Momentum · month-end rule · Energy & power
12-1 Momentum on Tamarack Valley Energy
What the play says
Latest reading: 12-1 return 126.9%
TVE 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 2009
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding TVE over exactly the same dates, after costs.
| Play, since 2009 | Hold, since 2009 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +13.0% | +14.9% | +39.8% | +37.2% |
| Total return | +753% | +1,039% | +429% | +383% |
| Worst drawdown | −82.7% | −94.3% | −47.9% | −53.7% |
| Volatility | 40.6% | 73.3% | 37.7% | 42.4% |
| Sharpe ratio | 0.47 | 0.51 | 0.98 | 0.87 |
| Time invested | 51% | 100% | ||
| Switches per year | 1.0 | 0 |
Every call, graded
Right on 7 of 17 closed calls (41%). In calls averaged +22.1%; out calls saw TVE move +10.1% on average.
| Called | Call | Price | Until | TVE moved | Result |
|---|---|---|---|---|---|
| Jun 30, 2025 | IN | C$4.72 | now | +199.5% | open |
| May 30, 2025 | OUT | C$4.26 | Jun 30, 2025 | +10.8% | ✕ wrong |
| Nov 29, 2024 | IN | C$4.27 | May 30, 2025 | −0.2% | ✕ wrong |
| Oct 31, 2024 | OUT | C$3.96 | Nov 29, 2024 | +7.8% | ✕ wrong |
| Apr 30, 2024 | IN | C$3.49 | Oct 31, 2024 | +13.5% | ✓ right |
| Jan 31, 2023 | OUT | C$4.27 | Apr 30, 2024 | −18.3% | ✓ right |
| Feb 26, 2021 | IN | C$1.85 | Jan 31, 2023 | +130.5% | ✓ right |
| Dec 31, 2018 | OUT | C$2.03 | Feb 26, 2021 | −8.9% | ✓ right |
| Apr 30, 2018 | IN | C$3.07 | Dec 31, 2018 | −33.7% | ✕ wrong |
| Mar 31, 2017 | OUT | C$2.51 | Apr 30, 2018 | +22.3% | ✕ wrong |
| May 31, 2016 | IN | C$3.28 | Mar 31, 2017 | −23.6% | ✕ wrong |
| Dec 31, 2014 | OUT | C$2.81 | May 31, 2016 | +16.9% | ✕ 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 18 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.