Momentum · month-end rule · Software & devices
12-1 Momentum on Shopify
What the play says
Latest reading: 12-1 return −1.2%
SHOP 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 2016
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding SHOP over exactly the same dates, after costs.
| Play, since 2016 | Hold, since 2016 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +43.3% | +49.2% | +5.5% | +7.6% |
| Total return | +3,990% | +6,088% | +30% | +44% |
| Worst drawdown | −62.7% | −83.5% | −62.7% | −83.5% |
| Volatility | 49.8% | 57.6% | 49.5% | 64.5% |
| Sharpe ratio | 0.92 | 0.94 | 0.28 | 0.38 |
| Time invested | 84% | 100% | ||
| Switches per year | 0.9 | 0 |
Every call, graded
Right on 7 of 9 closed calls (78%). In calls averaged +325.6%; out calls saw SHOP move +3.4% on average.
| Called | Call | Price | Until | SHOP moved | Result |
|---|---|---|---|---|---|
| Jul 31, 2026 | OUT | C$164.18 | now | +52.9% | open |
| Sep 30, 2024 | IN | C$108.35 | Jul 31, 2026 | +51.5% | ✓ right |
| Aug 30, 2024 | OUT | C$99.81 | Sep 30, 2024 | +8.6% | ✕ wrong |
| Jul 31, 2024 | IN | C$84.56 | Aug 30, 2024 | +18.0% | ✓ right |
| Jun 28, 2024 | OUT | C$90.41 | Jul 31, 2024 | −6.5% | ✓ right |
| Apr 28, 2023 | IN | C$65.64 | Jun 28, 2024 | +37.7% | ✓ right |
| Feb 28, 2022 | OUT | C$87.99 | Apr 28, 2023 | −25.4% | ✓ right |
| Aug 31, 2016 | IN | C$5.44 | Feb 28, 2022 | +1,517.5% | ✓ right |
| Jun 30, 2016 | OUT | C$3.98 | Aug 31, 2016 | +36.8% | ✕ wrong |
| May 31, 2016 | IN | C$3.85 | Jun 30, 2016 | +3.4% | ✓ right |
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.