52-week-high momentum on GLD — Published Backtest & Verdict

The rule did its defensive job — it exited on 2026-03-13 at 460.84 and sat out gold's fall to 355.78 by 2026-10-30, and it cut max drawdown to -16.2% vs -28.3% — but it paid for that protection by missing 46 points of buy-and-hold's return. Seven winners and twelve losers: the winners were simply much bigger. A smoother ride, not a better one. We publish losers too.

• Total return: +97.8% (trailed buy-and-hold at +143.9%)
• CAGR: +10.5% vs +14.0% buy-and-hold
• Max drawdown: -16.2% vs -28.3% buy-and-hold
• Win rate: 36.8% over 19 trades
• Period: 2020-01-03 to 2026-10-30 (GLD), published 2026-10-31

Cost assumption: slippage and commissions aren't modeled — fills are assumed at the exact closing price with no trading fees, the same assumption stated on How We Backtest. Real execution will differ, usually for the worse.

The claim on trial

Hold gold only while its price stays within 5% of its 52-week high — momentum near the highs beats buy-and-hold.

The exact rules

• Trailing 52-week high = highest adjusted close of the trailing 252 bars (including the current bar). Warmup 252 bars; strategy window starts 2020-01-03 (first weekly check with a full trailing window).
• Checked weekly, at the last trading bar of each calendar week.
• Close ≥ 95% of the trailing high → buy / stay long at that close. Close < 95% of the trailing high → sell at that close.
• Entry on bar i starts earning on bar i+1 (no look-ahead); exit on bar i retains bar i's return.
• Long only, fully invested when long, cash earns 0%. No transaction costs, no taxes modeled.

Our honest verdict

The rule did its defensive job — it exited on 2026-03-13 at 460.84 and sat out gold's fall to 355.78 by 2026-10-30, and it cut max drawdown to -16.2% vs -28.3% — but it paid for that protection by missing 46 points of buy-and-hold's return (+97.8% vs +143.9%). Seven winners and twelve losers: the winners were simply much bigger (avg win +14.94%, avg loss -2.32%). A smoother ride, not a better one.

Full trade log on Substack · Original X thread · StratIQ track record · All published backtests

Charted on TradingView (affiliate link — we may earn a commission at no extra cost to you): tradingview.com

Not financial advice — research and education only; do your own due diligence.