Momentum · month-end rule · Metals & mining
12-1 Momentum on Equinox Gold
What the play says
Latest reading: 12-1 return 15.3%
EQX 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 EQX over exactly the same dates, after costs.
| Play, since 2015 | Hold, since 2015 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +25.6% | +22.9% | +17.8% | +8.4% |
| Total return | +1,174% | +897% | +126% | +50% |
| Worst drawdown | −57.7% | −80.5% | −52.7% | −69.3% |
| Volatility | 176.1% | 183.1% | 44.3% | 56.8% |
| Sharpe ratio | 0.37 | 0.41 | 0.51 | 0.36 |
| Time invested | 61% | 100% | ||
| Switches per year | 1.3 | 0 |
Every call, graded
Right on 10 of 15 closed calls (67%). In calls averaged +43.4%; out calls saw EQX move +1.0% on average.
| Called | Call | Price | Until | EQX moved | Result |
|---|---|---|---|---|---|
| Apr 30, 2024 | IN | C$7.42 | now | +97.5% | open |
| Mar 28, 2024 | OUT | C$8.14 | Apr 30, 2024 | −8.8% | ✓ right |
| Jun 30, 2023 | IN | C$6.05 | Mar 28, 2024 | +34.6% | ✓ right |
| May 31, 2022 | OUT | C$7.41 | Jun 30, 2023 | −18.4% | ✓ right |
| Apr 29, 2022 | IN | C$9.12 | May 31, 2022 | −18.8% | ✕ wrong |
| Apr 30, 2021 | OUT | C$9.90 | Apr 29, 2022 | −7.8% | ✓ right |
| Mar 29, 2019 | IN | C$6.22 | Apr 30, 2021 | +59.0% | ✓ right |
| Dec 31, 2018 | OUT | C$5.08 | Mar 29, 2019 | +22.5% | ✕ wrong |
| Nov 30, 2018 | IN | C$4.53 | Dec 31, 2018 | +12.1% | ✓ right |
| Oct 31, 2018 | OUT | C$5.03 | Nov 30, 2018 | −9.9% | ✓ right |
| Sep 28, 2018 | IN | C$4.78 | Oct 31, 2018 | +5.2% | ✓ right |
| Oct 31, 2017 | OUT | C$4.93 | Sep 28, 2018 | −3.0% | ✓ 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 16 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.