2017 bitcoin bubble and 2018 crypto winter
Bitcoin peaked in December during a retail-driven boom and ether followed a similar path. Prices then fell for a full year as exchanges were hacked, regulation tightened and interest faded.
Dates checked against the price data: researched window 2017-12-17 to 2018-12-15; measured 2017-12-16 to 2018-12-15 (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 Bitcoin, 25 (45%) were already out of the market going in. 56 (100%) lost less than the market (-83.4%), 3 (5%) finished the window with a gain, and the median strategy returned -39.1%. Strategies that were in the market returned a median -42.5%; those that were already out returned -30.3%. In the following three months the median strategy returned 0.0%.
| Family | Strategies | Already out | Median return | Lost less than the market |
|---|---|---|---|---|
| Trend | 24 | 12% | -44.7% | |
| Momentum | 4 | 25% | -33.5% | |
| Mean reversion | 14 | 93% | -40.6% | |
| Volatility | 6 | 83% | -25.6% | |
| Regime & other | 8 | 38% | -31.9% |
Best five
| Strategy | Return in window |
|---|---|
| TAIL-01 Crisis Alpha | +168.2% |
| TREND-14 Linear Regression Channel | +46.1% |
| MR-02 Bollinger Band Reversion | +2.2% |
| COMBO-03 Divergence Strategy | 0.0% |
| MR-06 Z-Score Mean Reversion | 0.0% |
Worst five
| Strategy | Return in window |
|---|---|
| SEAS-01 Monthly Seasonality | -76.3% |
| MR-10 Stochastic Oscillator Reversion | -67.4% |
| TREND-18 Coppock Curve | -65.2% |
| TREND-13 Triple Moving Average | -65.1% |
| TREND-05 Dual Moving Average | -64.7% |
56 of 72 strategies have a curve on Bitcoin. Portfolio, basket and multi-asset strategies without one are excluded.
All strategies on Bitcoin
| Strategy | Family | Return in window | In the market going in? | Max drawdown in window | Next 3 months |
|---|---|---|---|---|---|
| TAIL-01 Crisis Alpha | Regime & other | +168.2% | In | -45.4% | -11.4% |
| TREND-14 Linear Regression Channel | Trend | +46.1% | In | -41.1% | +3.1% |
| MR-02 Bollinger Band Reversion | Mean reversion | +2.2% | Out | -26.0% | 0.0% |
| COMBO-03 Divergence Strategy | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| MR-06 Z-Score Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | 0.0% |
| REG-01 Regime Switch | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| TREND-19 Elder Triple Screen | Trend | 0.0% | Out | 0.0% | 0.0% |
| COMBO-01 Bollinger-Keltner Squeeze | Volatility | -4.2% | Out | -25.5% | -5.0% |
| KC-01 Keltner Channel Breakout | Trend | -11.9% | In | -19.3% | -11.6% |
| MR-16 Connors RSI | Mean reversion | -13.6% | Out | -26.0% | +4.8% |
| VOL-10 Volatility Risk Premium | Volatility | -14.3% | Out | -15.5% | +7.9% |
| COMBO-04 Trend + Mean Reversion Hybrid | Trend | -19.2% | Out | -25.1% | 0.0% |
| RP-01 Volatility Target | Volatility | -20.9% | In | -21.0% | +3.3% |
| MR-07 Hurst-Filtered Mean Reversion | Mean reversion | -22.7% | Out | -39.9% | +5.7% |
| MR-01 RSI Mean Reversion | Mean reversion | -24.3% | Out | -37.7% | +16.0% |
| MOM-03 52-Week High Momentum | Momentum | -26.4% | In | -26.4% | 0.0% |
| RISK-04 Trailing Stop Strategy | Trend | -27.7% | In | -29.2% | -2.5% |
| ADX-01 ADX Trend Filter | Trend | -27.8% | In | -36.6% | -1.1% |
| CAL-01 Turn of Month | Regime & other | -29.3% | Out | -34.0% | -2.8% |
| VOL-01 Volatility Breakout | Volatility | -30.3% | Out | -30.3% | +6.5% |
| MOM-11 Momentum Crash Protection | Momentum | -30.8% | In | -30.8% | 0.0% |
| MR-12 Money Flow Index Reversion | Mean reversion | -33.1% | Out | -55.3% | +34.3% |
| RISK-01 Drawdown Control | Regime & other | -34.5% | In | -34.5% | +1.5% |
| MOM-06 Residual Momentum | Momentum | -36.2% | In | -41.1% | +0.3% |
| REG-10 HMM Regime Detection | Regime & other | -36.6% | In | -40.1% | -6.8% |
| MR-13 TRIX Reversion | Mean reversion | -36.9% | Out | -46.1% | +21.5% |
| TREND-11 Kaufman Adaptive Moving Average | Trend | -37.9% | In | -37.9% | -17.9% |
| TREND-10 Ichimoku Cloud | Trend | -38.9% | In | -38.9% | 0.0% |
| SAR-01 Parabolic SAR | Trend | -39.4% | In | -39.4% | +1.6% |
| TREND-17 Chandelier Exit | Trend | -40.0% | In | -46.0% | -19.9% |
| TREND-12 MACD Strategy | Trend | -42.5% | In | -42.5% | +5.2% |
| VOL-13 Volatility Regime Strategy | Volatility | -44.3% | Out | -54.9% | +0.5% |
| MR-04 Ornstein-Uhlenbeck Mean Reversion | Mean reversion | -44.3% | Out | -51.3% | 0.0% |
| TURTLE-01 Turtle Trading | Trend | -44.3% | In | -48.7% | -12.5% |
| COMBO-02 MACD + RSI Filter | Momentum | -44.6% | Out | -44.9% | +25.8% |
| MR-03 Kalman Filter Mean Reversion | Mean reversion | -44.7% | Out | -50.6% | +12.1% |
| HMA-01 HMA Crossover | Trend | -45.0% | Out | -52.4% | -1.9% |
| EVENT-01 Trend + Macro Filter | Trend | -45.5% | In | -65.4% | 0.0% |
| MR-15 Ultimate Oscillator | Mean reversion | -49.9% | Out | -61.4% | +26.6% |
| SUPER-01 Supertrend | Trend | -49.9% | In | -49.9% | +2.0% |
| REG-14 Volatility Regime Switch | Volatility | -50.0% | Out | -56.2% | -3.8% |
| TREND-16 Aroon Indicator | Trend | -50.1% | In | -50.5% | 0.0% |
| MR-05 CCI Mean Reversion | Mean reversion | -50.3% | Out | -57.7% | +16.1% |
| TREND-02 Donchian Breakout | Trend | -52.5% | In | -52.5% | 0.0% |
| TREND-15 Darvas Box | Trend | -53.2% | In | -54.1% | -14.9% |
| TREND-20 Vortex Indicator | Trend | -53.4% | In | -53.4% | -9.3% |
| RISK-03 Stop Loss Overlay | Regime & other | -55.5% | In | -55.5% | -13.9% |
| MR-14 Detrended Price Oscillator | Mean reversion | -58.8% | In | -58.9% | -14.2% |
| MOM-10 Accelerating Momentum | Trend | -61.8% | In | -61.8% | 0.0% |
| MR-11 Williams %R Reversion | Mean reversion | -64.2% | Out | -73.4% | +22.4% |
| MOM-01 Time-Series Momentum | Trend | -64.2% | In | -69.7% | 0.0% |
| TREND-05 Dual Moving Average | Trend | -64.7% | In | -64.7% | 0.0% |
| TREND-13 Triple Moving Average | Trend | -65.1% | In | -65.1% | 0.0% |
| TREND-18 Coppock Curve | Trend | -65.2% | In | -65.2% | -19.4% |
| MR-10 Stochastic Oscillator Reversion | Mean reversion | -67.4% | Out | -68.0% | +18.2% |
| SEAS-01 Monthly Seasonality | Regime & other | -76.3% | In | -76.3% | +12.1% |
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 |
|---|---|---|---|---|---|
| Ether | -87.9% | 56 | 100% | 64% | -16.0% |
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.