Mean reversion · daily rule · Crypto
Mayer Multiple on Ether
What the play says
ETH with the play, last two years
Shading shows the play's call from the close that triggered it.
Growth of $10,000 since 2018
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding ETH over exactly the same dates, after costs.
| Play, since 2018 | Hold, since 2018 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +18.0% | +20.7% | −7.1% | −7.1% |
| Total return | +301% | +384% | −31% | −31% |
| Worst drawdown | −86.4% | −86.4% | −79.4% | −79.4% |
| Volatility | 79.2% | 81.0% | 68.7% | 68.7% |
| Sharpe ratio | 0.58 | 0.61 | 0.18 | 0.18 |
| Time invested | 98% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 8 of 12 closed calls (67%). In calls averaged +38.2%; out calls saw ETH move +3.1% on average.
| Called | Call | Price | Until | ETH moved | Result |
|---|---|---|---|---|---|
| May 16, 2021 | IN | $3,587.51 | now | −30.4% | open |
| May 3, 2021 | OUT | $3,431.09 | May 16, 2021 | +4.6% | ✕ wrong |
| Feb 23, 2021 | IN | $1,570.20 | May 3, 2021 | +118.5% | ✓ right |
| Feb 1, 2021 | OUT | $1,369.04 | Feb 23, 2021 | +14.7% | ✕ wrong |
| Jan 31, 2021 | IN | $1,314.99 | Feb 1, 2021 | +4.1% | ✓ right |
| Jan 28, 2021 | OUT | $1,332.49 | Jan 31, 2021 | −1.3% | ✓ right |
| Jan 27, 2021 | IN | $1,253.19 | Jan 28, 2021 | +6.3% | ✓ right |
| Jan 22, 2021 | OUT | $1,236.51 | Jan 27, 2021 | +1.3% | ✕ wrong |
| Jan 21, 2021 | IN | $1,121.57 | Jan 22, 2021 | +10.2% | ✓ right |
| Jan 13, 2021 | OUT | $1,130.74 | Jan 21, 2021 | −0.8% | ✓ right |
| Jan 12, 2021 | IN | $1,043.43 | Jan 13, 2021 | +8.4% | ✓ right |
| Jan 4, 2021 | OUT | $1,040.23 | Jan 12, 2021 | +0.3% | ✕ 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 13 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.