52-week high momentum

Buy US stocks that close at a new 200-day high and let the trend run. It builds on the tendency of stocks making new highs to keep rising, a well-documented anomaly in academic finance, and suits investors who want a simple trend-following strategy.

Strategy logic

• Buy stocks whose closing price is at a new 200-day high. 200 trading days is roughly one calendar year (52 weeks), so this is close to a 52-week high breakout.
• Rebalance every two weeks.
• Put at most 20% of the portfolio in any one stock.
• Sell a stock automatically if it falls 20% from its entry price.

Code

from finlab import data
from finlab.backtest import sim
from finlab.markets.us import USMarket

data.set_market('us')

close = data.get('price:adj_close')
close = close[close.index.dayofweek < 5]  # remove weekends

# Stock price at 200-day high
position = close == close.rolling(200).max()

# Biweekly rebalancing, 20% max position per stock, 20% stop-loss
report = sim(
    position,
    resample='2W',
    position_limit=0.2,
    stop_loss=0.2,
    market=USMarket(),
    fee_ratio=0.001,
    tax_ratio=0,
)
report.display()

How to adjust it

• rolling(200).max(): the 200-day rolling maximum price. A stock equals it only when it is at a new high. Change 200 to look for a shorter or longer high.
• resample='2W': rebalances every two weeks. A longer holding period gives breakout trades time to develop while keeping turnover manageable.
• position_limit=0.2: caps each stock at 20% of the portfolio, so no single name dominates.
• stop_loss=0.2: sells a position that drops 20% from its entry price, to limit downside risk.

Keep only highs that hold

The second strategy, "sustained new high", replaces the position line and keeps everything else the same:

# At least 3 of the last 5 days at a 200-day high
position = (close == close.rolling(200).max()).sustain(5, 3)

sustain(5, 3) requires the stock to have hit a 200-day high on at least 3 of the last 5 trading days. It removes stocks that only briefly touched a new high before pulling back and keeps those that stay strong near the top of their range. This variant is more selective: it tends to hold fewer but higher-conviction positions.

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