Momentum · month-end rule · Software & devices
12-1 Momentum on Datadog
What the play says
Latest reading: 12-1 return 66.5%
DDOG 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 DDOG over exactly the same dates, after costs.
| Play, since 2020 | Hold, since 2020 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +15.3% | +18.2% | +9.4% | +12.8% |
| Total return | +136% | +174% | +56% | +82% |
| Worst drawdown | −58.3% | −68.1% | −58.3% | −68.1% |
| Volatility | 49.1% | 58.1% | 48.7% | 59.5% |
| Sharpe ratio | 0.47 | 0.52 | 0.34 | 0.43 |
| Time invested | 74% | 100% | ||
| Switches per year | 1.0 | 0 |
Every call, graded
Right on 2 of 6 closed calls (33%). In calls averaged −3.9%; out calls saw DDOG move +9.7% on average.
| Called | Call | Price | Until | DDOG moved | Result |
|---|---|---|---|---|---|
| Feb 27, 2026 | IN | $111.96 | now | +153.1% | open |
| Jan 30, 2026 | OUT | $129.32 | Feb 27, 2026 | −13.4% | ✓ right |
| Jul 31, 2025 | IN | $139.98 | Jan 30, 2026 | −7.6% | ✕ wrong |
| Mar 31, 2025 | OUT | $99.21 | Jul 31, 2025 | +41.1% | ✕ wrong |
| Aug 31, 2023 | IN | $96.48 | Mar 31, 2025 | +2.8% | ✓ right |
| Jun 30, 2022 | OUT | $95.24 | Aug 31, 2023 | +1.3% | ✕ wrong |
| Sep 30, 2020 | IN | $102.16 | Jun 30, 2022 | −6.8% | ✕ wrong |
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.