Momentum · month-end rule · Energy & power
12-1 Momentum on CES Energy Solutions
What the play says
Latest reading: 12-1 return 99.7%
CEU 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 2007
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding CEU over exactly the same dates, after costs.
| Play, since 2007 | Hold, since 2007 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +23.3% | +23.6% | +44.9% | +60.7% |
| Total return | +5,746% | +6,090% | +533% | +961% |
| Worst drawdown | −62.4% | −94.3% | −41.8% | −41.8% |
| Volatility | 34.0% | 50.0% | 40.4% | 41.4% |
| Sharpe ratio | 0.74 | 0.64 | 1.03 | 1.26 |
| Time invested | 61% | 100% | ||
| Switches per year | 1.1 | 0 |
Every call, graded
Right on 9 of 21 closed calls (43%). In calls averaged +59.4%; out calls saw CEU move +9.7% on average.
| Called | Call | Price | Until | CEU moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2025 | IN | C$9.27 | now | +116.4% | open |
| May 30, 2025 | OUT | C$6.10 | Sep 30, 2025 | +51.9% | ✕ wrong |
| Jun 30, 2023 | IN | C$2.47 | May 30, 2025 | +147.5% | ✓ right |
| May 31, 2023 | OUT | C$2.20 | Jun 30, 2023 | +12.1% | ✕ wrong |
| Mar 31, 2021 | IN | C$1.42 | May 31, 2023 | +54.5% | ✓ right |
| Nov 30, 2017 | OUT | C$5.19 | Mar 31, 2021 | −72.6% | ✓ right |
| Nov 30, 2016 | IN | C$5.87 | Nov 30, 2017 | −11.7% | ✕ wrong |
| Dec 31, 2014 | OUT | C$4.98 | Nov 30, 2016 | +17.9% | ✕ wrong |
| Apr 30, 2013 | IN | C$3.06 | Dec 31, 2014 | +63.0% | ✓ right |
| Jan 31, 2013 | OUT | C$2.85 | Apr 30, 2013 | +7.3% | ✕ wrong |
| Dec 31, 2012 | IN | C$2.57 | Jan 31, 2013 | +10.8% | ✓ right |
| Oct 31, 2012 | OUT | C$2.46 | Dec 31, 2012 | +4.6% | ✕ wrong |
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 22 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.