52-Week High Momentum (George-Hwang) Backtest

52-Week High Momentum ranks stocks by how close they are to their own 52-week highs, then buys the nearest-to-high group and shorts the farthest-from-high group.

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Strategy summary

52-Week High Momentum is a cross-sectional momentum strategy built to pursue equity leadership from the premise that stocks near 52-week highs often reflect persistent investor demand, using high-proximity ranking across the strategy’s point-in-time eligible equity universe.

The backtest applies the rule to the Norgate Russell 3000 Current & Past universe using point-in-time membership. It forms a new long-short cohort each month, holds each cohort for six months, and re-equal-weights active cohort members monthly. New or increased exposure is not opened when the month-end execution/mark price is below $1.00, but exits and reductions remain allowed below $1.00.

The active decision being tested is whether nearness to a stock’s own 52-week high is useful for ranking stocks on a long-short basis after execution, short-side, cost, dividend, and cash-accounting rules are applied.

What this strategy is not

• Not a long-only 52-week breakout system that buys stocks when they make new highs.
• Not a standard 12-minus-1 return-momentum strategy.
• Not a compact stock-picking model designed to hold a small handpicked list of names.
• Instead: it is a broad monthly long-short factor strategy that ranks stocks by current price relative to their own trailing 52-week high, then holds top- and bottom-ranked groups through overlapping six-month cohorts.

Report summary

Benchmark summary

The primary benchmark is a cash/no-trade committed-capital baseline. Because the strategy is a self-financing long-short factor, a long-only stock index would add equity-market exposure that the strategy itself is not designed to carry.

The cash/no-trade committed-capital baseline preserves the same starting capital and removes the active ranking, long-short construction, short-side exposure, and monthly cohort process. The comparison therefore asks whether the 52-week-high ranking rule added value after portfolio accounting, trading costs, and execution assumptions.

For the benchmark-selection framework, see How to Choose the Right Benchmark.

• Primary Benchmark: cash/no-trade committed-capital baseline.
• Preserves: the same starting capital and committed-capital framing.
• Removes: the active ranking, long-short construction, short-side exposure, and monthly cohort process.
• Excludes: the 52-week-high ranking rule, long-short portfolio construction, monthly cohort formation, short exposure, modeled trading, borrow costs, dividends, and implementation constraints.

Key metrics: 2021–2025 free preview

• The free preview is a recent-window orientation tool, not the complete evidence set.
• A five-year free-preview window can be useful, but it can also overstate or understate the full historical tradeoff.
• The full report expands the scorecard across the complete report window and adds the path-level interpretation behind the headline numbers.

In this five-year free preview, 52-Week High Momentum had higher CAGR and ending capital than the flat cash benchmark, but it also had higher volatility and a deeper drawdown, while the benchmark’s Sharpe and Calmar ratios were not meaningful because the cash baseline stayed flat. The full report is needed to evaluate whether that tradeoff holds across the complete backtest period.

Further research

• BTS Methodology
• What Makes a Backtest Reliable?
• Why a Standardized Methodology Matters in Backtesting
• How to Choose the Right Benchmark
• Strategy Library