High Watermark Momentum (Momentum)

George–Hwang 52-week-high momentum: buys when price closes within 5% of its 252-bar high and holds until it falls more than 15% below that high-water mark.

How It Works

1. Track the 252-bar high — the highest close of roughly the past year of bars, the market's high-water mark.
2. Buy when the close comes within 5% of that high (at or above 95% of it): markets pressing against their yearly high tend to keep going, partly because investors hesitate to buy near a high and the move unfolds slowly.
3. Sell only when the close falls more than 15% below the high-water mark — the wide gap between the 5% entry and the 15% exit leaves room for normal pullbacks without shaking the position out.

Worked example. The 252-bar high is 120, so the entry line sits at 0.95 · 120 = 114 and the exit line at 0.85 · 120 = 102. A close at 114.5 buys. Price pushes to a new high of 130, lifting the exit line to 110.5; a later slide to a 110 close crosses it and sells at roughly −4% — but had the rally continued, the trade would have stayed on indefinitely.

The Math Behind The Indicators

Everything runs on closing prices of the traded timeframe: P is a close, P_t today's close, and N counts bars — one bar is one candle of that timeframe, so 20 bars on a 1h chart is 20 hours.

Rolling High (High-Water Mark)

The highest close of the last N bars — the market's high-water mark over the window. How close price sits to it tells you whether the market is pressing into new highs or has fallen away from them.

\[\mathrm{High}_N = \max(P_t, P_{t-1}, \ldots, P_{t-N+1})\]

Example: If the highest close of the last 252 bars is 120 and price is now 115, price sits at 115 / 120 ≈ 96% of its high-water mark — within 5% of the high.

Example Chart

Real Data42/ 100Composite score

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Resampled Data51/ 100Composite score

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