Momentum · month-end rule · Metals & mining
12-1 Momentum on Endeavour Silver
What the play says
Latest reading: 12-1 return 36.2%
EDR 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 EDR over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +2.5% | +8.8% | +6.4% | +15.3% |
| Total return | +69% | +521% | +36% | +103% |
| Worst drawdown | −91.3% | −88.2% | −54.5% | −73.1% |
| Volatility | 48.2% | 68.2% | 52.7% | 67.8% |
| Sharpe ratio | 0.25 | 0.44 | 0.31 | 0.49 |
| Time invested | 53% | 100% | ||
| Switches per year | 1.5 | 0 |
Every call, graded
Right on 14 of 32 closed calls (44%). In calls averaged +6.6%; out calls saw EDR move +17.3% on average.
| Called | Call | Price | Until | EDR moved | Result |
|---|---|---|---|---|---|
| Jun 30, 2025 | IN | C$6.71 | now | +74.8% | open |
| May 30, 2025 | OUT | C$4.93 | Jun 30, 2025 | +36.1% | ✕ wrong |
| Jun 28, 2024 | IN | C$4.81 | May 30, 2025 | +2.5% | ✓ right |
| Sep 29, 2023 | OUT | C$3.32 | Jun 28, 2024 | +44.9% | ✕ wrong |
| Aug 31, 2023 | IN | C$3.85 | Sep 29, 2023 | −13.8% | ✕ wrong |
| Jul 31, 2023 | OUT | C$4.66 | Aug 31, 2023 | −17.4% | ✓ right |
| Apr 28, 2023 | IN | C$5.28 | Jul 31, 2023 | −11.7% | ✕ wrong |
| Dec 31, 2021 | OUT | C$5.35 | Apr 28, 2023 | −1.3% | ✓ right |
| Jul 31, 2020 | IN | C$5.83 | Dec 31, 2021 | −8.2% | ✕ wrong |
| Feb 28, 2020 | OUT | C$2.14 | Jul 31, 2020 | +172.4% | ✕ wrong |
| Jan 31, 2020 | IN | C$2.81 | Feb 28, 2020 | −23.8% | ✕ wrong |
| Dec 31, 2019 | OUT | C$3.13 | Jan 31, 2020 | −10.2% | ✓ 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 33 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.