Momentum · month-end rule · Micro caps
12-1 Momentum on Quantum Critical Metals
What the play says
Latest reading: 12-1 return −57.1%
LEAP 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 2013
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding LEAP over exactly the same dates, after costs.
| Play, since 2013 | Hold, since 2013 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +2.7% | −6.3% | +10.2% | +1.8% |
| Total return | +40% | −57% | +62% | +9% |
| Worst drawdown | −94.0% | −94.2% | −69.4% | −86.4% |
| Volatility | 106.1% | 175.6% | 110.5% | 192.3% |
| Sharpe ratio | 0.45 | 0.69 | 0.56 | 0.83 |
| Time invested | 42% | 100% | ||
| Switches per year | 2.6 | 0 |
Every call, graded
Right on 14 of 34 closed calls (41%). In calls averaged +8.4%; out calls saw LEAP move +8.7% on average.
| Called | Call | Price | Until | LEAP moved | Result |
|---|---|---|---|---|---|
| Apr 30, 2026 | OUT | C$0.0600 | now | 0.0% | open |
| Mar 31, 2026 | IN | C$0.0600 | Apr 30, 2026 | 0.0% | ✕ wrong |
| Feb 27, 2026 | OUT | C$0.120 | Mar 31, 2026 | −50.0% | ✓ right |
| Jan 31, 2025 | IN | C$0.0500 | Feb 27, 2026 | +140.0% | ✓ right |
| Nov 29, 2024 | OUT | C$0.0200 | Jan 31, 2025 | +150.0% | ✕ wrong |
| Sep 30, 2024 | IN | C$0.0250 | Nov 29, 2024 | −20.0% | ✕ wrong |
| Mar 31, 2023 | OUT | C$0.0700 | Sep 30, 2024 | −64.3% | ✓ right |
| Feb 28, 2023 | IN | C$0.0600 | Mar 31, 2023 | +16.7% | ✓ right |
| Jan 31, 2023 | OUT | C$0.0750 | Feb 28, 2023 | −20.0% | ✓ right |
| Dec 30, 2022 | IN | C$0.0550 | Jan 31, 2023 | +36.4% | ✓ right |
| Oct 31, 2022 | OUT | C$0.0400 | Dec 30, 2022 | +37.5% | ✕ wrong |
| Jul 29, 2022 | IN | C$0.0650 | Oct 31, 2022 | −38.5% | ✕ wrong |
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 35 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.