252-Day High Trading Strategy For Stocks

252-Day High Trading Strategy For Stocks (Complete Amibroker Code)

ByOddmund Groette Trading strategies

Is it smart to buy stocks setting 252-day highs? Let’s backtest a 252-day high trading strategy for stocks.

The 252-day high trading strategy for stocks returned 9.6% annually while using, on average, 83% of the capital.

252-day high trading strategy – trading rules

We make the following trading rules (with complete code for Amibroker):

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For this backtest we used Norgate survivorship free data and we the rotation function in Amibroker. We hold a max of ten positions each time. Commissions and slippage are not included in the backtest.

When we backtested the strategy on the stocks in the S/P 500 we got the following equity curve:

252-day high trading strategy
252-day high trading strategy

The drawdowns look like this:

252-day high trading strategy drawdowns
252-day high trading strategy drawdowns

The trading statistics and performance read like this: 234 trades, annual return of 9.6%, 48% win rate, max drawdown is 37%, and you are invested 83% of the time.

The image below shows the full summary of the trading performance:

252-day high trading strategy performance and returns
252-day high trading strategy performance and returns

I’ve got an Msc from Heriot-Watt University, Edinburgh (1996), in addition a to a business administration degree the Norwegian School of Management (BI – 1994). Did my mandatory military service in between.

After university, I worked two years as an auditor (1996-1998).

I co-founded Aksjeforum.com in 1998/99 - one of the first websites about trading and investing in Norway. It was later acquired by Digi.no in 2001.

I have written 4 books about trading (in Norwegian). One of them has sold 30,000 copies, a record for a financial book in Norway.

From 2001 until 2018 full-time independent prop trader (Series 7 in 2001) and investor.

2018-today: Investor, writer, analyst.

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