Momentum · month-end rule · Metals & mining
12-1 Momentum on Discovery Silver
What the play says
Latest reading: 12-1 return 139.1%
DSV 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 2015
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding DSV over exactly the same dates, after costs.
| Play, since 2015 | Hold, since 2015 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +42.7% | +65.5% | +66.0% | +51.2% |
| Total return | +4,724% | +24,140% | +1,147% | +682% |
| Worst drawdown | −73.9% | −81.5% | −55.1% | −76.6% |
| Volatility | 60.9% | 131.1% | 56.5% | 78.4% |
| Sharpe ratio | 0.84 | 0.84 | 1.11 | 0.86 |
| Time invested | 52% | 100% | ||
| Switches per year | 1.0 | 0 |
Every call, graded
Right on 6 of 11 closed calls (55%). In calls averaged +43.8%; out calls saw DSV move +115.9% on average.
| Called | Call | Price | Until | DSV moved | Result |
|---|---|---|---|---|---|
| Oct 31, 2024 | IN | C$0.950 | now | +1,175.8% | open |
| Sep 30, 2024 | OUT | C$0.690 | Oct 31, 2024 | +37.7% | ✕ wrong |
| Jun 28, 2024 | IN | C$0.880 | Sep 30, 2024 | −21.6% | ✕ wrong |
| Feb 28, 2022 | OUT | C$1.80 | Jun 28, 2024 | −51.1% | ✓ right |
| Jan 31, 2022 | IN | C$1.75 | Feb 28, 2022 | +2.9% | ✓ right |
| Dec 31, 2021 | OUT | C$2.08 | Jan 31, 2022 | −15.9% | ✓ right |
| Nov 30, 2021 | IN | C$1.89 | Dec 31, 2021 | +10.1% | ✓ right |
| Aug 31, 2021 | OUT | C$1.74 | Nov 30, 2021 | +8.6% | ✕ wrong |
| Aug 30, 2019 | IN | C$0.570 | Aug 31, 2021 | +205.3% | ✓ right |
| Dec 29, 2017 | OUT | C$0.490 | Aug 30, 2019 | +16.3% | ✕ wrong |
| Aug 31, 2016 | IN | C$0.400 | Dec 29, 2017 | +22.5% | ✓ right |
| Oct 30, 2015 | OUT | C$0.0500 | Aug 31, 2016 | +700.0% | ✕ 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 12 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.