Mean reversion · daily rule · Energy & power
Mayer Multiple on Athabasca Oil
What the play says
ATH with the play, last two years
Shading shows the play's call from the close that triggered it.
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 ATH over exactly the same dates, after costs.
| Play, since 2011 | Hold, since 2011 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | −0.9% | −1.9% | +65.7% | +65.7% |
| Total return | −13% | −26% | +1,134% | +1,134% |
| Worst drawdown | −99.4% | −99.4% | −43.4% | −43.4% |
| Volatility | 57.9% | 58.3% | 48.9% | 48.9% |
| Sharpe ratio | 0.24 | 0.23 | 1.20 | 1.20 |
| Time invested | 99% | 100% | ||
| Switches per year | 1.2 | 0 |
Every call, graded
Right on 14 of 18 closed calls (78%). In calls averaged +1.0%; out calls saw ATH move −1.8% on average.
| Called | Call | Price | Until | ATH moved | Result |
|---|---|---|---|---|---|
| Jul 6, 2021 | IN | C$0.940 | now | +1,200.0% | open |
| Jun 15, 2021 | OUT | C$0.880 | Jul 6, 2021 | +6.8% | ✕ wrong |
| Jun 7, 2021 | IN | C$0.790 | Jun 15, 2021 | +11.4% | ✓ right |
| Jun 4, 2021 | OUT | C$0.800 | Jun 7, 2021 | −1.2% | ✓ right |
| Jun 3, 2021 | IN | C$0.780 | Jun 4, 2021 | +2.6% | ✓ right |
| May 31, 2021 | OUT | C$0.770 | Jun 3, 2021 | +1.3% | ✕ wrong |
| May 19, 2021 | IN | C$0.710 | May 31, 2021 | +8.5% | ✓ right |
| May 14, 2021 | OUT | C$0.720 | May 19, 2021 | −1.4% | ✓ right |
| May 13, 2021 | IN | C$0.680 | May 14, 2021 | +5.9% | ✓ right |
| May 3, 2021 | OUT | C$0.700 | May 13, 2021 | −2.9% | ✓ right |
| Mar 22, 2021 | IN | C$0.510 | May 3, 2021 | +37.3% | ✓ right |
| Mar 19, 2021 | OUT | C$0.530 | Mar 22, 2021 | −3.8% | ✓ right |
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 19 calls shown.
How the play works
- In while the close is less than 2.4 times its 200-day average.
- Out when it reaches 2.4 or more.
Mayer used it to decide when to keep buying, not when to sell. Selling above 2.4 is Be The Puck's reading.
On ordinary stocks a price 2.4 times the 200-day is rare, so this is close to buy and hold.
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.