Momentum · month-end rule · Micro caps
12-1 Momentum on Quantum X
What the play says
Latest reading: 12-1 return −26.7%
QUTX 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 2012
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding QUTX over exactly the same dates, after costs.
| Play, since 2012 | Hold, since 2012 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | −58.9% | −79.3% | −16.3% | −95.0% |
| Total return | −100% | −100% | −59% | −100% |
| Worst drawdown | −100.0% | −100.0% | −90.0% | −100.0% |
| Volatility | 154.2% | 330,205.4% | 106.5% | 451.0% |
| Sharpe ratio | 0.11 | 0.27 | 0.28 | 0.55 |
| Time invested | 28% | 100% | ||
| Switches per year | 0.8 | 0 |
Every call, graded
Right on 3 of 12 closed calls (25%). In calls averaged −65.7%; out calls saw QUTX move +6,718.3% on average.
| Called | Call | Price | Until | QUTX moved | Result |
|---|---|---|---|---|---|
| Mar 31, 2026 | OUT | $0.00120 | now | −25.0% | open |
| Mar 31, 2025 | IN | $0.00180 | Mar 31, 2026 | −33.3% | ✕ wrong |
| Dec 31, 2021 | OUT | $1,000.00 | Mar 31, 2025 | −100.0% | ✓ right |
| Nov 30, 2021 | IN | $1,850.00 | Dec 31, 2021 | −45.9% | ✕ wrong |
| Sep 30, 2019 | OUT | $3,100,000 | Nov 30, 2021 | −99.9% | ✓ right |
| Oct 31, 2018 | IN | $140,000,000 | Sep 30, 2019 | −97.8% | ✕ wrong |
| Oct 31, 2017 | OUT | $20,000,000 | Oct 31, 2018 | +600.0% | ✕ wrong |
| Oct 31, 2016 | IN | $64,950,000 | Oct 31, 2017 | −69.2% | ✕ wrong |
| Jun 30, 2015 | OUT | $200,000 | Oct 31, 2016 | +32,375.0% | ✕ wrong |
| Jul 31, 2014 | IN | $100,000,000 | Jun 30, 2015 | −99.8% | ✕ wrong |
| May 31, 2013 | OUT | $1,300,000 | Jul 31, 2014 | +7,592.3% | ✕ wrong |
| Apr 30, 2013 | IN | $2,500,000 | May 31, 2013 | −48.0% | ✕ wrong |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 12 of 13 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.