2021 bitcoin May crash
Bitcoin plunged within weeks in May after China cracked down on mining and Tesla stopped accepting bitcoin for payments. Leveraged positions were liquidated across crypto markets.
Dates checked against the price data: researched window 2021-05-10 to 2021-05-19; measured 2021-05-08 to 2021-05-29 (start shifted by -2 days, end by +10 days).
Price around the event
How the strategies did
Of 56 rule-based strategies with a curve on Bitcoin, 35 (62%) were already out of the market going in. 55 (98%) lost less than the market (-41.1%), 3 (5%) finished the window with a gain, and the median strategy returned -14.9%. Strategies that were in the market returned a median -16.4%; those that were already out returned -3.0%. In the following three months the median strategy returned +2.2%.
| Family | Strategies | Already out | Median return | Lost less than the market |
|---|---|---|---|---|
| Trend | 24 | 46% | -16.4% | |
| Momentum | 4 | 25% | -15.6% | |
| Mean reversion | 14 | 93% | -17.8% | |
| Volatility | 6 | 50% | -8.2% | |
| Regime & other | 8 | 88% | -1.5% |
Best five
| Strategy | Return in window |
|---|---|
| TAIL-01 Crisis Alpha | +60.0% |
| TREND-14 Linear Regression Channel | +32.3% |
| MR-01 RSI Mean Reversion | +1.5% |
| ADX-01 ADX Trend Filter | 0.0% |
| COMBO-01 Bollinger-Keltner Squeeze | 0.0% |
Worst five
| Strategy | Return in window |
|---|---|
| TREND-05 Dual Moving Average | -41.1% |
| EVENT-01 Trend + Macro Filter | -41.1% |
| MOM-01 Time-Series Momentum | -41.1% |
| TREND-13 Triple Moving Average | -41.1% |
| MR-10 Stochastic Oscillator Reversion | -29.6% |
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 | +60.0% | Out | -12.5% | -25.0% |
| TREND-14 Linear Regression Channel | Trend | +32.3% | Out | -12.7% | -2.8% |
| MR-01 RSI Mean Reversion | Mean reversion | +1.5% | Out | -14.7% | +11.0% |
| ADX-01 ADX Trend Filter | Trend | 0.0% | Out | 0.0% | +5.8% |
| COMBO-01 Bollinger-Keltner Squeeze | Volatility | 0.0% | Out | 0.0% | +18.5% |
| COMBO-03 Divergence Strategy | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| KC-01 Keltner Channel Breakout | Trend | 0.0% | Out | 0.0% | +11.5% |
| MOM-06 Residual Momentum | Momentum | 0.0% | Out | 0.0% | 0.0% |
| 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% | +23.4% |
| REG-01 Regime Switch | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| SEAS-01 Monthly Seasonality | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| TREND-02 Donchian Breakout | Trend | 0.0% | Out | 0.0% | -1.4% |
| TREND-10 Ichimoku Cloud | Trend | 0.0% | Out | 0.0% | +5.6% |
| TREND-15 Darvas Box | Trend | 0.0% | Out | 0.0% | -9.8% |
| 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% |
| CAL-01 Turn of Month | Regime & other | -3.0% | Out | -3.0% | +10.9% |
| RISK-03 Stop Loss Overlay | Regime & other | -4.1% | Out | -4.1% | +21.4% |
| RP-01 Volatility Target | Volatility | -7.1% | In | -7.3% | +5.4% |
| MR-13 TRIX Reversion | Mean reversion | -7.2% | Out | -11.9% | +2.7% |
| MR-16 Connors RSI | Mean reversion | -9.2% | Out | -15.0% | -6.4% |
| VOL-01 Volatility Breakout | Volatility | -9.2% | In | -9.2% | +25.0% |
| COMBO-04 Trend + Mean Reversion Hybrid | Trend | -11.4% | Out | -12.7% | 0.0% |
| HMA-01 HMA Crossover | Trend | -12.4% | Out | -12.4% | +21.7% |
| REG-14 Volatility Regime Switch | Volatility | -12.6% | In | -12.6% | +18.7% |
| MR-04 Ornstein-Uhlenbeck Mean Reversion | Mean reversion | -12.7% | Out | -14.0% | +12.7% |
| REG-10 HMM Regime Detection | Regime & other | -14.6% | Out | -15.6% | +13.0% |
| MOM-11 Momentum Crash Protection | Momentum | -15.1% | In | -15.1% | 0.0% |
| MR-14 Detrended Price Oscillator | Mean reversion | -15.5% | In | -16.4% | -12.5% |
| TREND-18 Coppock Curve | Trend | -15.5% | In | -16.4% | -7.0% |
| MOM-03 52-Week High Momentum | Momentum | -16.1% | In | -16.4% | 0.0% |
| TREND-16 Aroon Indicator | Trend | -16.3% | Out | -17.5% | 0.0% |
| COMBO-02 MACD + RSI Filter | Momentum | -16.4% | In | -16.4% | -3.1% |
| SUPER-01 Supertrend | Trend | -16.4% | In | -16.4% | +0.4% |
| TURTLE-01 Turtle Trading | Trend | -16.4% | Out | -16.4% | -4.4% |
| RISK-04 Trailing Stop Strategy | Trend | -16.4% | In | -16.4% | -8.4% |
| TREND-20 Vortex Indicator | Trend | -16.4% | In | -16.4% | -10.3% |
| TREND-17 Chandelier Exit | Trend | -16.4% | In | -16.4% | -4.2% |
| TREND-11 Kaufman Adaptive Moving Average | Trend | -16.4% | In | -16.4% | +7.9% |
| RISK-01 Drawdown Control | Regime & other | -17.5% | In | -17.5% | +2.4% |
| MR-15 Ultimate Oscillator | Mean reversion | -20.1% | Out | -30.3% | +11.8% |
| VOL-13 Volatility Regime Strategy | Volatility | -20.5% | Out | -20.5% | +27.8% |
| MOM-10 Accelerating Momentum | Trend | -21.1% | In | -21.1% | +6.0% |
| MR-05 CCI Mean Reversion | Mean reversion | -21.3% | Out | -30.3% | +27.6% |
| TREND-12 MACD Strategy | Trend | -22.4% | In | -22.4% | +9.0% |
| MR-12 Money Flow Index Reversion | Mean reversion | -23.2% | Out | -25.2% | +19.8% |
| MR-02 Bollinger Band Reversion | Mean reversion | -25.6% | Out | -25.6% | +27.6% |
| SAR-01 Parabolic SAR | Trend | -26.4% | In | -26.4% | -5.6% |
| MR-11 Williams %R Reversion | Mean reversion | -27.4% | Out | -30.3% | +31.8% |
| MR-03 Kalman Filter Mean Reversion | Mean reversion | -29.6% | Out | -30.6% | +2.1% |
| MR-10 Stochastic Oscillator Reversion | Mean reversion | -29.6% | Out | -30.6% | +13.7% |
| TREND-13 Triple Moving Average | Trend | -41.1% | In | -41.1% | +0.2% |
| MOM-01 Time-Series Momentum | Trend | -41.1% | In | -41.1% | +20.3% |
| EVENT-01 Trend + Macro Filter | Trend | -41.1% | In | -41.1% | -3.6% |
| TREND-05 Dual Moving Average | Trend | -41.1% | In | -41.1% | +2.9% |
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 | -41.6% | 56 | 91% | 39% | -8.6% |
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.