The Ledger · Public record

52-Week-High Momentum

Spec frozenspec ea58…b2f6 ✓deployed 2026-08-03by houseForward-tested 2 days1d

Execution model · Paper trading on end-of-day data: signals are evaluated on the daily close and filled per the strategy's entry price field with the same slippage assumption as backtests. The deployed spec is frozen (hash-verified); the ledger is append-only.

Share on X

Original backtest (in-sample, 2016 →)

CAGR: 12.20%
Total return: +238%
Max drawdown: 24.4%
Sharpe: 0.79

Live forward test (out-of-sample, since 2026-08-03)

Forward return: -0.64%
Max drawdown: 0.6%
Days live: 2
Ledger signals: 4

Forward paper equity

Drawdown

Open paper positions

AMZN — 70 shares since 2026-08-03 @ 284.16
V — 54 shares since 2026-08-03 @ 365.85

Signals ledger

append-only — rows can never be edited or deleted

Date	Action	Symbol	Price	Shares	Reason
2026-08-03	Entry	AMZN	284.16	70	RULE_LONG
2026-08-03	Entry	V	365.85	54	RULE_LONG
2026-08-03	Entry	UNH	415.57	48	RULE_LONG
2026-08-04	Exit	UNH	407.35	48	RULE_EXIT

Frozen strategy rules (immutable since deployment)

{
  "backtest_timeframe": "1d",
  "description": "Close within 5% of the 252-day high, trail with sma_50.",
  "entry_price_field": "close",
  "entry_rule_long": "(close >= high_252 * 0.95) & (close > sma_200)",
  "exit_rule": "close < sma_50",
  "indicators": [
    {
      "length": 252,
      "name": "high_252",
      "source": "close",
      "type": "rolling_max"
    },
    {
      "length": 50,
      "name": "sma_50",
      "source": "close",
      "type": "sma"
    },
    {
      "length": 200,
      "name": "sma_200",
      "source": "close",
      "type": "sma"
    }
  ],
  "max_holding_days": 0,
  "max_positions": 5,
  "name": "52-Week-High Momentum",
  "position_size_mode": "notional_pct",
  "position_size_pct": 20,
  "stop_loss_pct": 0,
  "symbols": [
    "AAPL",
    "MSFT",
    "NVDA",
    "AMZN",
    "META",
    "GOOGL",
    "LLY",
    "AVGO",
    "COST",
    "V",
    "UNH",
    "HD"
  ],
  "take_profit_pct": 0
}

Forward testing has no survivorship bias — signals are recorded as they happen, on the symbols the strategy actually watches. Historical simulation for research and education. Not financial advice. Past performance does not predict future results.