Sell-off (auto) S&P 500

S&P 500 sell-off, October 2026

This page was generated automatically. Our scan flagged S&P 500 on 2026-11-05 after its close fell 5% or more below its trailing 60-day high. The measured move runs from 2026-10-06 to 2026-11-05. We have not written up the background yet.

Window found by the automatic scan: 2026-10-06 to 2026-11-05.

Market move-5.9%2026-10-06 to 2026-11-05

Window22 trading days

Back at the prior peakNot yet

Next 3 months—63 trading days after the end

Strategies lost less84%52 / 62

Already out going in47%29 / 62

Price around the event

S&P 500 · window start = 100%; shaded = event window; from 60 trading days before to 120 after

How the strategies did

Of 62 rule-based strategies with a curve on S&P 500, 29 (47%) were already out of the market going in. 52 (84%) lost less than the market (-5.9%), 6 (10%) finished the window with a gain, and the median strategy returned -2.5%. Strategies that were in the market returned a median -5.3%; those that were already out returned 0.0%.

Family	Strategies	Already out	Median return	Lost less than the market
Trend	24	29%	-2.6%	88%
Momentum	4	25%	-4.2%	100%
Mean reversion	15	100%	0.0%	100%
Volatility	6	33%	-4.4%	67%
Regime & other	13	31%	-3.1%	62%

Best five

Strategy	Return in window
MR-10 Stochastic Oscillator Reversion	+3.5%
MR-06 Z-Score Mean Reversion	+1.5%
MR-04 Ornstein-Uhlenbeck Mean Reversion	+1.5%
TREND-16 Aroon Indicator	+1.2%
STAT-11 Cointegration Basket	+0.6%

Worst five

Strategy	Return in window
TREND-17 Chandelier Exit	-9.4%
RISK-03 Stop Loss Overlay	-8.7%
MACRO-03 Flight to Quality	-8.1%
FACTOR-05 Multi-Factor Composite	-6.6%
REG-14 Volatility Regime Switch	-6.6%

62 of 72 strategies have a curve on S&P 500. Portfolio, basket and multi-asset strategies without one are excluded.

All strategies on S&P 500

Strategy	Family	Return in window	In the market going in?	Max drawdown in window	Next 3 months
MR-10 Stochastic Oscillator Reversion	Mean reversion	+3.5%	Out	-0.5%	—
MR-06 Z-Score Mean Reversion	Mean reversion	+1.5%	Out	-0.5%	—
MR-04 Ornstein-Uhlenbeck Mean Reversion	Mean reversion	+1.5%	Out	-0.5%	—
TREND-16 Aroon Indicator	Trend	+1.2%	Out	-1.7%	—
STAT-11 Cointegration Basket	Mean reversion	+0.6%	Out	0.0%	—
MR-16 Connors RSI	Mean reversion	+0.1%	Out	-0.5%	—
ADX-01 ADX Trend Filter	Trend	0.0%	Out	0.0%	—
COMBO-01 Bollinger-Keltner Squeeze	Volatility	0.0%	Out	0.0%	—
COMBO-03 Divergence Strategy	Regime & other	0.0%	Out	0.0%	—
KC-01 Keltner Channel Breakout	Trend	0.0%	Out	0.0%	—
MR-01 RSI Mean Reversion	Mean reversion	0.0%	Out	0.0%	—
MR-03 Kalman Filter Mean Reversion	Mean reversion	0.0%	Out	0.0%	—
MR-07 Hurst-Filtered Mean Reversion	Mean reversion	0.0%	Out	0.0%	—
MR-12 Money Flow Index Reversion	Mean reversion	0.0%	Out	0.0%	—
MR-13 TRIX Reversion	Mean reversion	0.0%	Out	0.0%	—
MR-14 Detrended Price Oscillator	Mean reversion	0.0%	Out	0.0%	—
MR-15 Ultimate Oscillator	Mean reversion	0.0%	Out	0.0%	—
TAIL-01 Crisis Alpha	Regime & other	0.0%	Out	0.0%	—
TREND-19 Elder Triple Screen	Trend	0.0%	Out	0.0%	—
CAL-01 Turn of Month	Regime & other	-0.7%	In	-2.6%	—
COMBO-02 MACD + RSI Filter	Momentum	-0.9%	In	-1.2%	—
TREND-12 MACD Strategy	Trend	-0.9%	In	-1.2%	—
TREND-14 Linear Regression Channel	Trend	-1.3%	In	-5.5%	—
MR-05 CCI Mean Reversion	Mean reversion	-1.4%	Out	-4.4%	—
TREND-18 Coppock Curve	Trend	-1.9%	In	-2.0%	—
SUPER-01 Supertrend	Trend	-2.0%	In	-2.0%	—
STAT-10 Dynamic Hedge Ratio Pairs	Regime & other	-2.2%	In	-2.5%	—
TREND-11 Kaufman Adaptive Moving Average	Trend	-2.3%	In	-2.3%	—
TURTLE-01 Turtle Trading	Trend	-2.5%	In	-2.5%	—
TREND-10 Ichimoku Cloud	Trend	-2.5%	In	-2.5%	—
TREND-02 Donchian Breakout	Trend	-2.5%	Out	-2.5%	—
SEAS-01 Monthly Seasonality	Regime & other	-2.5%	Out	-4.4%	—
MR-02 Bollinger Band Reversion	Mean reversion	-2.5%	Out	-4.4%	—
MACRO-02 Risk-On/Risk-Off Switch	Regime & other	-2.6%	In	-5.2%	—
MOM-06 Residual Momentum	Momentum	-2.6%	Out	-4.4%	—
COMBO-04 Trend + Mean Reversion Hybrid	Trend	-2.8%	Out	-4.4%	—
VOL-10 Volatility Risk Premium	Volatility	-3.0%	In	-3.0%	—
TREND-15 Darvas Box	Trend	-3.0%	In	-3.0%	—
REG-10 HMM Regime Detection	Regime & other	-3.1%	Out	-3.3%	—
EVENT-01 Trend + Macro Filter	Trend	-3.5%	Out	-3.5%	—
HMA-01 HMA Crossover	Trend	-3.6%	In	-3.6%	—
MR-11 Williams %R Reversion	Mean reversion	-4.0%	Out	-5.2%	—
VOL-01 Volatility Breakout	Volatility	-4.4%	Out	-4.4%	—
VOL-13 Volatility Regime Strategy	Volatility	-4.4%	In	-4.4%	—
MACRO-01 Cross-Asset Momentum	Regime & other	-4.5%	In	-4.6%	—
SAR-01 Parabolic SAR	Trend	-5.3%	In	-5.3%	—
RISK-04 Trailing Stop Strategy	Trend	-5.5%	In	-5.5%	—
TREND-20 Vortex Indicator	Trend	-5.6%	In	-5.9%	—
MOM-11 Momentum Crash Protection	Momentum	-5.9%	In	-5.9%	—
MOM-03 52-Week High Momentum	Momentum	-5.9%	In	-5.9%	—
MOM-01 Time-Series Momentum	Trend	-5.9%	In	-5.9%	—
TREND-05 Dual Moving Average	Trend	-5.9%	In	-5.9%	—
RISK-01 Drawdown Control	Regime & other	-5.9%	In	-5.9%	—
REG-01 Regime Switch	Regime & other	-5.9%	In	-5.9%	—
TREND-13 Triple Moving Average	Trend	-5.9%	In	-5.9%	—
RP-01 Volatility Target	Volatility	-6.4%	In	-6.4%	—
MOM-10 Accelerating Momentum	Trend	-6.4%	In	-6.4%	—
REG-14 Volatility Regime Switch	Volatility	-6.6%	In	-6.6%	—
FACTOR-05 Multi-Factor Composite	Regime & other	-6.6%	In	-6.7%	—
MACRO-03 Flight to Quality	Regime & other	-8.1%	In	-8.1%	—
RISK-03 Stop Loss Overlay	Regime & other	-8.7%	In	-8.7%	—
TREND-17 Chandelier Exit	Trend	-9.4%	In	-9.4%	—

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.

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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.