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).
Price around the event
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%.
| Family | Strategies | Not in the market | Median return | Beat the market |
|---|---|---|---|---|
| Trend | 24 | 83% | +12.5% | |
| Momentum | 4 | 100% | +9.8% | |
| Mean reversion | 14 | 57% | +7.2% | |
| Volatility | 6 | 67% | +7.8% | |
| Regime & other | 8 | 62% | +13.0% |
Best five
| Strategy | Return in window |
|---|---|
| TREND-13 Triple Moving Average | +27.6% |
| SEAS-01 Monthly Seasonality | +27.6% |
| TREND-05 Dual Moving Average | +27.6% |
| RISK-01 Drawdown Control | +25.4% |
| EVENT-01 Trend + Macro Filter | +21.4% |
Worst five
| Strategy | Return in window |
|---|---|
| TAIL-01 Crisis Alpha | -9.3% |
| TREND-14 Linear Regression Channel | -6.3% |
| COMBO-02 MACD + RSI Filter | -1.5% |
| MR-16 Connors RSI | -0.8% |
| TREND-19 Elder Triple Screen | 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
| Strategy | Family | Return in window | In the market going in? | Max drawdown in window | Next 3 months |
|---|---|---|---|---|---|
| TREND-13 Triple Moving Average | Trend | +27.6% | In | -7.0% | -17.4% |
| SEAS-01 Monthly Seasonality | Regime & other | +27.6% | In | -7.0% | -0.5% |
| TREND-05 Dual Moving Average | Trend | +27.6% | In | -7.0% | -17.4% |
| RISK-01 Drawdown Control | Regime & other | +25.4% | In | -7.0% | -18.9% |
| EVENT-01 Trend + Macro Filter | Trend | +21.4% | In | -7.0% | -8.0% |
| HMA-01 HMA Crossover | Trend | +20.2% | Out | -2.1% | -4.6% |
| RISK-03 Stop Loss Overlay | Regime & other | +17.3% | Out | -7.0% | -12.9% |
| TREND-17 Chandelier Exit | Trend | +16.4% | Out | -7.0% | -12.9% |
| MR-11 Williams %R Reversion | Mean reversion | +15.8% | In | 0.0% | -7.1% |
| ADX-01 ADX Trend Filter | Trend | +15.2% | Out | -7.0% | -12.9% |
| TREND-20 Vortex Indicator | Trend | +14.0% | Out | -7.0% | -16.6% |
| TREND-18 Coppock Curve | Trend | +13.8% | Out | -7.0% | -17.0% |
| MR-15 Ultimate Oscillator | Mean reversion | +13.6% | In | 0.0% | +5.2% |
| MOM-01 Time-Series Momentum | Trend | +13.6% | Out | -7.0% | -17.4% |
| RISK-04 Trailing Stop Strategy | Trend | +13.6% | Out | -7.0% | -11.2% |
| TREND-15 Darvas Box | Trend | +13.5% | Out | -7.0% | -12.9% |
| REG-10 HMM Regime Detection | Regime & other | +13.4% | Out | -7.0% | -15.1% |
| TREND-02 Donchian Breakout | Trend | +13.4% | Out | -7.0% | -12.9% |
| MOM-11 Momentum Crash Protection | Momentum | +13.3% | Out | -7.0% | -19.3% |
| MR-10 Stochastic Oscillator Reversion | Mean reversion | +13.1% | In | 0.0% | -8.4% |
| CAL-01 Turn of Month | Regime & other | +12.6% | Out | -1.2% | -10.8% |
| MOM-03 52-Week High Momentum | Momentum | +11.5% | Out | -7.0% | -15.3% |
| TREND-10 Ichimoku Cloud | Trend | +11.5% | Out | -7.0% | -12.9% |
| REG-14 Volatility Regime Switch | Volatility | +10.5% | In | -2.9% | -14.7% |
| SAR-01 Parabolic SAR | Trend | +9.7% | Out | -8.5% | -15.6% |
| TREND-11 Kaufman Adaptive Moving Average | Trend | +9.6% | Out | -5.5% | -10.1% |
| RP-01 Volatility Target | Volatility | +9.0% | In | -2.2% | -6.7% |
| TREND-16 Aroon Indicator | Trend | +8.9% | Out | -3.7% | -0.7% |
| MR-03 Kalman Filter Mean Reversion | Mean reversion | +8.8% | Out | 0.0% | -1.0% |
| MR-05 CCI Mean Reversion | Mean reversion | +8.8% | In | 0.0% | -2.6% |
| MR-04 Ornstein-Uhlenbeck Mean Reversion | Mean reversion | +8.8% | In | 0.0% | +3.0% |
| MR-14 Detrended Price Oscillator | Mean reversion | +8.6% | In | -2.3% | -15.5% |
| SUPER-01 Supertrend | Trend | +8.5% | In | -7.0% | -19.6% |
| VOL-10 Volatility Risk Premium | Volatility | +8.4% | Out | -0.4% | -5.9% |
| REG-01 Regime Switch | Regime & other | +8.3% | In | 0.0% | 0.0% |
| MOM-06 Residual Momentum | Momentum | +8.1% | Out | -0.4% | -14.4% |
| VOL-13 Volatility Regime Strategy | Volatility | +7.1% | Out | -1.8% | -10.5% |
| MR-12 Money Flow Index Reversion | Mean reversion | +5.9% | Out | 0.0% | +6.0% |
| MR-01 RSI Mean Reversion | Mean reversion | +5.9% | Out | 0.0% | +9.2% |
| COMBO-04 Trend + Mean Reversion Hybrid | Trend | +5.9% | Out | 0.0% | +1.6% |
| TREND-12 MACD Strategy | Trend | +5.4% | Out | -8.6% | -11.9% |
| TURTLE-01 Turtle Trading | Trend | +4.9% | Out | -7.0% | -12.9% |
| MOM-10 Accelerating Momentum | Trend | +4.4% | Out | -0.4% | -16.9% |
| COMBO-01 Bollinger-Keltner Squeeze | Volatility | +4.4% | Out | -0.4% | -8.5% |
| KC-01 Keltner Channel Breakout | Trend | +3.5% | Out | -7.2% | -6.3% |
| VOL-01 Volatility Breakout | Volatility | +3.0% | Out | -2.1% | -6.3% |
| COMBO-03 Divergence Strategy | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| MR-02 Bollinger Band Reversion | Mean reversion | 0.0% | Out | 0.0% | -0.6% |
| MR-06 Z-Score Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | +0.6% |
| MR-07 Hurst-Filtered Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | +5.4% |
| MR-13 TRIX Reversion | Mean reversion | 0.0% | Out | 0.0% | 0.0% |
| TREND-19 Elder Triple Screen | Trend | 0.0% | Out | 0.0% | 0.0% |
| MR-16 Connors RSI | Mean reversion | -0.8% | Out | -1.7% | -2.2% |
| COMBO-02 MACD + RSI Filter | Momentum | -1.5% | Out | -1.8% | -5.9% |
| TREND-14 Linear Regression Channel | Trend | -6.3% | Out | -8.4% | -3.7% |
| TAIL-01 Crisis Alpha | Regime & 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
| Market | Move | Strategies | Ahead of the market | Already out | Median return |
|---|---|---|---|---|---|
| Commodities | +12.3% | 56 | 12% | 45% | +5.1% |
| Agriculture | -0.0% | 56 | 50% | 46% | -0.0% |
Same calendar window as the main market. "Ahead of the market" = strategy return above the market's return over the window.
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.