 such blended picks (69 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)

Loading substrate evidence…

Data dependencies

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

Expected edge

Reported return: ~0.45%/month over market (George-Hwang 2004)
Tested over: 1963-2001

Stocks within 5% of their 52-week high earn ~0.45%/month more than the market.

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