No. of Recommendations: 3
...since P will never be higher than H.
Just a small geek note, this is true only if you're using the same lag for price as for the high calculation. Which I don't, so it isn't for me.
I suggested a lag on the H52 interval precisely because it allows the current price to be higher than the "high", which among other things removes almost all ties.
On the subject of whether to use price/low, price/high, or price/midpoint as a momentum final sort, I lean towards midpoint (or high) because it works more of the time. With price/low, sometimes you will see a higher CAGR as the headline of the backtest. But sometimes a huge fraction of that seemingly impressive performance is in just a couple of amazing bursts right after a market crash as opposed to having alpha most of the time. I would probably prefer to run the variant with the best "median rolling year outperformance relative to market". Easier to stick with, for one thing.
Jim
