Momentum#29tier 1live in production
high 52w momentum
cadence: Dailydata: lowlong onlyshort onlylong short
Mechanism
George & Hwang (2004) and Geczy & Samonov (2015) show that the 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
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
Stocks within 5% of their 52-week high earn ~0.45%/month more than the market.
Illustrative pattern only
NOT a backtestIllustrative pattern only — see /app for live backtests and the actual current equity curve.
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