Mean reversion · daily rule · Metals & mining
Mayer Multiple on K92 Mining
What the play says
KNT 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 KNT over exactly the same dates, after costs.
| Play, since 2011 | Hold, since 2011 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +21.7% | +21.7% | +32.2% | +32.2% |
| Total return | +1,738% | +1,739% | +302% | +302% |
| Worst drawdown | −82.0% | −82.0% | −54.5% | −54.5% |
| Volatility | 60.0% | 60.1% | 49.4% | 49.4% |
| Sharpe ratio | 0.59 | 0.59 | 0.73 | 0.73 |
| Time invested | 100% | 100% | ||
| Switches per year | 0.1 | 0 |
Every call, graded
Right on 1 of 2 closed calls (50%). In calls averaged +23.3%; out calls saw KNT move 0.0% on average.
| Called | Call | Price | Until | KNT moved | Result |
|---|---|---|---|---|---|
| Aug 16, 2016 | IN | C$1.85 | now | +1,391.4% | open |
| Jul 21, 2016 | OUT | C$1.85 | Aug 16, 2016 | 0.0% | ✕ wrong |
| Oct 26, 2011 | IN | C$1.50 | Jul 21, 2016 | +23.3% | ✓ right |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 3 of 3 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.