Brexit referendum 2016
The UK voted to leave the European Union in the June referendum. Sterling plunged, the euro and global stocks dropped, and gold rose as investors looked for havens.
Dates checked against the price data: researched window 2016-06-23 to 2016-06-27; measured 2016-06-09 to 2016-06-28 (start shifted by -14 days, end by +1 days).
Price around the event
How the strategies did
Of 56 rule-based strategies with a curve on EUR/USD, 30 (54%) were already out of the market going in. 47 (84%) lost less than the market (-3.4%), 3 (5%) finished the window with a gain, and the median strategy returned -0.2%. Strategies that were in the market returned a median -3.3%; those that were already out returned 0.0%. In the following three months the median strategy returned 0.0%.
| Family | Strategies | Already out | Median return | Lost less than the market |
|---|---|---|---|---|
| Trend | 24 | 38% | -3.3% | |
| Momentum | 4 | 25% | -1.6% | |
| Mean reversion | 14 | 100% | 0.0% | |
| Volatility | 6 | 33% | -0.7% | |
| Regime & other | 8 | 50% | -1.6% |
Best five
| Strategy | Return in window |
|---|---|
| MR-10 Stochastic Oscillator Reversion | +0.5% |
| MR-11 Williams %R Reversion | +0.5% |
| MOM-06 Residual Momentum | +0.2% |
| CAL-01 Turn of Month | 0.0% |
| COMBO-01 Bollinger-Keltner Squeeze | 0.0% |
Worst five
| Strategy | Return in window |
|---|---|
| TREND-17 Chandelier Exit | -5.6% |
| RISK-03 Stop Loss Overlay | -4.8% |
| HMA-01 HMA Crossover | -4.2% |
| RISK-04 Trailing Stop Strategy | -3.7% |
| TREND-11 Kaufman Adaptive Moving Average | -3.7% |
56 of 72 strategies have a curve on EUR/USD. Portfolio, basket and multi-asset strategies without one are excluded.
All strategies on EUR/USD
| Strategy | Family | Return in window | In the market going in? | Max drawdown in window | Next 3 months |
|---|---|---|---|---|---|
| MR-10 Stochastic Oscillator Reversion | Mean reversion | +0.5% | Out | -0.2% | +2.0% |
| MR-11 Williams %R Reversion | Mean reversion | +0.5% | Out | -0.2% | +1.1% |
| MOM-06 Residual Momentum | Momentum | +0.2% | In | -1.0% | +0.1% |
| CAL-01 Turn of Month | Regime & other | 0.0% | Out | 0.0% | +1.8% |
| COMBO-01 Bollinger-Keltner Squeeze | Volatility | 0.0% | Out | 0.0% | -1.1% |
| COMBO-02 MACD + RSI Filter | Momentum | 0.0% | Out | 0.0% | +0.5% |
| COMBO-03 Divergence Strategy | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| COMBO-04 Trend + Mean Reversion Hybrid | Trend | 0.0% | Out | 0.0% | -0.7% |
| KC-01 Keltner Channel Breakout | Trend | 0.0% | Out | 0.0% | 0.0% |
| MR-01 RSI Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | 0.0% |
| MR-02 Bollinger Band Reversion | Mean reversion | 0.0% | Out | 0.0% | +0.5% |
| MR-07 Hurst-Filtered Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | 0.0% |
| MR-12 Money Flow Index Reversion | Mean reversion | 0.0% | Out | 0.0% | +0.9% |
| MR-13 TRIX Reversion | Mean reversion | 0.0% | Out | 0.0% | 0.0% |
| MR-14 Detrended Price Oscillator | Mean reversion | 0.0% | Out | 0.0% | 0.0% |
| MR-15 Ultimate Oscillator | Mean reversion | 0.0% | Out | 0.0% | +1.8% |
| SEAS-01 Monthly Seasonality | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| TAIL-01 Crisis Alpha | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| TREND-02 Donchian Breakout | Trend | 0.0% | Out | 0.0% | 0.0% |
| TREND-14 Linear Regression Channel | Trend | 0.0% | Out | 0.0% | -0.7% |
| TREND-15 Darvas Box | Trend | 0.0% | Out | 0.0% | -1.2% |
| TREND-19 Elder Triple Screen | Trend | 0.0% | Out | 0.0% | 0.0% |
| VOL-01 Volatility Breakout | Volatility | 0.0% | In | 0.0% | +0.4% |
| MR-03 Kalman Filter Mean Reversion | Mean reversion | -0.2% | Out | -0.2% | +1.4% |
| MR-04 Ornstein-Uhlenbeck Mean Reversion | Mean reversion | -0.2% | Out | -0.2% | +0.5% |
| MR-16 Connors RSI | Mean reversion | -0.2% | Out | -0.2% | +1.4% |
| MR-05 CCI Mean Reversion | Mean reversion | -0.2% | Out | -0.2% | +0.9% |
| MR-06 Z-Score Mean Reversion | Mean reversion | -0.2% | Out | -0.2% | +0.7% |
| TREND-16 Aroon Indicator | Trend | -0.2% | Out | -0.9% | -0.0% |
| VOL-13 Volatility Regime Strategy | Volatility | -0.4% | In | -0.4% | -0.8% |
| TREND-18 Coppock Curve | Trend | -0.7% | In | -1.7% | -0.0% |
| TREND-20 Vortex Indicator | Trend | -0.7% | In | -1.7% | -0.9% |
| ADX-01 ADX Trend Filter | Trend | -0.8% | In | -0.8% | -1.6% |
| REG-14 Volatility Regime Switch | Volatility | -1.0% | In | -1.0% | +0.3% |
| SAR-01 Parabolic SAR | Trend | -1.3% | In | -1.7% | -0.3% |
| VOL-10 Volatility Risk Premium | Volatility | -2.5% | Out | -2.6% | +0.7% |
| RP-01 Volatility Target | Volatility | -2.6% | In | -2.6% | +1.9% |
| TREND-12 MACD Strategy | Trend | -3.3% | In | -3.3% | -0.3% |
| REG-01 Regime Switch | Regime & other | -3.3% | In | -3.3% | -0.1% |
| TURTLE-01 Turtle Trading | Trend | -3.3% | In | -3.3% | +0.3% |
| SUPER-01 Supertrend | Trend | -3.3% | In | -3.3% | -0.1% |
| MOM-01 Time-Series Momentum | Trend | -3.3% | Out | -3.3% | -1.0% |
| MOM-11 Momentum Crash Protection | Momentum | -3.3% | In | -3.3% | +0.2% |
| MOM-10 Accelerating Momentum | Trend | -3.4% | In | -3.4% | -1.2% |
| TREND-10 Ichimoku Cloud | Trend | -3.4% | Out | -3.4% | -1.1% |
| REG-10 HMM Regime Detection | Regime & other | -3.4% | In | -3.4% | +0.9% |
| MOM-03 52-Week High Momentum | Momentum | -3.4% | In | -3.4% | +1.8% |
| RISK-01 Drawdown Control | Regime & other | -3.4% | In | -3.4% | +1.8% |
| EVENT-01 Trend + Macro Filter | Trend | -3.4% | In | -3.4% | +2.4% |
| TREND-05 Dual Moving Average | Trend | -3.4% | In | -3.4% | +1.8% |
| TREND-13 Triple Moving Average | Trend | -3.4% | In | -3.4% | +1.8% |
| TREND-11 Kaufman Adaptive Moving Average | Trend | -3.7% | In | -3.7% | -0.7% |
| RISK-04 Trailing Stop Strategy | Trend | -3.7% | In | -3.7% | -0.5% |
| HMA-01 HMA Crossover | Trend | -4.2% | In | -4.2% | +1.2% |
| RISK-03 Stop Loss Overlay | Regime & other | -4.8% | In | -4.8% | -1.0% |
| TREND-17 Chandelier Exit | Trend | -5.6% | In | -5.6% | -0.5% |
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 |
|---|---|---|---|---|---|
| S&P 500 | -3.7% | 56 | 70% | 41% | -1.7% |
| Gold | +3.4% | 56 | 16% | 57% | 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.