Momentum · month-end rule · Energy & power
12-1 Momentum on Baytex Energy
What the play says
Latest reading: 12-1 return 109.2%
BTE 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 2005
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding BTE over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +8.4% | +1.4% | +20.6% | +15.4% |
| Total return | +472% | +35% | +154% | +104% |
| Worst drawdown | −85.9% | −99.4% | −51.4% | −76.1% |
| Volatility | 31.3% | 55.1% | 36.8% | 51.3% |
| Sharpe ratio | 0.36 | 0.27 | 0.59 | 0.46 |
| Time invested | 49% | 100% | ||
| Switches per year | 1.1 | 0 |
Every call, graded
Right on 12 of 24 closed calls (50%). In calls averaged +33.9%; out calls saw BTE move −1.7% on average.
| Called | Call | Price | Until | BTE moved | Result |
|---|---|---|---|---|---|
| Dec 31, 2025 | IN | C$4.39 | now | +64.6% | open |
| Jul 31, 2024 | OUT | C$4.87 | Dec 31, 2025 | −9.9% | ✓ right |
| May 31, 2024 | IN | C$4.73 | Jul 31, 2024 | +2.9% | ✓ right |
| Mar 31, 2023 | OUT | C$4.72 | May 31, 2024 | +0.3% | ✕ wrong |
| Mar 31, 2021 | IN | C$1.22 | Mar 31, 2023 | +287.0% | ✓ right |
| Nov 30, 2018 | OUT | C$2.29 | Mar 31, 2021 | −46.7% | ✓ right |
| May 31, 2018 | IN | C$5.07 | Nov 30, 2018 | −54.9% | ✕ wrong |
| Mar 31, 2017 | OUT | C$4.23 | May 31, 2018 | +20.0% | ✕ wrong |
| Dec 30, 2016 | IN | C$6.11 | Mar 31, 2017 | −30.8% | ✕ wrong |
| Nov 30, 2016 | OUT | C$5.36 | Dec 30, 2016 | +13.9% | ✕ wrong |
| Sep 30, 2016 | IN | C$5.19 | Nov 30, 2016 | +3.4% | ✓ right |
| Nov 28, 2014 | OUT | C$21.37 | Sep 30, 2016 | −75.7% | ✓ 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 25 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.