Mean reversion · daily rule · Metals & mining
Mayer Multiple on Taseko Mines
What the play says
TKO 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 TKO over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +10.2% | +8.8% | +35.3% | +35.3% |
| Total return | +714% | +517% | +350% | +350% |
| Worst drawdown | −95.4% | −95.5% | −60.7% | −60.7% |
| Volatility | 64.8% | 64.8% | 60.7% | 60.7% |
| Sharpe ratio | 0.44 | 0.42 | 0.74 | 0.74 |
| Time invested | 100% | 100% | ||
| Switches per year | 0.6 | 0 |
Every call, graded
Right on 10 of 12 closed calls (83%). In calls averaged +17.7%; out calls saw TKO move −4.6% on average.
| Called | Call | Price | Until | TKO moved | Result |
|---|---|---|---|---|---|
| Sep 21, 2020 | IN | C$1.60 | now | +660.0% | open |
| Sep 18, 2020 | OUT | C$1.73 | Sep 21, 2020 | −7.5% | ✓ right |
| Feb 14, 2017 | IN | C$2.07 | Sep 18, 2020 | −16.4% | ✕ wrong |
| Feb 13, 2017 | OUT | C$2.08 | Feb 14, 2017 | −0.5% | ✓ right |
| Jan 26, 2017 | IN | C$1.87 | Feb 13, 2017 | +11.2% | ✓ right |
| Jan 25, 2017 | OUT | C$1.93 | Jan 26, 2017 | −3.1% | ✓ right |
| May 11, 2006 | IN | C$4.07 | Jan 25, 2017 | −52.6% | ✕ wrong |
| May 5, 2006 | OUT | C$4.31 | May 11, 2006 | −5.6% | ✓ right |
| Apr 24, 2006 | IN | C$3.85 | May 5, 2006 | +11.9% | ✓ right |
| Apr 21, 2006 | OUT | C$3.97 | Apr 24, 2006 | −3.0% | ✓ right |
| Apr 20, 2006 | IN | C$3.76 | Apr 21, 2006 | +5.6% | ✓ right |
| Apr 18, 2006 | OUT | C$4.07 | Apr 20, 2006 | −7.6% | ✓ 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 13 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.