Momentum · month-end rule · Energy & power
12-1 Momentum on Headwater Exploration
What the play says
Latest reading: 12-1 return 98.4%
HWX 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 HWX over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +23.4% | +11.8% | +28.0% | +31.1% |
| Total return | +9,271% | +1,017% | +242% | +285% |
| Worst drawdown | −66.2% | −97.0% | −36.3% | −38.3% |
| Volatility | 43.7% | 62.7% | 34.2% | 37.9% |
| Sharpe ratio | 0.66 | 0.46 | 0.78 | 0.80 |
| Time invested | 64% | 100% | ||
| Switches per year | 1.2 | 0 |
Every call, graded
Right on 14 of 27 closed calls (52%). In calls averaged +57.9%; out calls saw HWX move −3.1% on average.
| Called | Call | Price | Until | HWX moved | Result |
|---|---|---|---|---|---|
| Aug 29, 2025 | IN | C$6.46 | now | +121.5% | open |
| Mar 31, 2025 | OUT | C$6.02 | Aug 29, 2025 | +7.3% | ✕ wrong |
| Nov 29, 2024 | IN | C$6.21 | Mar 31, 2025 | −3.1% | ✕ wrong |
| Sep 30, 2024 | OUT | C$5.72 | Nov 29, 2024 | +8.7% | ✕ wrong |
| Jun 30, 2023 | IN | C$5.34 | Sep 30, 2024 | +7.1% | ✓ right |
| Jan 31, 2023 | OUT | C$5.29 | Jun 30, 2023 | +0.8% | ✕ wrong |
| Jan 31, 2020 | IN | C$1.00 | Jan 31, 2023 | +429.1% | ✓ right |
| Nov 29, 2019 | OUT | C$0.608 | Jan 31, 2020 | +64.5% | ✕ wrong |
| Oct 31, 2019 | IN | C$0.600 | Nov 29, 2019 | +1.3% | ✓ right |
| Jul 31, 2019 | OUT | C$0.520 | Oct 31, 2019 | +15.4% | ✕ wrong |
| Jun 28, 2019 | IN | C$0.528 | Jul 31, 2019 | −1.5% | ✕ wrong |
| May 31, 2019 | OUT | C$0.552 | Jun 28, 2019 | −4.3% | ✓ 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 28 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.