Market Pulse: The Wilcox Strategy on the Stockholm Stock Exchange

On Fridays, the focus is on systematic stock strategies, strategies with clear rules for when we buy and sell, and how we manage positions and risk. Last week, we tested the Wilcox strategy on US stocks: buy stocks that close at their highest price ever, and stay with a wide stop that only moves up. It has held up for over 20 years, but since its publication in 2005, the excess return in the US has almost disappeared.

Today we are taking the strategy to the Stockholm Stock Exchange. The test includes all stocks on the main list since 1996, including those that have been acquired, gone bankrupt or delisted. For the first time, we are also counting dividends and comparing against the SIX Return Index. The stock must have a daily turnover of at least one million kronor, preference shares are excluded, and brokerage and slippage are included.

The study's rules outright only yielded just over five percent per year, as they are built for hundreds of shares at a time and leave most of the capital in cash. We have therefore adapted the strategy in three steps to a Swedish version with a maximum of 30 holdings and no leverage.

The result:

• The strategy returned 16.2 percent per year, compared to 10.6 percent for the SIX Return Index. The largest decline was 28 percent, compared to 67 percent for the index during the IT crash.
• Since its publication in 2005, on data that no one had seen when the rules were set, the strategy has yielded 16.6 percent per year compared to 11.3 for the index. Unlike the US, the lead has held.
• 56 percent of the trades were profitable. The average profit was 62 percent and the average loss was 15 percent. The strategy beat the index 22 out of 29 years, and over five years in 24 out of 25 periods.

In the video we go through how the rules have been adjusted, when the strategy works well and when it doesn't, and why the breadth of the market is what matters. We also look at why 2026 has been a weak year for the strategy, and how it differs from our own trend-following strategy NQ Trend Following OMX.

Everything we show is historical simulations and not a recommendation to buy or sell.

Click here to download (PDF) the study Does Trend Following Work on Stocks?

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