Mean reversion · daily rule · Energy & power
Mayer Multiple on Strathcona Resources
What the play says
SCR 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 SCR over exactly the same dates, after costs.
| Play, since 2011 | Hold, since 2011 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +5.8% | +2.6% | +9.3% | +9.3% |
| Total return | +141% | +50% | +56% | +56% |
| Worst drawdown | −95.2% | −95.2% | −78.1% | −78.1% |
| Volatility | 85.8% | 86.5% | 48.4% | 48.4% |
| Sharpe ratio | 0.47 | 0.44 | 0.35 | 0.35 |
| Time invested | 99% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 17 of 22 closed calls (77%). In calls averaged +7.6%; out calls saw SCR move −4.1% on average.
| Called | Call | Price | Until | SCR moved | Result |
|---|---|---|---|---|---|
| Mar 18, 2021 | IN | C$16.73 | now | +147.1% | open |
| Mar 17, 2021 | OUT | C$18.21 | Mar 18, 2021 | −8.1% | ✓ right |
| Mar 16, 2021 | IN | C$17.23 | Mar 17, 2021 | +5.7% | ✓ right |
| Mar 3, 2021 | OUT | C$16.93 | Mar 16, 2021 | +1.7% | ✕ wrong |
| Mar 2, 2021 | IN | C$15.95 | Mar 3, 2021 | +6.2% | ✓ right |
| Feb 22, 2021 | OUT | C$15.65 | Mar 2, 2021 | +1.9% | ✕ wrong |
| Nov 23, 2016 | IN | C$56.11 | Feb 22, 2021 | −72.1% | ✕ wrong |
| Nov 18, 2016 | OUT | C$59.06 | Nov 23, 2016 | −5.0% | ✓ right |
| Sep 3, 2014 | IN | C$35.44 | Nov 18, 2016 | +66.7% | ✓ right |
| Sep 2, 2014 | OUT | C$38.39 | Sep 3, 2014 | −7.7% | ✓ right |
| Jun 19, 2014 | IN | C$27.56 | Sep 2, 2014 | +39.3% | ✓ right |
| Jun 18, 2014 | OUT | C$28.55 | Jun 19, 2014 | −3.4% | ✓ 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 23 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.