2024 bitcoin spot ETF approval rally
US regulators approved spot bitcoin ETFs in January and inflows were strong from the first days. Bitcoin set a new all-time high in March.
Dates checked against the price data: researched window 2024-01-09 to 2024-03-14; measured 2024-01-22 to 2024-03-13 (start shifted by +13 days, end by -1 days).
Price around the event
How the strategies did
Of 56 rule-based strategies with a curve on Bitcoin, 36 (64%) were not in the market going in. 3 (5%) beat the market (+85.0%), 45 (80%) finished the window with a gain, and the median strategy returned +44.3%. Strategies that were in the market returned a median +59.1%; those that were already out returned +30.2%. In the following three months the median strategy returned -8.6%.
| Family | Strategies | Not in the market | Median return | Beat the market |
|---|---|---|---|---|
| Trend | 24 | 62% | +63.3% | |
| Momentum | 4 | 50% | +60.3% | |
| Mean reversion | 14 | 64% | +5.8% | |
| Volatility | 6 | 67% | +21.3% | |
| Regime & other | 8 | 75% | +35.7% |
Best five
| Strategy | Return in window |
|---|---|
| SEAS-01 Monthly Seasonality | +85.0% |
| TREND-05 Dual Moving Average | +85.0% |
| MOM-01 Time-Series Momentum | +85.0% |
| TREND-13 Triple Moving Average | +85.0% |
| MOM-03 52-Week High Momentum | +83.4% |
Worst five
| Strategy | Return in window |
|---|---|
| TAIL-01 Crisis Alpha | -50.0% |
| VOL-10 Volatility Risk Premium | 0.0% |
| TREND-19 Elder Triple Screen | 0.0% |
| REG-01 Regime Switch | 0.0% |
| MR-13 TRIX Reversion | 0.0% |
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 |
|---|---|---|---|---|---|
| SEAS-01 Monthly Seasonality | Regime & other | +85.0% | In | -6.6% | -20.3% |
| TREND-05 Dual Moving Average | Trend | +85.0% | In | -6.6% | -9.3% |
| MOM-01 Time-Series Momentum | Trend | +85.0% | In | -6.6% | -9.3% |
| TREND-13 Triple Moving Average | Trend | +85.0% | In | -6.6% | -9.3% |
| MOM-03 52-Week High Momentum | Momentum | +83.4% | In | -6.6% | -31.3% |
| RISK-01 Drawdown Control | Regime & other | +79.1% | In | -6.6% | -17.5% |
| MOM-10 Accelerating Momentum | Trend | +78.5% | In | -6.6% | -13.1% |
| TREND-18 Coppock Curve | Trend | +71.6% | Out | -6.6% | -12.0% |
| EVENT-01 Trend + Macro Filter | Trend | +71.0% | In | -6.7% | -15.9% |
| TREND-17 Chandelier Exit | Trend | +69.0% | Out | -6.6% | -21.1% |
| TREND-20 Vortex Indicator | Trend | +68.8% | Out | -6.6% | -5.1% |
| MOM-11 Momentum Crash Protection | Momentum | +67.4% | Out | -6.6% | -17.8% |
| RISK-04 Trailing Stop Strategy | Trend | +66.1% | Out | -6.6% | -26.9% |
| RISK-03 Stop Loss Overlay | Regime & other | +65.0% | Out | -6.6% | -8.8% |
| TURTLE-01 Turtle Trading | Trend | +64.9% | Out | -6.6% | -24.5% |
| TREND-15 Darvas Box | Trend | +64.9% | In | -6.6% | -12.7% |
| SUPER-01 Supertrend | Trend | +64.9% | In | -6.6% | -15.3% |
| SAR-01 Parabolic SAR | Trend | +61.8% | Out | -6.6% | -17.2% |
| KC-01 Keltner Channel Breakout | Trend | +61.3% | Out | -6.6% | -15.3% |
| TREND-10 Ichimoku Cloud | Trend | +61.3% | Out | -6.6% | -19.1% |
| REG-10 HMM Regime Detection | Regime & other | +61.3% | Out | -6.6% | -16.5% |
| TREND-11 Kaufman Adaptive Moving Average | Trend | +58.9% | Out | -6.6% | -26.2% |
| TREND-02 Donchian Breakout | Trend | +55.0% | Out | -6.6% | -12.7% |
| MOM-06 Residual Momentum | Momentum | +53.2% | In | -6.6% | -9.3% |
| TREND-12 MACD Strategy | Trend | +50.0% | Out | -6.6% | -8.5% |
| TREND-16 Aroon Indicator | Trend | +46.9% | Out | -6.6% | -8.2% |
| ADX-01 ADX Trend Filter | Trend | +46.3% | Out | -6.6% | -15.3% |
| VOL-13 Volatility Regime Strategy | Volatility | +46.0% | In | -3.0% | -4.0% |
| HMA-01 HMA Crossover | Trend | +42.5% | Out | -6.6% | -12.9% |
| REG-14 Volatility Regime Switch | Volatility | +42.5% | Out | -3.0% | -3.9% |
| TREND-14 Linear Regression Channel | Trend | +34.2% | In | -6.6% | -19.5% |
| RP-01 Volatility Target | Volatility | +24.6% | In | -1.5% | -2.2% |
| VOL-01 Volatility Breakout | Volatility | +17.9% | Out | -8.6% | -3.2% |
| MR-14 Detrended Price Oscillator | Mean reversion | +15.5% | Out | -6.6% | -24.4% |
| CAL-01 Turn of Month | Regime & other | +10.1% | Out | -6.6% | -7.3% |
| MR-15 Ultimate Oscillator | Mean reversion | +9.6% | In | -0.4% | +8.1% |
| COMBO-04 Trend + Mean Reversion Hybrid | Trend | +9.6% | In | -0.4% | +9.5% |
| COMBO-02 MACD + RSI Filter | Momentum | +7.8% | Out | -1.6% | -0.9% |
| MR-11 Williams %R Reversion | Mean reversion | +6.6% | In | -0.4% | +24.3% |
| MR-12 Money Flow Index Reversion | Mean reversion | +6.4% | Out | -0.4% | 0.0% |
| MR-04 Ornstein-Uhlenbeck Mean Reversion | Mean reversion | +5.8% | In | -0.4% | +11.3% |
| MR-01 RSI Mean Reversion | Mean reversion | +5.8% | Out | -0.4% | 0.0% |
| MR-10 Stochastic Oscillator Reversion | Mean reversion | +5.8% | In | -0.4% | +19.7% |
| MR-05 CCI Mean Reversion | Mean reversion | +5.8% | In | -0.4% | +20.6% |
| MR-16 Connors RSI | Mean reversion | +2.5% | Out | 0.0% | +15.9% |
| COMBO-01 Bollinger-Keltner Squeeze | Volatility | 0.0% | Out | 0.0% | -11.8% |
| 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% | 0.0% |
| MR-03 Kalman Filter Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | +3.7% |
| MR-06 Z-Score Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | 0.0% |
| MR-07 Hurst-Filtered Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | +19.2% |
| MR-13 TRIX 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% |
| VOL-10 Volatility Risk Premium | Volatility | 0.0% | Out | 0.0% | 0.0% |
| TAIL-01 Crisis Alpha | Regime & other | -50.0% | Out | -50.0% | 0.0% |
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 | +73.4% | 56 | 11% | 52% | +43.8% |
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.