I thought of you when I came across, "The 52-Week High and Momentum Investing," paper referenced in Dual Momentum Investing by Antonacci. I wonder if there might be value in tweaking your strategy to focus on 52-week highs (or some other larger period). Additionally, you should be able to get your scanner to eliminate anything NOT on a 2+ week trend. Maybe that would lead to increased activity and profits? Additionally, this brief summary seems to indicate that even trading a security in proximity to its 52-week high could result in increased profits. Might be fun to experiment! Images attached.