Mean reversion · daily rule · Energy & power
Mayer Multiple on Headwater Exploration
What the play says
HWX with the play, last two years
Shading shows the play's call from the close that triggered it.
Growth of C$10,000 since 2005
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding HWX over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +15.4% | +14.2% | +32.3% | +32.3% |
| Total return | +2,122% | +1,685% | +303% | +303% |
| Worst drawdown | −96.9% | −97.0% | −38.3% | −38.3% |
| Volatility | 62.7% | 62.8% | 38.0% | 38.0% |
| Sharpe ratio | 0.51 | 0.49 | 0.83 | 0.83 |
| Time invested | 100% | 100% | ||
| Switches per year | 0.5 | 0 |
Every call, graded
Right on 9 of 10 closed calls (90%). In calls averaged +57.7%; out calls saw HWX move −4.4% on average.
| Called | Call | Price | Until | HWX moved | Result |
|---|---|---|---|---|---|
| Mar 15, 2021 | IN | C$3.63 | now | +293.1% | open |
| Mar 11, 2021 | OUT | C$3.73 | Mar 15, 2021 | −2.6% | ✓ right |
| Feb 19, 2014 | IN | C$1.79 | Mar 11, 2021 | +108.0% | ✓ right |
| Feb 18, 2014 | OUT | C$1.84 | Feb 19, 2014 | −2.6% | ✓ right |
| Mar 7, 2005 | IN | C$2.16 | Feb 18, 2014 | −14.8% | ✕ wrong |
| Mar 3, 2005 | OUT | C$2.32 | Mar 7, 2005 | −6.9% | ✓ right |
| Feb 28, 2005 | IN | C$2.04 | Mar 3, 2005 | +13.7% | ✓ right |
| Feb 25, 2005 | OUT | C$2.16 | Feb 28, 2005 | −5.6% | ✓ right |
| Feb 23, 2005 | IN | C$2.02 | Feb 25, 2005 | +6.7% | ✓ right |
| Feb 22, 2005 | OUT | C$2.11 | Feb 23, 2005 | −4.2% | ✓ right |
| Nov 22, 2004 | IN | C$0.768 | Feb 22, 2005 | +175.0% | ✓ 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.