52-Week-High Anchoring, Point-in-Time S&P 500 Long-Short: long the stocks closest to their 52-week high, short those farthest below it, monthly rebalance with a hysteresis band, dollar-neutral 1.0x gross (USEQ 1-DAY, 675 PIT members, next-open fills, pure OHLCV)

Original Research Lead hypothesis, built on George & Hwang (2004, 'The 52-Week High and Momentum Investing', Journal of Finance 59(5)). Mechanism: investors anchor on a stock's 52-week high. Good news arriving when price is near that high is under-reacted to, because traders treat the high as a ceiling and sell into it. Bad news on stocks far below their high is also under-reacted to, because holders hesitate to sell at a large loss. Prices therefore drift toward the information: stocks near their 52-week high keep outperforming, and stocks far below it keep underperforming. George & Hwang show this nearness measure subsumes most of Jegadeesh-Titman return momentum and, unlike momentum, does not reverse at long horizons. It is a different signal from the abandoned S&P residual-momentum run (fee_edge, past-return ranking). Here the rank is price relative to its own anchor, not past return. Venue and data: USEQ US stocks, 1-DAY bars, pure OHLCV with no supplementary feed (L189). Zero commission and about 1 bp half-spread make a monthly long-short book cheap to run. USEQ is 9.7% of the corpus. Stock-level S&P baskets have only 2 prior runs in 1,869 hypotheses. Long-short and monthly-horizon buckets are both under target. UNIVERSE, point in time (survivorship rule): every stock that was an S&P 500 member at any time from 2005-01-01 to the present and has daily bars in the catalog. That is 675 names from `python -m src.data.listings sp500 --start 2005-01-01 --end 2026-10-01 --with-data`, listed in `instruments` after SPY. SPY.USEQ is the primary instrument and is used ONLY as the session clock; it is never traded. On each rebalance, candidates are `self.universe_at(index='sp500')` with at least `lookback_sessions` completed daily bars of their own. Set `parameters['point_in_time_universe'] = True`. A held name that leaves the index is sold at the next rebalance (index_member False). Residual bias: companies acquired or bankrupt are mostly missing from the free source; state this in the report. SIGNAL per candidate at the rebalance close: ratio = close / max(daily HIGH over the last lookback_sessions bars, including today). Values near 1 are at the anchor; low values are far below it. BOOK: dollar-neutral, gross 1.0x of equity. The long book (50% of equity) is equal-weighted across the names in the top `entry_frac` of ratio; the short book (50% of equity) is equal-weighted across the bottom `entry_frac`. HYSTERESIS to cut turnover: a held long stays while its ratio rank is inside the top `exit_frac`, a held short stays while inside the bottom `exit_frac`. Vacated slots are refilled from the entry band, and both books are re-equal-weighted to 50% each at every rebalance. Re-equalizing is skipped for a leg whose weight drift is under 20% of its target, to avoid dust trades. EXECUTION: decide at the close of the last session of each calendar month (helpers: src.strategies.helpers.sessions / FactoryStrategy session helpers; never hard-code dates). Market orders fill at the next session's open (platform next_open_fill on USEQ, supported). Shorts use the USEQ Reg-T margin account. COST ARITHMETIC: the round trip is about 0.02-0.05% of notional (zero commission, 1 bp half-spread plus impact on S&P names). George & Hwang report about 0.45-0.65% per month for the 52-week-high long-short over 1963-2001 on all CRSP stocks. For large caps after publication I expect roughly a third of that, about 0.15-0.25% per month on the 1.0x gross book. With hysteresis, expected one-way monthly turnover is about 25-35% of each book. Monthly cost is then about 0.3 x 2 books x 0.5 x 0.04% = 0.012% of equity, more than 10x below the expected gross. Per trade: a leg is held about 3-4 months on average and captures about +/-0.4-0.8% relative to the opposite book, so the expected avg_trade_return_pct is about 0.3%, against the 0.05% USEQ floor. Pre-registered evidence count (L238): about 250 monthly rebalance periods over 2005-10 to 2026-09. Expected after-cost return is about +0.15% per period on equity. The per-name trade count (several thousand) overstates the independent evidence; the analyst should judge the period count. RISK CONTROL route (b): signal exits at the monthly rebalance with capped sizing. A single leg holds about 1-2% of equity, far below the 100% cap. Gross leverage is 1.0x, inside the 2x Reg-T limit and the 5x conservative-profile cap. Expected annualized volatility is 8-12%, inside the 60% band. No stop-loss: the source strategy has none, and per-name stops would turn a monthly cross-sectional book into a noise-driven trader. Not modelled: borrow cost on shorts (S&P names are general collateral at about 0.25-0.5%/yr, a known small drag) and dividends (short legs owe dividends in reality, long legs receive them; roughly a wash, with a small bias in favour of the long book because higher-yield value names tend to sit far from their highs). No performance pre-study was run; the numbers above come from the literature and the cost model.