Mean reversion · daily rule · Metals & mining
Mayer Multiple on G Mining Ventures
What the play says
GMIN with the play, last two years
Shading shows the play's call from the close that triggered it.
Growth of C$10,000 since 2020
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding GMIN over exactly the same dates, after costs.
| Play, since 2020 | Hold, since 2020 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +108.5% | +92.8% | +71.9% | +71.9% |
| Total return | +9,031% | +5,543% | +1,381% | +1,381% |
| Worst drawdown | −58.6% | −61.3% | −43.6% | −43.6% |
| Volatility | 78.6% | 81.5% | 55.5% | 55.5% |
| Sharpe ratio | 1.25 | 1.14 | 1.18 | 1.18 |
| Time invested | 96% | 100% | ||
| Switches per year | 1.6 | 0 |
Every call, graded
Right on 9 of 10 closed calls (90%). In calls averaged +65.7%; out calls saw GMIN move −8.7% on average.
| Called | Call | Price | Until | GMIN moved | Result |
|---|---|---|---|---|---|
| Feb 12, 2021 | IN | C$5.20 | now | +811.5% | open |
| Feb 10, 2021 | OUT | C$6.00 | Feb 12, 2021 | −13.3% | ✓ right |
| Feb 5, 2021 | IN | C$5.04 | Feb 10, 2021 | +19.0% | ✓ right |
| Jan 29, 2021 | OUT | C$5.80 | Feb 5, 2021 | −13.1% | ✓ right |
| Jan 4, 2021 | IN | C$4.00 | Jan 29, 2021 | +45.0% | ✓ right |
| Oct 23, 2020 | OUT | C$3.56 | Jan 4, 2021 | +12.4% | ✕ wrong |
| Sep 25, 2020 | IN | C$1.60 | Oct 23, 2020 | +122.5% | ✓ right |
| Sep 24, 2020 | OUT | C$1.90 | Sep 25, 2020 | −15.8% | ✓ right |
| Sep 23, 2020 | IN | C$1.64 | Sep 24, 2020 | +15.9% | ✓ right |
| Sep 22, 2020 | OUT | C$1.90 | Sep 23, 2020 | −13.7% | ✓ right |
| Aug 10, 2020 | IN | C$0.840 | Sep 22, 2020 | +126.2% | ✓ right |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 11 of 11 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.