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Momentum and rotation
Does 52-week-high momentum measure the size of the gain, or how close price is to the high?
Long-window high momentum · 52-week-high momentum
What it bets
The closer price is to its own high over a long stretch, the more likely it is to stay strong afterward.
How the rule is written
George and Hwang, on stocks in 2004, divide price by the high of the past 52 weeks. Closer to 1 is stronger, and that score is then ranked across the basket. A 52-week window is a habit of the stock calendar. On a perpetual, the long window first has to be written as a number of bars. 52 is not a natural cycle of a coin.
When it fails
A name that has just left its high can still show a large total gain. If the system is actually ranking total gain, it has become cross-sectional momentum, and it is no longer this method.
Do not confuse it with
Cross-sectional momentum looks at the return over the formation period. A Donchian breakout looks at whether a new high printed, and it enters on that print. This high momentum looks at the distance from the high, and it is usually compared inside a basket.