Fifty-Two Week High Leaderboard compounded at +16.1% a year from 2016-10-24 to 2026-10-05, with a worst drawdown of -34.5% (high drawdown). It ranks 4 of 6 re-run strategies by drawdown, shallowest first.
The rule in one line: The strategy chooses among eight leveraged index ETFs, such as TQQQ, UPRO and SOXL.
| Worst drop (max drawdown) | -34.5% |
|---|---|
| Yearly growth (CAGR) | +16.1% |
| Return per unit of risk (Sharpe) | 0.73 |
| Total return | +338.3% |
| S&P 500 (SPY), same period | +322.2% |
| Return ÷ drawdown | 0.47 |
| Period | 2016-10-24 – 2026-10-05 (9.9 years) |
| Risk tier | High drawdown |
| Drawdown rank | 4 / 6 |
Backtest = historical simulation on past prices, not real trading.
Equity curve of a $10,000 start, with SPY dashed.
The strategy chooses among eight leveraged index ETFs, such as TQQQ, UPRO and SOXL. It rebalances weekly, on the first trading day of the week, using only prices from completed days, and trades at the next day's open. First it checks the market: SPY must be above its 200-day moving average and must not be lower than it was 60 trading days ago. If either condition fails, the whole portfolio goes into a Treasury bill ETF (BIL).
When the market check passes, each fund is scored by how close its price is to its highest close of the past year, divided by how much its price has swung over the last 20 days. The two highest-scoring funds are bought in equal amounts. The total is reduced if the pair's recent volatility is above 35% a year, cut to at most half if SPY is below its 50-day average, and capped further when SPY itself becomes very volatile. Any unused money stays in cash.
Two safety rules run every day. If a held fund closes 10% below its highest close since purchase, the whole portfolio moves to BIL until the next weekly review. If the account falls 15% from its peak, it moves to BIL for about ten trading days and returns only once the market check passes again.
| Universe | Growth pool: TQQQ, UPRO, SOXL, FNGU, BULZ, TECL, TNA, SPXL; defensive: BIL (SHY only if BIL has no price); market signal and benchmark: SPY. |
|---|---|
| Rebalancing | Weekly, on the first trading day of each week. A 10% trailing stop and a 15% account drawdown breaker are checked every day. |
| Execution | Signals use completed daily closes only; orders fill at the next session's open and positions are marked at the close. Holdings drift with prices between rebalances. |
| Trading costs | 0.10% per buy or sell leg times turnover, intended to cover commission, slippage and spread together. |
| Leverage | Holds only 2x/3x leveraged ETFs: two names in equal weight, up to 100% combined before volatility scaling. No margin. |
| Risk controls | Weak market: 100% BIL. Size cut toward 35% basket volatility; half size below SPY's 50-day average. Any holding 10% off its post-entry high: all to BIL. 15% drawdown: BIL for about 10 days. |
| Price data | Public daily price data adjusted for dividends and splits. BIL earns its adjusted return; any unallocated residual sits in cash earning 0%. |
| Known limitations | A stop on one fund liquidates both holdings. The 10% stop level is sensitive: nearby values change results sharply. Hand-picked surviving ETFs; parameters chosen on the same 10-year window. |
Across the 9 full calendar years in the test, the strategy beat SPY in 4. Its best year was 2017 (+72.9% against SPY's +21.7%) and its weakest was 2022 (-9.8% against -18.2%). It finished 1 full year with a loss (2022). In 2018, when SPY fell 4.6%, the strategy returned +7.5%. In 2022, when SPY fell 18.2%, the strategy returned -9.8%.
SPY fell more than 10% from a high 3 times in this window (2018-09-20 to 2018-12-24: SPY -19.4%, strategy -15.1%; 2020-02-19 to 2020-03-23: SPY -33.7%, strategy -11.0%; 2022-01-03 to 2022-10-12: SPY -24.5%, strategy -8.3%). The strategy lost less than the index in 3 of 3 of those declines, so its rules did act as a brake when the whole market sold off.
Labelled by SPY's trend (above a rising 200-day average = uptrend, below a falling one = downtrend, anything else = sideways), the strategy averaged an annualized +22.6% on uptrend days (79% of the test) against SPY's +23.4%, so it trailed the index in steady rising markets. On sideways days (8%), which is where trend breaks and the first leg of sell-offs land, it averaged -16.0% against SPY's -77.2%; on downtrend days (10%), which include the sharp rebounds inside bear markets, -5.6% against +27.1%. Its losses were most concentrated in uptrend stretches: 95% of all losing-day losses came on 79% of the days.
On days SPY rose, the strategy captured 124% of the index's gains; on days SPY fell, it took 126% of the index's losses, an amplified profile that moved more than the index in both directions. 64% of months ended positive; the best month was 2020-08 (+18.8%) and the worst was 2026-06 (-15.2%).
The deepest drawdown on the daily curve ran from a peak on 2021-05-07 to a trough on 2023-03-28 (about 23 months of decline), a fall of -34.5%. Over the same stretch SPY returned -3.4%, so this loss was specific to the strategy rather than a market-wide sell-off. It regained the previous high on 2024-01-25, about 33 months after the peak.
| Year | Strategy | SPY | Difference |
|---|---|---|---|
| 2016 (partial) | +7.4% | +4.6% | +2.8% |
| 2017 | +72.9% | +21.7% | +51.2% |
| 2018 | +7.5% | -4.6% | +12.1% |
| 2019 | +16.5% | +31.2% | -14.7% |
| 2020 | +17.6% | +18.3% | -0.7% |
| 2021 | +7.7% | +28.7% | -21.0% |
| 2022 | -9.8% | -18.2% | +8.4% |
| 2023 | +12.3% | +26.2% | -13.9% |
| 2024 | +31.7% | +24.9% | +6.8% |
| 2025 | +17.5% | +17.7% | -0.2% |
| 2026 (partial) | -4.3% | +14.5% | -18.8% |
| Peak | Trough | Recovered | Fall | SPY, peak to trough |
|---|---|---|---|---|
| 2021-05-07 | 2023-03-28 | 2024-01-25 | -34.5% | -3.4% |
| 2024-07-16 | 2025-02-28 | 2025-09-19 | -28.2% | +5.9% |
| 2019-04-30 | 2019-08-23 | 2020-01-02 | -22.3% | -2.6% |
| SPY trend | Share of days | Strategy, annualized average | SPY, annualized average |
|---|---|---|---|
| Uptrend | 79% | +22.6% | +23.4% |
| Sideways | 8% | -16.0% | -77.2% |
| Downtrend | 10% | -5.6% | +27.1% |
Computed from the daily equity curve of the same re-run (2016-10-24 to 2026-10-05). Trend labels classify each day after the fact (SPY above a rising 200-day average = uptrend, below a falling one = downtrend, otherwise sideways); they describe the past and are not a trading signal. Annualized averages are the mean daily return in that group times 252.
The worst peak-to-trough fall was -34.5%: a $10,000 account would have dropped to about $6,551 at that point before recovering. The +16.1% CAGR is the annual rate that compounds the start value into the end value over 9.9 years; the return-to-drawdown ratio of 0.47 says how many points of annual return each point of worst-case loss bought. Compare strategies on that pair, not on CAGR alone.
Re-run on 2026-10-07 with the strategy's current code on historical prices — a systematic take on The 52-Week High Anomaly. Numbers change when the strategy is re-run on newer data. The full write-up explains the rules.
All strategy backtests, lowest drawdown first
Disclosure. Backtests are hypothetical simulations on historical data. They do not include every real-world cost, are not live results, and do not guarantee future returns. Educational research only, not investment advice.