Momentum · month-end rule · Software & devices
12-1 Momentum on Lightspeed Commerce
What the play says
Latest reading: 12-1 return −9.1%
LSPD 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 2020
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding LSPD over exactly the same dates, after costs.
| Play, since 2020 | Hold, since 2020 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +6.6% | −1.1% | −20.5% | −34.5% |
| Total return | +52% | −7% | −68% | −88% |
| Worst drawdown | −78.5% | −93.0% | −72.8% | −91.1% |
| Volatility | 36.2% | 62.6% | 25.7% | 58.8% |
| Sharpe ratio | 0.28 | 0.24 | −0.90 | −0.49 |
| Time invested | 28% | 100% | ||
| Switches per year | 1.7 | 0 |
Every call, graded
Right on 7 of 11 closed calls (64%). In calls averaged +5.0%; out calls saw LSPD move −2.6% on average.
| Called | Call | Price | Until | LSPD moved | Result |
|---|---|---|---|---|---|
| Mar 31, 2025 | OUT | C$12.59 | now | +16.5% | open |
| Feb 28, 2025 | IN | C$18.26 | Mar 31, 2025 | −31.1% | ✕ wrong |
| Nov 29, 2024 | OUT | C$26.25 | Feb 28, 2025 | −30.4% | ✓ right |
| Oct 31, 2024 | IN | C$21.05 | Nov 29, 2024 | +24.7% | ✓ right |
| May 31, 2024 | OUT | C$19.76 | Oct 31, 2024 | +6.5% | ✕ wrong |
| Apr 30, 2024 | IN | C$18.03 | May 31, 2024 | +9.6% | ✓ right |
| Mar 28, 2024 | OUT | C$19.05 | Apr 30, 2024 | −5.4% | ✓ right |
| Dec 29, 2023 | IN | C$27.82 | Mar 28, 2024 | −31.5% | ✕ wrong |
| Dec 31, 2021 | OUT | C$51.08 | Dec 29, 2023 | −45.5% | ✓ right |
| Sep 30, 2020 | IN | C$42.66 | Dec 31, 2021 | +19.7% | ✓ right |
| Apr 30, 2020 | OUT | C$26.37 | Sep 30, 2020 | +61.8% | ✕ wrong |
| Mar 31, 2020 | IN | C$19.04 | Apr 30, 2020 | +38.5% | ✓ 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 12 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.