Momentum · month-end rule · Crypto
12-1 Momentum on Ether
What the play says
Latest reading: 12-1 return −40.5%
ETH 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 2018
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding ETH over exactly the same dates, after costs.
| Play, since 2018 | Hold, since 2018 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +18.0% | +47.3% | −23.9% | −7.1% |
| Total return | +268% | +2,004% | −75% | −31% |
| Worst drawdown | −82.9% | −79.4% | −82.9% | −79.4% |
| Volatility | 63.3% | 80.2% | 50.4% | 68.7% |
| Sharpe ratio | 0.54 | 0.85 | −0.37 | 0.18 |
| Time invested | 58% | 100% | ||
| Switches per year | 1.3 | 0 |
Every call, graded
Right on 5 of 10 closed calls (50%). In calls averaged +46.1%; out calls saw ETH move +49.0% on average.
| Called | Call | Price | Until | ETH moved | Result |
|---|---|---|---|---|---|
| May 31, 2026 | OUT | $2,004.34 | now | +24.6% | open |
| Feb 28, 2026 | IN | $1,965.05 | May 31, 2026 | +2.0% | ✓ right |
| Dec 31, 2025 | OUT | $2,967.04 | Feb 28, 2026 | −33.8% | ✓ right |
| Aug 31, 2025 | IN | $4,390.02 | Dec 31, 2025 | −32.4% | ✕ wrong |
| Feb 28, 2025 | OUT | $2,237.91 | Aug 31, 2025 | +96.2% | ✕ wrong |
| Jun 30, 2023 | IN | $1,933.19 | Feb 28, 2025 | +15.8% | ✓ right |
| Jun 30, 2022 | OUT | $1,067.30 | Jun 30, 2023 | +81.1% | ✕ wrong |
| Jul 31, 2020 | IN | $345.56 | Jun 30, 2022 | +208.9% | ✓ right |
| Apr 30, 2020 | OUT | $207.60 | Jul 31, 2020 | +66.5% | ✕ wrong |
| Nov 30, 2019 | IN | $152.54 | Apr 30, 2020 | +36.1% | ✓ right |
| Nov 30, 2018 | OUT | $113.17 | Nov 30, 2019 | +34.8% | ✕ wrong |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 11 of 11 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.