Momentum · month-end rule · Energy & power
12-1 Momentum on Strathcona Resources
What the play says
Latest reading: 12-1 return 62.8%
SCR 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 2011
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding SCR over exactly the same dates, after costs.
| Play, since 2011 | Hold, since 2011 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +12.1% | +2.2% | +14.6% | +8.8% |
| Total return | +485% | +40% | +97% | +52% |
| Worst drawdown | −65.7% | −95.2% | −58.3% | −78.1% |
| Volatility | 53.1% | 86.0% | 38.0% | 48.4% |
| Sharpe ratio | 0.44 | 0.43 | 0.45 | 0.34 |
| Time invested | 45% | 100% | ||
| Switches per year | 1.0 | 0 |
Every call, graded
Right on 9 of 16 closed calls (56%). In calls averaged +23.4%; out calls saw SCR move −9.3% on average.
| Called | Call | Price | Until | SCR moved | Result |
|---|---|---|---|---|---|
| Aug 29, 2025 | IN | C$27.44 | now | +50.7% | open |
| Mar 31, 2025 | OUT | C$20.77 | Aug 29, 2025 | +32.1% | ✕ wrong |
| Oct 31, 2024 | IN | C$19.26 | Mar 31, 2025 | +7.8% | ✓ right |
| Jul 31, 2024 | OUT | C$22.48 | Oct 31, 2024 | −14.3% | ✓ right |
| Jun 28, 2024 | IN | C$22.36 | Jul 31, 2024 | +0.5% | ✓ right |
| Dec 30, 2022 | OUT | C$29.53 | Jun 28, 2024 | −24.3% | ✓ right |
| Mar 31, 2021 | IN | C$15.95 | Dec 30, 2022 | +85.2% | ✓ right |
| Sep 28, 2018 | OUT | C$33.47 | Mar 31, 2021 | −52.4% | ✓ right |
| Jun 29, 2018 | IN | C$39.37 | Sep 28, 2018 | −15.0% | ✕ wrong |
| Oct 31, 2017 | OUT | C$38.39 | Jun 29, 2018 | +2.6% | ✕ wrong |
| Jul 29, 2016 | IN | C$24.61 | Oct 31, 2017 | +56.0% | ✓ right |
| Jun 30, 2015 | OUT | C$18.70 | Jul 29, 2016 | +31.6% | ✕ 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 17 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.