Momentum · month-end rule · Software & devices
12-1 Momentum on CrowdStrike
What the play says
Latest reading: 12-1 return 88.4%
CRWD 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 2020
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding CRWD over exactly the same dates, after costs.
| Play, since 2020 | Hold, since 2020 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +27.4% | +44.8% | +11.6% | +31.2% |
| Total return | +354% | +915% | +73% | +286% |
| Worst drawdown | −62.7% | −67.7% | −62.7% | −67.7% |
| Volatility | 44.5% | 52.6% | 42.0% | 52.6% |
| Sharpe ratio | 0.70 | 0.91 | 0.38 | 0.71 |
| Time invested | 72% | 100% | ||
| Switches per year | 1.0 | 0 |
Every call, graded
Right on 2 of 6 closed calls (33%). In calls averaged +67.6%; out calls saw CRWD move +35.8% on average.
| Called | Call | Price | Until | CRWD moved | Result |
|---|---|---|---|---|---|
| Jun 30, 2026 | IN | $190.78 | now | +36.9% | open |
| Apr 30, 2026 | OUT | $111.44 | Jun 30, 2026 | +71.2% | ✕ wrong |
| Oct 31, 2023 | IN | $44.19 | Apr 30, 2026 | +152.2% | ✓ right |
| May 31, 2022 | OUT | $40.00 | Oct 31, 2023 | +10.5% | ✕ wrong |
| Mar 31, 2022 | IN | $56.77 | May 31, 2022 | −29.5% | ✕ wrong |
| Jan 31, 2022 | OUT | $45.16 | Mar 31, 2022 | +25.7% | ✕ wrong |
| Jun 30, 2020 | IN | $25.07 | Jan 31, 2022 | +80.1% | ✓ right |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 7 of 7 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.