Momentum · month-end rule · Software & devices
12-1 Momentum on Strategy (MicroStrategy)
What the play says
Latest reading: 12-1 return −58.7%
MSTR 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 2005
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding MSTR over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +6.4% | +15.1% | +26.3% | +16.0% |
| Total return | +285% | +2,013% | +219% | +110% |
| Worst drawdown | −77.3% | −89.3% | −64.0% | −84.1% |
| Volatility | 46.1% | 59.3% | 65.3% | 91.0% |
| Sharpe ratio | 0.33 | 0.50 | 0.62 | 0.57 |
| Time invested | 60% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 11 of 30 closed calls (37%). In calls averaged +31.1%; out calls saw MSTR move +19.8% on average.
| Called | Call | Price | Until | MSTR moved | Result |
|---|---|---|---|---|---|
| Nov 28, 2025 | OUT | $177.18 | now | −14.1% | open |
| May 31, 2023 | IN | $30.16 | Nov 28, 2025 | +487.4% | ✓ right |
| Jan 31, 2022 | OUT | $36.80 | May 31, 2023 | −18.0% | ✓ right |
| Nov 30, 2020 | IN | $34.28 | Jan 31, 2022 | +7.4% | ✓ right |
| Mar 31, 2020 | OUT | $11.81 | Nov 30, 2020 | +190.2% | ✕ wrong |
| Sep 30, 2019 | IN | $14.84 | Mar 31, 2020 | −20.4% | ✕ wrong |
| Aug 30, 2019 | OUT | $14.33 | Sep 30, 2019 | +3.5% | ✕ wrong |
| Mar 29, 2019 | IN | $14.43 | Aug 30, 2019 | −0.7% | ✕ wrong |
| Nov 30, 2018 | OUT | $12.96 | Mar 29, 2019 | +11.3% | ✕ wrong |
| Aug 31, 2018 | IN | $14.90 | Nov 30, 2018 | −13.0% | ✕ wrong |
| Aug 31, 2017 | OUT | $12.90 | Aug 31, 2018 | +15.5% | ✕ wrong |
| Nov 30, 2016 | IN | $19.40 | Aug 31, 2017 | −33.5% | ✕ 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 31 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.