Mean reversion · daily rule · Crypto
Mayer Multiple on Bitcoin
What the play says
BTC with the play, last two years
Shading shows the play's call from the close that triggered it.
Growth of $10,000 since 2015
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding BTC over exactly the same dates, after costs.
| Play, since 2015 | Hold, since 2015 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +64.5% | +64.9% | +7.7% | +7.7% |
| Total return | +30,990% | +31,786% | +45% | +45% |
| Worst drawdown | −78.7% | −83.4% | −76.6% | −76.6% |
| Volatility | 63.0% | 65.2% | 51.1% | 51.1% |
| Sharpe ratio | 1.07 | 1.06 | 0.33 | 0.33 |
| Time invested | 99% | 100% | ||
| Switches per year | 1.7 | 0 |
Every call, graded
Right on 15 of 20 closed calls (75%). In calls averaged +156.4%; out calls saw BTC move +0.5% on average.
| Called | Call | Price | Until | BTC moved | Result |
|---|---|---|---|---|---|
| Mar 14, 2021 | IN | $59,302 | now | +40.1% | open |
| Mar 13, 2021 | OUT | $61,243 | Mar 14, 2021 | −3.2% | ✓ right |
| Feb 23, 2021 | IN | $48,824 | Mar 13, 2021 | +25.4% | ✓ right |
| Feb 11, 2021 | OUT | $47,909 | Feb 23, 2021 | +1.9% | ✕ wrong |
| Feb 10, 2021 | IN | $44,918 | Feb 11, 2021 | +6.7% | ✓ right |
| Feb 8, 2021 | OUT | $46,196 | Feb 10, 2021 | −2.8% | ✓ right |
| Jan 15, 2021 | IN | $36,825 | Feb 8, 2021 | +25.4% | ✓ right |
| Jan 13, 2021 | OUT | $37,316 | Jan 15, 2021 | −1.3% | ✓ right |
| Jan 11, 2021 | IN | $35,567 | Jan 13, 2021 | +4.9% | ✓ right |
| Jan 5, 2021 | OUT | $33,992 | Jan 11, 2021 | +4.6% | ✕ wrong |
| Jun 27, 2019 | IN | $11,183 | Jan 5, 2021 | +204.0% | ✓ right |
| Jun 26, 2019 | OUT | $13,016 | Jun 27, 2019 | −14.1% | ✓ 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 21 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.