Home / Ideas / 52-Week-High Proximity Rotation
52-Week-High Proximity Rotation
buy the sectors closest to their yearly high, not the ones with the biggest trailing return
George & Hwang (2004) show nearness to the 52-week high predicts returns better than trailing return and does not reverse long-term; Hong-Jordan-Liu find the industry-level version earns ~0.60%/month, roughly 50% above the stock-level effect, driven by anchoring bias. This is a *price-level* signal, mechanically distinct from every return-ranked momentum idea already logged.
Universe
11 SPDR sector ETFs (XLK, XLF, XLE, XLV, XLI, XLY, XLP, XLU, XLB, XLRE, XLC).
How it works
each month rank ETFs by price ÷ trailing 252-day high (PRILAG), long the top 3 equal-weight, hold ~1 month with monthly rebalance.
Expected performance
Research-derived Sharpe estimate: 0.4–0.8.
Backtest this idea with SignalChain
This is a research lead — not a finished backtest. SignalChain takes an idea like this and runs the whole pipeline inside Claude Code: it researches the concept against academic and practitioner sources, sets benchmarks, writes and lints a VectorBT backtest, runs it, and grades the result PASS/FAIL. One command:
/signalchain Long-only cross-sectional momentum on 11 SPDR sector ETFs ranked by price-to-252-day-high ratio, hold top 3, monthly rebalance
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Research & sources
- onlinelibrary.wiley.com — onlinelibrary.wiley.com
- papers.ssrn.com — papers.ssrn.com
- quantpedia.com — quantpedia.com
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Not financial advice. This page describes a research idea, not a recommendation. Any performance figures are hypothetical, research-derived estimates and are not indicative of future results. SignalChain is a research and educational tool; you are solely responsible for any decisions you make.