Momentum · month-end rule · Micro caps
12-1 Momentum on MicroCloud Hologram
What the play says
Latest reading: 12-1 return −64.1%
HOLO 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 2022
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding HOLO over exactly the same dates, after costs.
| Play, since 2022 | Hold, since 2022 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | −35.1% | −93.2% | −35.1% | −93.2% |
| Total return | −83% | −100% | −83% | −100% |
| Worst drawdown | −90.0% | −100.0% | −90.0% | −100.0% |
| Volatility | 55.4% | 577.7% | 55.4% | 577.7% |
| Sharpe ratio | −0.50 | 0.24 | −0.50 | 0.24 |
| Time invested | 6% | 100% | ||
| Switches per year | 0.7 | 0 |
Every call, graded
Right on 1 of 3 closed calls (33%). In calls averaged −58.8%; out calls saw HOLO move −49.4% on average.
| Called | Call | Price | Until | HOLO moved | Result |
|---|---|---|---|---|---|
| Oct 31, 2023 | OUT | $6,032.00 | now | −100.0% | open |
| Sep 29, 2023 | IN | $10,640 | Oct 31, 2023 | −43.3% | ✕ wrong |
| Oct 31, 2022 | OUT | $21,040 | Sep 29, 2023 | −49.4% | ✓ right |
| Aug 31, 2022 | IN | $81,760 | Oct 31, 2022 | −74.3% | ✕ wrong |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 4 of 4 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.