Rally Oil

Arab Spring oil spike (Libya)

Protests and civil war in Libya cut crude output and pushed oil sharply higher through the first months of the year. Higher energy costs also lifted food and commodity prices across the broader complex.

Dates checked against the price data: researched window 2011-02-14 to 2011-04-08; measured 2011-02-15 to 2011-04-08 (start shifted by +1 days, end by +0 days).

Market move+27.6%2011-02-15 to 2011-04-08
Window37 trading days
Lowest point inside the window-7.0%2011-02-15 to 2011-04-08
Next 3 months-17.4%63 trading days after the end
Strategies beat the market2%1 / 56
Already out going in73%41 / 56

Price around the event

86%97%108%119%130%2010-122011-012011-022011-032011-042011-052011-062011-072011-082011-09
Oil · window start = 100%; shaded = event window; from 60 trading days before to 120 after

How the strategies did

Of 56 rule-based strategies with a curve on Oil, 41 (73%) were not in the market going in. 1 (2%) beat the market (+27.6%), 46 (82%) finished the window with a gain, and the median strategy returned +8.8%. Strategies that were in the market returned a median +13.1%; those that were already out returned +8.1%. In the following three months the median strategy returned -8.5%.

FamilyStrategiesNot in the marketMedian returnBeat the market
Trend2483%+12.5%4%
Momentum4100%+9.8%0%
Mean reversion1457%+7.2%0%
Volatility667%+7.8%0%
Regime & other862%+13.0%0%

56 of 72 strategies have a curve on Oil. Portfolio, basket and multi-asset strategies without one are excluded.

All strategies on Oil

StrategyFamilyReturn in windowIn the market going in?Max drawdown in windowNext 3 months
TREND-13 Triple Moving AverageTrend+27.6%In-7.0%-17.4%
SEAS-01 Monthly SeasonalityRegime & other+27.6%In-7.0%-0.5%
TREND-05 Dual Moving AverageTrend+27.6%In-7.0%-17.4%
RISK-01 Drawdown ControlRegime & other+25.4%In-7.0%-18.9%
EVENT-01 Trend + Macro FilterTrend+21.4%In-7.0%-8.0%
HMA-01 HMA CrossoverTrend+20.2%Out-2.1%-4.6%
RISK-03 Stop Loss OverlayRegime & other+17.3%Out-7.0%-12.9%
TREND-17 Chandelier ExitTrend+16.4%Out-7.0%-12.9%
MR-11 Williams %R ReversionMean reversion+15.8%In0.0%-7.1%
ADX-01 ADX Trend FilterTrend+15.2%Out-7.0%-12.9%
TREND-20 Vortex IndicatorTrend+14.0%Out-7.0%-16.6%
TREND-18 Coppock CurveTrend+13.8%Out-7.0%-17.0%
MR-15 Ultimate OscillatorMean reversion+13.6%In0.0%+5.2%
MOM-01 Time-Series MomentumTrend+13.6%Out-7.0%-17.4%
RISK-04 Trailing Stop StrategyTrend+13.6%Out-7.0%-11.2%
TREND-15 Darvas BoxTrend+13.5%Out-7.0%-12.9%
REG-10 HMM Regime DetectionRegime & other+13.4%Out-7.0%-15.1%
TREND-02 Donchian BreakoutTrend+13.4%Out-7.0%-12.9%
MOM-11 Momentum Crash ProtectionMomentum+13.3%Out-7.0%-19.3%
MR-10 Stochastic Oscillator ReversionMean reversion+13.1%In0.0%-8.4%
CAL-01 Turn of MonthRegime & other+12.6%Out-1.2%-10.8%
MOM-03 52-Week High MomentumMomentum+11.5%Out-7.0%-15.3%
TREND-10 Ichimoku CloudTrend+11.5%Out-7.0%-12.9%
REG-14 Volatility Regime SwitchVolatility+10.5%In-2.9%-14.7%
SAR-01 Parabolic SARTrend+9.7%Out-8.5%-15.6%
TREND-11 Kaufman Adaptive Moving AverageTrend+9.6%Out-5.5%-10.1%
RP-01 Volatility TargetVolatility+9.0%In-2.2%-6.7%
TREND-16 Aroon IndicatorTrend+8.9%Out-3.7%-0.7%
MR-03 Kalman Filter Mean ReversionMean reversion+8.8%Out0.0%-1.0%
MR-05 CCI Mean ReversionMean reversion+8.8%In0.0%-2.6%
MR-04 Ornstein-Uhlenbeck Mean ReversionMean reversion+8.8%In0.0%+3.0%
MR-14 Detrended Price OscillatorMean reversion+8.6%In-2.3%-15.5%
SUPER-01 SupertrendTrend+8.5%In-7.0%-19.6%
VOL-10 Volatility Risk PremiumVolatility+8.4%Out-0.4%-5.9%
REG-01 Regime SwitchRegime & other+8.3%In0.0%0.0%
MOM-06 Residual MomentumMomentum+8.1%Out-0.4%-14.4%
VOL-13 Volatility Regime StrategyVolatility+7.1%Out-1.8%-10.5%
MR-12 Money Flow Index ReversionMean reversion+5.9%Out0.0%+6.0%
MR-01 RSI Mean ReversionMean reversion+5.9%Out0.0%+9.2%
COMBO-04 Trend + Mean Reversion HybridTrend+5.9%Out0.0%+1.6%
TREND-12 MACD StrategyTrend+5.4%Out-8.6%-11.9%
TURTLE-01 Turtle TradingTrend+4.9%Out-7.0%-12.9%
MOM-10 Accelerating MomentumTrend+4.4%Out-0.4%-16.9%
COMBO-01 Bollinger-Keltner SqueezeVolatility+4.4%Out-0.4%-8.5%
KC-01 Keltner Channel BreakoutTrend+3.5%Out-7.2%-6.3%
VOL-01 Volatility BreakoutVolatility+3.0%Out-2.1%-6.3%
COMBO-03 Divergence StrategyRegime & other0.0%Out0.0%0.0%
MR-02 Bollinger Band ReversionMean reversion0.0%Out0.0%-0.6%
MR-06 Z-Score Mean ReversionMean reversion0.0%Out0.0%+0.6%
MR-07 Hurst-Filtered Mean ReversionMean reversion0.0%Out0.0%+5.4%
MR-13 TRIX ReversionMean reversion0.0%Out0.0%0.0%
TREND-19 Elder Triple ScreenTrend0.0%Out0.0%0.0%
MR-16 Connors RSIMean reversion-0.8%Out-1.7%-2.2%
COMBO-02 MACD + RSI FilterMomentum-1.5%Out-1.8%-5.9%
TREND-14 Linear Regression ChannelTrend-6.3%Out-8.4%-3.7%
TAIL-01 Crisis AlphaRegime & other-9.3%Out-9.6%+0.2%

Sorted by return in the window, best first. "In the market" is inferred from the equity curve (see method). Next 3 months = 63 trading days after the window end.

Other markets in the same window

MarketMoveStrategiesAhead of the marketAlready outMedian return
Commodities+12.3%5612%45%+5.1%
Agriculture-0.0%5650%46%-0.0%

Same calendar window as the main market. "Ahead of the market" = strategy return above the market's return over the window.

All event replays · Today's regime on Oil

Method: windows are snapped to the price data, returns come from the published equity curves before costs, and "already out" is inferred from the curve. See the method on the hub page. Historical, descriptive statistics before trading costs. Not a forecast and not investment advice.

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