A 52-Week High Industry-Momentum Strategy for U.S. Stocks
Summary
The strategy ranks 20 industries each month using the market-cap-weighted average of each constituent stock’s current price divided by its trailing 52-week high. It buys stocks from the six highest-ranked industries and shorts stocks from the six lowest-ranked industries. Constituents are equally weighted, positions are held for three months, and one third of the portfolio is rebalanced monthly.
The code describes a QuantConnect implementation that limits its universe to the 500 most liquid U.S. stocks on NYSE, AMEX, and NASDAQ, uses daily price history to estimate 52-week highs, and applies leverage and a custom fee model. The document gives implementation details but reports no backtest results, performance statistics, or comparison with the broader research universe. Results may depend on data quality, industry classifications, execution costs, liquidity constraints, and the implementation’s universe and rebalancing choices.
Key ideas
- Stocks are ranked by their current price relative to their 52-week high.
- Industry scores use market-cap-weighted averages across constituent stocks.
- The strategy buys stocks in the six strongest industries and shorts stocks in the six weakest.
- Positions are equally weighted and held for three months, with monthly tranche rebalancing.
- The code uses a 500-stock liquid U.S. universe, which differs from the research description.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.