52-Week High Momentum (US S&P 500)
slug: high52w-momentum-us-sp500
performance summary
Sharpe (median)
-0.44
Max DD
-31.6%
Win rate
—
Alpha (ann.)
—
p-value
0.33
backtest period: 2022-04-01 → 2026-06-01
Sharpe across 320 grid runs:median -0.44best 0.27 (not representative)worst -1.47p25–p75 -0.70–-0.25
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.
Facts (5)
Best grid Sharpe ratio is 0.27 (p=0.57).
period 2022-04-01–2026-06-01; cost=5bps
cite ↗ /cite/high52w-momentum-us-sp500-fact-best-sharpevia r-high52w-momentum-us-sp500-0021
Median Sharpe across 320 grid runs is -0.44.
Full grid of 320 parameter combinations.
Median Sharpe in DOWN regime is -1.21 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.88 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is 0.43 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
Runs (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
lookback_days=125, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-high52w-momentum-us-sp500-0000 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.13 | +1.30 | -0.75 | -0.94 |
lookback_days=125, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-high52w-momentum-us-sp500-0001 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.25 | +1.25 | -0.75 | -0.94 |
lookback_days=125, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-high52w-momentum-us-sp500-0002 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.28 | +1.04 | -0.87 | -1.05 |
lookback_days=125, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-high52w-momentum-us-sp500-0003 | cost_bps: 10 n_stocks: 5 regime_gate: true | -0.37 | +1.07 | -0.87 | -1.05 |
lookback_days=125, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False r-high52w-momentum-us-sp500-0012 | cost_bps: 5 n_stocks: 50 regime_gate: false | -0.39 | +0.81 | -1.08 | -0.93 |
lookback_days=125, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False r-high52w-momentum-us-sp500-0018 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.30 | -0.57 | -0.29 | +0.32 |
lookback_days=125, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=True r-high52w-momentum-us-sp500-0021 | cost_bps: 5 n_stocks: 10 regime_gate: true | +0.27 | +0.60 | -0.05 | +0.57 |
lookback_days=125, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True r-high52w-momentum-us-sp500-0033 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.42 | +1.30 | -0.83 | -1.21 |
lookback_days=125, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=True r-high52w-momentum-us-sp500-0047 | cost_bps: 10 n_stocks: 50 regime_gate: true | -0.78 | +0.80 | -2.07 | -0.89 |
lookback_days=125, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=True r-high52w-momentum-us-sp500-0061 | cost_bps: 5 n_stocks: 50 regime_gate: true | -0.26 | +1.40 | -0.75 | -1.26 |
lookback_days=125, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-high52w-momentum-us-sp500-0064 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.19 | +0.09 | -0.33 | -1.00 |
lookback_days=125, holding_days=60, n_stocks=50, cost_bps=5, regime_gate=False r-high52w-momentum-us-sp500-0076 | cost_bps: 5 n_stocks: 50 regime_gate: false | -0.57 | -0.08 | -0.87 | -1.42 |
lookback_days=180, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=False r-high52w-momentum-us-sp500-0090 | cost_bps: 10 n_stocks: 20 regime_gate: false | -0.59 | +0.63 | -1.07 | -1.42 |
lookback_days=180, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False r-high52w-momentum-us-sp500-0104 | cost_bps: 5 n_stocks: 20 regime_gate: false | -0.69 | -0.82 | -0.79 | -0.03 |
lookback_days=180, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False r-high52w-momentum-us-sp500-0118 | cost_bps: 10 n_stocks: 10 regime_gate: false | -1.36 | -0.95 | -1.59 | -1.93 |
lookback_days=180, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False r-high52w-momentum-us-sp500-0122 | cost_bps: 10 n_stocks: 20 regime_gate: false | -1.47 | -0.85 | -2.10 | -1.72 |
lookback_days=180, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True r-high52w-momentum-us-sp500-0133 | cost_bps: 5 n_stocks: 10 regime_gate: true | -0.27 | +1.30 | -0.48 | -1.21 |
lookback_days=180, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=True r-high52w-momentum-us-sp500-0147 | cost_bps: 10 n_stocks: 5 regime_gate: true | -0.06 | +1.36 | -0.41 | -0.88 |
lookback_days=250, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-high52w-momentum-us-sp500-0161 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.37 | +1.30 | -0.75 | -1.70 |
lookback_days=250, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=True r-high52w-momentum-us-sp500-0175 | cost_bps: 10 n_stocks: 50 regime_gate: true | -0.59 | +0.49 | -1.23 | -0.91 |
lookback_days=250, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=True r-high52w-momentum-us-sp500-0189 | cost_bps: 5 n_stocks: 50 regime_gate: true | -0.32 | +0.52 | -1.53 | +0.27 |
lookback_days=250, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=True r-high52w-momentum-us-sp500-0203 | cost_bps: 10 n_stocks: 20 regime_gate: true | -0.97 | +0.88 | -2.35 | -1.78 |
lookback_days=250, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=True r-high52w-momentum-us-sp500-0217 | cost_bps: 5 n_stocks: 20 regime_gate: true | -0.26 | +1.64 | -0.74 | -1.47 |
lookback_days=250, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=True r-high52w-momentum-us-sp500-0231 | cost_bps: 10 n_stocks: 10 regime_gate: true | -0.13 | +1.35 | -0.91 | -1.17 |
lookback_days=500, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-high52w-momentum-us-sp500-0240 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.43 | -0.16 | -0.80 | -0.30 |
lookback_days=500, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=False r-high52w-momentum-us-sp500-0246 | cost_bps: 10 n_stocks: 10 regime_gate: false | -0.63 | +0.23 | -1.39 | -1.02 |
lookback_days=500, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False r-high52w-momentum-us-sp500-0260 | cost_bps: 5 n_stocks: 10 regime_gate: false | -1.04 | -1.14 | -0.75 | -1.89 |
lookback_days=500, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False r-high52w-momentum-us-sp500-0274 | cost_bps: 10 n_stocks: 5 regime_gate: false | -1.17 | -1.27 | -0.97 | -0.86 |
lookback_days=500, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False r-high52w-momentum-us-sp500-0288 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.94 | -1.39 | -0.71 | -0.72 |
lookback_days=500, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False r-high52w-momentum-us-sp500-0302 | cost_bps: 10 n_stocks: 50 regime_gate: false | -0.70 | -0.55 | -0.75 | -1.31 |
Target universe
S&P 500 constituents, ~503 stocks
Related strategies
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-30T01:20:51