August 2015 China devaluation sell-off
China's surprise yuan devaluation in August raised fears about the world's second-largest economy. US stocks plunged on one wild Monday and commodities slumped further.
Dates checked against the price data: researched window 2015-08-10 to 2015-08-25; measured 2015-07-20 to 2015-08-25 (start shifted by -21 days, end by +0 days).
Price around the event
How the strategies did
Of 56 rule-based strategies with a curve on S&P 500, 30 (54%) were already out of the market going in. 53 (95%) lost less than the market (-11.9%), 3 (5%) finished the window with a gain, and the median strategy returned -4.1%. Strategies that were in the market returned a median -4.4%; those that were already out returned -1.7%. In the following three months the median strategy returned +2.5%.
| Family | Strategies | Already out | Median return | Lost less than the market |
|---|---|---|---|---|
| Trend | 24 | 29% | -3.3% | |
| Momentum | 4 | 25% | -5.7% | |
| Mean reversion | 14 | 100% | -5.6% | |
| Volatility | 6 | 50% | -4.3% | |
| Regime & other | 8 | 62% | -2.3% |
Best five
| Strategy | Return in window |
|---|---|
| TREND-14 Linear Regression Channel | +6.3% |
| MOM-06 Residual Momentum | +0.5% |
| COMBO-04 Trend + Mean Reversion Hybrid | +0.3% |
| 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 | -11.9% |
| TREND-13 Triple Moving Average | -11.9% |
| MOM-03 52-Week High Momentum | -11.9% |
| RISK-01 Drawdown Control | -11.7% |
| EVENT-01 Trend + Macro Filter | -11.3% |
56 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 |
|---|---|---|---|---|---|
| TREND-14 Linear Regression Channel | Trend | +6.3% | In | -2.2% | -8.5% |
| MOM-06 Residual Momentum | Momentum | +0.5% | Out | -0.7% | +0.0% |
| COMBO-04 Trend + Mean Reversion Hybrid | Trend | +0.3% | Out | -0.9% | 0.0% |
| ADX-01 ADX Trend Filter | Trend | 0.0% | Out | 0.0% | -2.7% |
| COMBO-01 Bollinger-Keltner Squeeze | Volatility | 0.0% | Out | 0.0% | -1.1% |
| COMBO-03 Divergence Strategy | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| KC-01 Keltner Channel Breakout | Trend | 0.0% | Out | 0.0% | -1.3% |
| MR-07 Hurst-Filtered Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | +5.6% |
| 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% | +3.2% |
| SEAS-01 Monthly Seasonality | Regime & other | 0.0% | Out | 0.0% | -0.6% |
| TAIL-01 Crisis Alpha | Regime & other | 0.0% | Out | 0.0% | -1.9% |
| TREND-16 Aroon Indicator | Trend | 0.0% | Out | 0.0% | +1.0% |
| TREND-19 Elder Triple Screen | Trend | 0.0% | Out | 0.0% | 0.0% |
| VOL-01 Volatility Breakout | Volatility | -0.3% | Out | -1.0% | +2.3% |
| CAL-01 Turn of Month | Regime & other | -0.5% | Out | -1.2% | +3.3% |
| TREND-11 Kaufman Adaptive Moving Average | Trend | -1.1% | In | -1.1% | +1.0% |
| TREND-18 Coppock Curve | Trend | -1.5% | In | -2.7% | -3.4% |
| TURTLE-01 Turtle Trading | Trend | -2.2% | In | -2.2% | +4.2% |
| SUPER-01 Supertrend | Trend | -2.2% | In | -2.2% | +3.1% |
| SAR-01 Parabolic SAR | Trend | -2.7% | In | -3.2% | +5.1% |
| MOM-10 Accelerating Momentum | Trend | -2.8% | In | -2.8% | -0.5% |
| MR-05 CCI Mean Reversion | Mean reversion | -2.9% | Out | -4.1% | +3.8% |
| VOL-10 Volatility Risk Premium | Volatility | -3.7% | In | -3.7% | +1.0% |
| TREND-10 Ichimoku Cloud | Trend | -3.9% | Out | -3.9% | +4.4% |
| TREND-15 Darvas Box | Trend | -4.1% | In | -4.1% | -2.5% |
| TREND-02 Donchian Breakout | Trend | -4.1% | In | -4.1% | -0.6% |
| REG-01 Regime Switch | Regime & other | -4.1% | In | -4.1% | +1.5% |
| TREND-12 MACD Strategy | Trend | -4.1% | In | -4.1% | +2.1% |
| MR-02 Bollinger Band Reversion | Mean reversion | -4.2% | Out | -4.2% | +5.1% |
| HMA-01 HMA Crossover | Trend | -4.4% | In | -4.4% | +4.1% |
| COMBO-02 MACD + RSI Filter | Momentum | -4.4% | In | -4.4% | +3.0% |
| TREND-17 Chandelier Exit | Trend | -4.5% | In | -4.5% | -0.5% |
| REG-14 Volatility Regime Switch | Volatility | -4.9% | In | -4.9% | +2.3% |
| MR-01 RSI Mean Reversion | Mean reversion | -5.3% | Out | -5.3% | +3.8% |
| MR-12 Money Flow Index Reversion | Mean reversion | -5.3% | Out | -5.3% | +4.0% |
| RISK-03 Stop Loss Overlay | Regime & other | -5.5% | In | -5.5% | +2.3% |
| REG-10 HMM Regime Detection | Regime & other | -5.8% | Out | -5.8% | -1.3% |
| MR-15 Ultimate Oscillator | Mean reversion | -5.9% | Out | -8.2% | +5.9% |
| RISK-04 Trailing Stop Strategy | Trend | -6.3% | In | -6.3% | +3.8% |
| TREND-20 Vortex Indicator | Trend | -6.6% | Out | -6.6% | -1.6% |
| MOM-11 Momentum Crash Protection | Momentum | -6.9% | In | -6.9% | +2.6% |
| MR-03 Kalman Filter Mean Reversion | Mean reversion | -8.2% | Out | -8.2% | +6.5% |
| MR-04 Ornstein-Uhlenbeck Mean Reversion | Mean reversion | -8.2% | Out | -8.2% | 0.0% |
| MR-06 Z-Score Mean Reversion | Mean reversion | -8.2% | Out | -8.2% | +12.7% |
| MR-16 Connors RSI | Mean reversion | -8.6% | Out | -8.6% | +10.3% |
| VOL-13 Volatility Regime Strategy | Volatility | -8.8% | Out | -8.8% | +5.7% |
| MR-10 Stochastic Oscillator Reversion | Mean reversion | -8.9% | Out | -10.1% | +10.7% |
| MR-11 Williams %R Reversion | Mean reversion | -9.0% | Out | -10.2% | +6.8% |
| MOM-01 Time-Series Momentum | Trend | -10.9% | In | -10.9% | +0.6% |
| RP-01 Volatility Target | Volatility | -11.3% | In | -11.3% | +7.9% |
| EVENT-01 Trend + Macro Filter | Trend | -11.3% | In | -11.3% | +6.4% |
| RISK-01 Drawdown Control | Regime & other | -11.7% | In | -11.7% | +10.3% |
| MOM-03 52-Week High Momentum | Momentum | -11.9% | In | -11.9% | +12.2% |
| TREND-13 Triple Moving Average | Trend | -11.9% | In | -11.9% | +5.5% |
| TREND-05 Dual Moving Average | Trend | -11.9% | In | -11.9% | +4.4% |
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.
Other markets in the same window
| Market | Move | Strategies | Ahead of the market | Already out | Median return |
|---|---|---|---|---|---|
| Oil | -23.7% | 56 | 95% | 70% | 0.0% |
| Commodities | -12.5% | 56 | 98% | 70% | 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.