Mean reversion · daily rule · Metals & mining
Mayer Multiple on Perpetua Resources
What the play says
PPTA with the play, last two years
Shading shows the play's call from the close that triggered it.
Growth of C$10,000 since 2012
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding PPTA over exactly the same dates, after costs.
| Play, since 2012 | Hold, since 2012 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | 0.0% | −1.3% | +34.4% | +34.4% |
| Total return | 0% | −17% | +336% | +336% |
| Worst drawdown | −92.7% | −93.4% | −67.7% | −67.7% |
| Volatility | 69.7% | 70.2% | 71.9% | 71.9% |
| Sharpe ratio | 0.32 | 0.30 | 0.71 | 0.71 |
| Time invested | 99% | 100% | ||
| Switches per year | 1.0 | 0 |
Every call, graded
Right on 11 of 14 closed calls (79%). In calls averaged +0.7%; out calls saw PPTA move −2.6% on average.
| Called | Call | Price | Until | PPTA moved | Result |
|---|---|---|---|---|---|
| Aug 31, 2020 | IN | C$17.50 | now | +57.3% | open |
| Aug 28, 2020 | OUT | C$18.00 | Aug 31, 2020 | −2.8% | ✓ right |
| Aug 26, 2020 | IN | C$17.40 | Aug 28, 2020 | +3.4% | ✓ right |
| Aug 25, 2020 | OUT | C$17.40 | Aug 26, 2020 | 0.0% | ✕ wrong |
| Aug 24, 2020 | IN | C$17.10 | Aug 25, 2020 | +1.8% | ✓ right |
| Aug 12, 2020 | OUT | C$16.30 | Aug 24, 2020 | +4.9% | ✕ wrong |
| Aug 11, 2020 | IN | C$14.80 | Aug 12, 2020 | +10.1% | ✓ right |
| Jul 31, 2020 | OUT | C$15.60 | Aug 11, 2020 | −5.1% | ✓ right |
| Jul 30, 2020 | IN | C$14.30 | Jul 31, 2020 | +9.1% | ✓ right |
| Jul 27, 2020 | OUT | C$15.60 | Jul 30, 2020 | −8.3% | ✓ right |
| Jul 12, 2016 | IN | C$10.90 | Jul 27, 2020 | +43.1% | ✓ right |
| Jul 11, 2016 | OUT | C$11.30 | Jul 12, 2016 | −3.5% | ✓ 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 15 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.