# 52-Week High Momentum (US S&P 500)

- **Slug**: `high52w-momentum-us-sp500`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: anchoring, factor, momentum
- **Source**: qbuntu-analysis (computed asof 2026-07-30T01:20:51)
- **Reproducibility**: analysis-engine@18193e9, backtest-lib@711b855, grid tier=shallow (python 3.10.11, numpy 2.2.6, pandas 2.3.3)
- **HTML**: https://qbuntu.ai/strategies/high52w-momentum-us-sp500
- **JSON**: https://qbuntu.ai/v1/strategies/high52w-momentum-us-sp500
- **License**: CC-BY-4.0

## Hypothesis

George & Hwang (2004): proximity to 52-week high as momentum signal. Applied to S&P 500 constituents.

## Why it didn't work

Across 320 grid combinations, median Sharpe=-0.44, best=0.27. Primary failure mode: no_edge.

## Performance summary

Headline figures are the **median across the parameter grid**, not the best run.

| Metric | Value |
|---|---|
| Sharpe (median) | -0.4359 |
| Max drawdown | -31.6% |
| p-value | 0.33 |
| Backtest period | 2022-04-01 to 2026-06-01 |

Sharpe distribution across 320 grid runs: median -0.44, best 0.27 (best-case — not representative), worst -1.47, p25 -0.7, p75 -0.25.

## Methodology

- Notes: {"walk_forward_definition": {"type": "single_pass", "description": "Full period backtest without walk-forward split", "verdict_basis": "full_period"}}
- Slippage model: open-on-open + variable bps fixed
- Position sizing: equal_weight
- Regime definition: GSPC SMA20/SMA60 three-class: UP (close>SMA20 AND SMA20>SMA60), DOWN (close<SMA20 AND SMA20<SMA60), FLAT (else)
- Transaction cost bps: 5

## Target universe

S&P 500 constituents, ~503 stocks

## Runs (30)

| run_id | params | sharpe | UP | FLAT | DOWN |
|---|---|---:|---:|---:|---:|
| `r-high52w-momentum-us-sp500-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.13 | 1.3 | -0.75 | -0.94 |
| `r-high52w-momentum-us-sp500-0001` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | -0.25 | 1.25 | -0.75 | -0.94 |
| `r-high52w-momentum-us-sp500-0002` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -0.28 | 1.04 | -0.87 | -1.05 |
| `r-high52w-momentum-us-sp500-0003` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | -0.37 | 1.07 | -0.87 | -1.05 |
| `r-high52w-momentum-us-sp500-0012` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=1 | -0.39 | 0.81 | -1.08 | -0.93 |
| `r-high52w-momentum-us-sp500-0018` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | -0.3 | -0.57 | -0.29 | 0.32 |
| `r-high52w-momentum-us-sp500-0021` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=5 | 0.27 | 0.6 | -0.05 | 0.57 |
| `r-high52w-momentum-us-sp500-0033` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=10 | -0.42 | 1.3 | -0.83 | -1.21 |
| `r-high52w-momentum-us-sp500-0047` | cost_bps=10, n_stocks=50, regime_gate=true, holding_days=10 | -0.78 | 0.8 | -2.07 | -0.89 |
| `r-high52w-momentum-us-sp500-0061` | cost_bps=5, n_stocks=50, regime_gate=true, holding_days=20 | -0.26 | 1.4 | -0.75 | -1.26 |
| `r-high52w-momentum-us-sp500-0064` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=60 | -0.19 | 0.09 | -0.33 | -1 |
| `r-high52w-momentum-us-sp500-0076` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=60 | -0.57 | -0.08 | -0.87 | -1.42 |
| `r-high52w-momentum-us-sp500-0090` | cost_bps=10, n_stocks=20, regime_gate=false, holding_days=1 | -0.59 | 0.63 | -1.07 | -1.42 |
| `r-high52w-momentum-us-sp500-0104` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=5 | -0.69 | -0.82 | -0.79 | -0.03 |
| `r-high52w-momentum-us-sp500-0118` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=10 | -1.36 | -0.95 | -1.59 | -1.93 |
| `r-high52w-momentum-us-sp500-0122` | cost_bps=10, n_stocks=20, regime_gate=false, holding_days=10 | -1.47 | -0.85 | -2.1 | -1.72 |
| `r-high52w-momentum-us-sp500-0133` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=20 | -0.27 | 1.3 | -0.48 | -1.21 |
| `r-high52w-momentum-us-sp500-0147` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=60 | -0.06 | 1.36 | -0.41 | -0.88 |
| `r-high52w-momentum-us-sp500-0161` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | -0.37 | 1.3 | -0.75 | -1.7 |
| `r-high52w-momentum-us-sp500-0175` | cost_bps=10, n_stocks=50, regime_gate=true, holding_days=1 | -0.59 | 0.49 | -1.23 | -0.91 |
| `r-high52w-momentum-us-sp500-0189` | cost_bps=5, n_stocks=50, regime_gate=true, holding_days=5 | -0.32 | 0.52 | -1.53 | 0.27 |
| `r-high52w-momentum-us-sp500-0203` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=10 | -0.97 | 0.88 | -2.35 | -1.78 |
| `r-high52w-momentum-us-sp500-0217` | cost_bps=5, n_stocks=20, regime_gate=true, holding_days=20 | -0.26 | 1.64 | -0.74 | -1.47 |
| `r-high52w-momentum-us-sp500-0231` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=60 | -0.13 | 1.35 | -0.91 | -1.17 |
| `r-high52w-momentum-us-sp500-0240` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.43 | -0.16 | -0.8 | -0.3 |
| `r-high52w-momentum-us-sp500-0246` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=1 | -0.63 | 0.23 | -1.39 | -1.02 |
| `r-high52w-momentum-us-sp500-0260` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=5 | -1.04 | -1.14 | -0.75 | -1.89 |
| `r-high52w-momentum-us-sp500-0274` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=10 | -1.17 | -1.27 | -0.97 | -0.86 |
| `r-high52w-momentum-us-sp500-0288` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | -0.94 | -1.39 | -0.71 | -0.72 |
| `r-high52w-momentum-us-sp500-0302` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=20 | -0.7 | -0.55 | -0.75 | -1.31 |

## Facts (5)

Each fact has a permanent citation URL. AI agents quoting qbuntu should use these.

- **Best grid Sharpe ratio is 0.27 (p=0.57).**
  - Value: 0.27 sharpe_ratio
  - Context: period 2022-04-01–2026-06-01; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/high52w-momentum-us-sp500-fact-best-sharpe

- **Median Sharpe across 320 grid runs is -0.44.**
  - Value: -0.44 sharpe_ratio
  - Context: Full grid of 320 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/high52w-momentum-us-sp500-fact-median-sharpe

- **Median Sharpe in DOWN regime is -1.21 across 320 runs.**
  - Value: -1.21 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/high52w-momentum-us-sp500-fact-regime-down

- **Median Sharpe in FLAT regime is -0.88 across 320 runs.**
  - Value: -0.88 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/high52w-momentum-us-sp500-fact-regime-flat

- **Median Sharpe in UP regime is 0.43 across 320 runs.**
  - Value: 0.43 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/high52w-momentum-us-sp500-fact-regime-up

## Related strategies

- same_strategy: [high52w-momentum-jp-all](https://qbuntu.ai/strategies/high52w-momentum-jp-all)
- same_strategy: [high52w-momentum-jp-growth](https://qbuntu.ai/strategies/high52w-momentum-jp-growth)

---

Cite as: qbuntu (2026). 52-Week High Momentum (US S&P 500). https://qbuntu.ai/strategies/high52w-momentum-us-sp500

Visit qbuntu.ai — the honest scorecard for quant strategies (live, promising, marginal, rejected).