Momentum · month-end rule · Energy & power
12-1 Momentum on Tourmaline Oil
What the play says
Latest reading: 12-1 return 8.1%
TOU 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 TOU over exactly the same dates, after costs.
| Play, since 2011 | Hold, since 2011 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +10.6% | +8.6% | +12.5% | +15.6% |
| Total return | +343% | +237% | +79% | +106% |
| Worst drawdown | −50.9% | −87.7% | −32.5% | −32.5% |
| Volatility | 22.9% | 34.9% | 27.1% | 30.5% |
| Sharpe ratio | 0.48 | 0.36 | 0.43 | 0.50 |
| Time invested | 52% | 100% | ||
| Switches per year | 1.6 | 0 |
Every call, graded
Right on 13 of 24 closed calls (54%). In calls averaged +28.4%; out calls saw TOU move −0.2% on average.
| Called | Call | Price | Until | TOU moved | Result |
|---|---|---|---|---|---|
| Jul 31, 2026 | IN | C$61.41 | now | +5.3% | open |
| Jun 30, 2026 | OUT | C$58.82 | Jul 31, 2026 | +4.4% | ✕ wrong |
| Apr 30, 2026 | IN | C$64.76 | Jun 30, 2026 | −9.2% | ✕ wrong |
| Mar 31, 2026 | OUT | C$65.52 | Apr 30, 2026 | −1.2% | ✓ right |
| Feb 27, 2026 | IN | C$62.55 | Mar 31, 2026 | +4.7% | ✓ right |
| Jan 30, 2026 | OUT | C$62.94 | Feb 27, 2026 | −0.6% | ✓ right |
| Dec 31, 2025 | IN | C$60.14 | Jan 30, 2026 | +4.7% | ✓ right |
| Sep 30, 2025 | OUT | C$57.92 | Dec 31, 2025 | +3.8% | ✕ wrong |
| Jun 30, 2025 | IN | C$62.50 | Sep 30, 2025 | −7.3% | ✕ wrong |
| May 30, 2025 | OUT | C$58.42 | Jun 30, 2025 | +7.0% | ✕ wrong |
| Nov 29, 2024 | IN | C$60.92 | May 30, 2025 | −4.1% | ✕ wrong |
| Jul 31, 2024 | OUT | C$54.76 | Nov 29, 2024 | +11.2% | ✕ 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 25 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.