Momentum · month-end rule · Software & devices
12-1 Momentum on Palantir
What the play says
Latest reading: 12-1 return 2.2%
PLTR 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 2021
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding PLTR over exactly the same dates, after costs.
| Play, since 2021 | Hold, since 2021 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +51.4% | +53.6% | +52.0% | +54.3% |
| Total return | +697% | +758% | +704% | +765% |
| Worst drawdown | −48.2% | −77.6% | −48.2% | −77.6% |
| Volatility | 50.7% | 66.7% | 50.8% | 66.9% |
| Sharpe ratio | 0.99 | 0.91 | 1.00 | 0.92 |
| Time invested | 65% | 100% | ||
| Switches per year | 0.8 | 0 |
Every call, graded
Right on 2 of 4 closed calls (50%). In calls averaged +344.3%; out calls saw PLTR move +13.1% on average.
| Called | Call | Price | Until | PLTR moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2026 | IN | $187.05 | now | +11.6% | open |
| Jul 31, 2026 | OUT | $123.06 | Sep 30, 2026 | +52.0% | ✕ wrong |
| Jun 30, 2023 | IN | $15.33 | Jul 31, 2026 | +702.7% | ✓ right |
| Nov 30, 2021 | OUT | $20.65 | Jun 30, 2023 | −25.8% | ✓ right |
| Sep 30, 2021 | IN | $24.04 | Nov 30, 2021 | −14.1% | ✕ wrong |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 5 of 5 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.