Momentum · month-end rule · Healthcare
12-1 Momentum on NeuroPace
What the play says
Latest reading: 12-1 return 42.1%
NPCE 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 NPCE over exactly the same dates, after costs.
| Play, since 2022 | Hold, since 2022 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +14.3% | +13.6% | +14.3% | +13.6% |
| Total return | +81% | +76% | +81% | +76% |
| Worst drawdown | −63.5% | −81.8% | −63.5% | −81.8% |
| Volatility | 52.9% | 83.6% | 52.9% | 83.6% |
| Sharpe ratio | 0.44 | 0.52 | 0.44 | 0.52 |
| Time invested | 53% | 100% | ||
| Switches per year | 2.0 | 0 |
Every call, graded
Right on 6 of 9 closed calls (67%). In calls averaged +23.1%; out calls saw NPCE move −0.3% on average.
| Called | Call | Price | Until | NPCE moved | Result |
|---|---|---|---|---|---|
| Dec 31, 2025 | IN | $15.44 | now | −17.9% | open |
| Nov 28, 2025 | OUT | $16.36 | Dec 31, 2025 | −5.6% | ✓ right |
| May 30, 2025 | IN | $13.22 | Nov 28, 2025 | +23.8% | ✓ right |
| Jan 31, 2025 | OUT | $13.76 | May 30, 2025 | −3.9% | ✓ right |
| Dec 31, 2024 | IN | $11.19 | Jan 31, 2025 | +23.0% | ✓ right |
| Nov 29, 2024 | OUT | $10.60 | Dec 31, 2024 | +5.6% | ✕ wrong |
| Oct 31, 2024 | IN | $6.45 | Nov 29, 2024 | +64.3% | ✓ right |
| Aug 30, 2024 | OUT | $7.92 | Oct 31, 2024 | −18.6% | ✓ right |
| Sep 29, 2023 | IN | $9.73 | Aug 30, 2024 | −18.6% | ✕ wrong |
| Apr 29, 2022 | OUT | $8.04 | Sep 29, 2023 | +21.0% | ✕ wrong |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 10 of 10 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.