Momentum · month-end rule · Energy & power
12-1 Momentum on Athabasca Oil
What the play says
Latest reading: 12-1 return 59.6%
ATH with the play, last two years
Shading shows the play's call from the close that triggered it.
Return from 12 months to 1 month ago
Dashed line at 0.
Growth of C$10,000 since 2011
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding ATH over exactly the same dates, after costs.
| Play, since 2011 | Hold, since 2011 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +9.1% | −1.4% | +62.7% | +65.7% |
| Total return | +283% | −19% | +1,027% | +1,134% |
| Worst drawdown | −87.1% | −99.4% | −43.4% | −43.4% |
| Volatility | 34.8% | 58.6% | 46.8% | 48.9% |
| Sharpe ratio | 0.38 | 0.24 | 1.19 | 1.20 |
| Time invested | 47% | 100% | ||
| Switches per year | 1.0 | 0 |
Every call, graded
Right on 7 of 16 closed calls (44%). In calls averaged +83.3%; out calls saw ATH move −11.8% on average.
| Called | Call | Price | Until | ATH moved | Result |
|---|---|---|---|---|---|
| Aug 29, 2025 | IN | C$6.02 | now | +103.0% | open |
| May 30, 2025 | OUT | C$5.16 | Aug 29, 2025 | +16.7% | ✕ wrong |
| Apr 30, 2025 | IN | C$4.54 | May 30, 2025 | +13.7% | ✓ right |
| Feb 28, 2025 | OUT | C$4.76 | Apr 30, 2025 | −4.6% | ✓ right |
| Mar 31, 2021 | IN | C$0.530 | Feb 28, 2025 | +798.1% | ✓ right |
| Dec 31, 2018 | OUT | C$0.990 | Mar 31, 2021 | −46.5% | ✓ right |
| May 31, 2018 | IN | C$1.75 | Dec 31, 2018 | −43.4% | ✕ wrong |
| May 31, 2017 | OUT | C$1.23 | May 31, 2018 | +42.3% | ✕ wrong |
| Jan 31, 2017 | IN | C$1.66 | May 31, 2017 | −25.9% | ✕ wrong |
| Oct 31, 2014 | OUT | C$3.65 | Jan 31, 2017 | −54.5% | ✓ right |
| Sep 30, 2014 | IN | C$5.73 | Oct 31, 2014 | −36.3% | ✕ wrong |
| Aug 29, 2014 | OUT | C$7.92 | Sep 30, 2014 | −27.7% | ✓ right |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 12 of 17 calls shown.
How the play works
- In at month-end when the return from 12 months ago to 1 month ago is above zero.
- Out when it is zero or below.
Jegadeesh and Titman ranked thousands of stocks and bought the winners. Testing one stock against zero is time-series momentum, a related idea.
The skip-a-month form came later; their 1993 paper skipped at most a week.
The case against
Valeriy Zakamulin tested moving-average timing on up to 155 years of U.S. stock data and found no statistically significant edge in the second half of that record. The rules earned their keep in a few severe bear markets and lagged buy and hold for long stretches in between.