What I've done is taken all three major exchanges, over the past ten years, and implemented a strategy where I buy any stock that is at a 52 week high. After a certain amount of time I sell it, and perhaps buy it right back if it is again at a 52 week high. I've tested this method over 1, 3, 6, and 12 month holding times for each exchange. To calculate the average return I used the geometric mean to properly account for any volatility.
What I find is quite impressive. In fact, a strategy of buying every stock that is at a 52 week high completely outperformed the market, regardless of how long it is held. For comparison, over the past ten years the Nasdaq has gained 33%, the S&P has gained 2% and the illustrious Berkshire Hathaway A has risen a mere 80%
So here you go... the performance of the 'buy high' strategy for different holding periods.
6 Month Hold
10 Year performance Avg. Return
NYSE 245% 3.8%
Nasdaq 212% 3.2%
Amex 177% 2.4%