Momentum · month-end rule · Crypto
12-1 Momentum on Bitcoin
What the play says
Latest reading: 12-1 return −31.1%
BTC 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 $10,000 since 2015
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding BTC over exactly the same dates, after costs.
| Play, since 2015 | Hold, since 2015 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +44.0% | +70.0% | +7.5% | +7.7% |
| Total return | +5,512% | +34,880% | +44% | +45% |
| Worst drawdown | −90.4% | −83.4% | −65.9% | −76.6% |
| Volatility | 58.7% | 65.9% | 39.0% | 51.1% |
| Sharpe ratio | 0.88 | 1.10 | 0.28 | 0.33 |
| Time invested | 72% | 100% | ||
| Switches per year | 0.9 | 0 |
Every call, graded
Right on 4 of 10 closed calls (40%). In calls averaged +247.3%; out calls saw BTC move +61.4% on average.
| Called | Call | Price | Until | BTC moved | Result |
|---|---|---|---|---|---|
| Dec 31, 2025 | OUT | $87,509 | now | −5.0% | open |
| Jun 30, 2023 | IN | $30,477 | Dec 31, 2025 | +187.1% | ✓ right |
| Jun 30, 2022 | OUT | $19,785 | Jun 30, 2023 | +54.0% | ✕ wrong |
| May 31, 2022 | IN | $31,792 | Jun 30, 2022 | −37.8% | ✕ wrong |
| Feb 28, 2022 | OUT | $43,193 | May 31, 2022 | −26.4% | ✓ right |
| Aug 31, 2020 | IN | $11,681 | Feb 28, 2022 | +269.8% | ✓ right |
| Jun 30, 2020 | OUT | $9,137.99 | Aug 31, 2020 | +27.8% | ✕ wrong |
| Jun 30, 2019 | IN | $10,817 | Jun 30, 2020 | −15.5% | ✕ wrong |
| Nov 30, 2018 | OUT | $4,017.27 | Jun 30, 2019 | +169.3% | ✕ wrong |
| Dec 31, 2015 | IN | $430.57 | Nov 30, 2018 | +833.0% | ✓ right |
| Sep 30, 2015 | OUT | $236.06 | Dec 31, 2015 | +82.4% | ✕ wrong |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 11 of 11 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.