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academic_high52w

George-Hwang 2004 52-week-high momentum

Themes & universe

momentumequity_usequity_cnequity_hk1d

Formula

\mathrm{zscore}_{x}\bigl(\mathrm{close}_t / \mathrm{ts\_max}(\mathrm{close},\,252)\bigr)

Definition

id

academic_high52w

zoo

academic

module_path

src.factors.zoo.academic.high52w

decay_horizon

60

min_warmup_bars

252

requires_sector

False

columns_required

close

Notes

George & Hwang (2004) 52-week-high momentum. Ratio of current close to the trailing 252-day maximum close, cross-sectional z-score per date for long-short ranking. Top z-scores = names trading nearest their 52-week high. Canonical 252d window; declared decay_horizon=60 due to registry schema cap (le=60); real signal horizon spans months.

Run it

pip install vibe-trading-ai
vibe-trading alpha show academic_high52w
vibe-trading alpha bench --zoo academic --universe csi300 --period 2020-2025