How to define a Custom Membership Status?
If I understand you, there may be a problem that you are using 'monthly' rolling (i take it you mean 1 month rolling). Does that mean someone needs to have paid for 12 membership cycles? If so there is no way that civicrm currently handles setting Grace to be 12 months based on them having purchased 12 membership cycles. But perhaps that isn't the point.

A more common approach would be as follows, in case this provides some hints to you:


set a rolling 12 month (1 year) membership
set Grace to be 12 months starting from End Date and count is as 'current'
set Expired to start 12 months after End Date
make sure Grace is above Expired in your order of Member Status.