COVID-19 crash 2020
Pandemic lockdowns around the world caused the fastest bear market on record in US stocks. Oil collapsed on demand fears, while gold and bitcoin were sold for cash in the liquidity crunch.
Dates checked against the price data: researched window 2020-02-19 to 2020-03-23; measured 2020-02-19 to 2020-03-23 (start shifted by +0 days, end by +0 days).
Price around the event
How the strategies did
Of 62 rule-based strategies with a curve on S&P 500, 25 (40%) were already out of the market going in. 59 (95%) lost less than the market (-33.7%), 3 (5%) finished the window with a gain, and the median strategy returned -7.6%. Strategies that were in the market returned a median -7.6%; those that were already out returned -7.4%. In the following three months the median strategy returned +8.8%.
| Family | Strategies | Already out | Median return | Lost less than the market |
|---|---|---|---|---|
| Trend | 24 | 17% | -4.7% | |
| Momentum | 4 | 25% | -12.1% | |
| Mean reversion | 15 | 93% | -18.3% | |
| Volatility | 6 | 33% | -6.7% | |
| Regime & other | 13 | 31% | -8.0% |
Best five
| Strategy | Return in window |
|---|---|
| TREND-14 Linear Regression Channel | +33.9% |
| TAIL-01 Crisis Alpha | +25.7% |
| MR-16 Connors RSI | +9.4% |
| ADX-01 ADX Trend Filter | 0.0% |
| COMBO-03 Divergence Strategy | 0.0% |
Worst five
| Strategy | Return in window |
|---|---|
| MR-05 CCI Mean Reversion | -35.4% |
| TREND-05 Dual Moving Average | -33.7% |
| SEAS-01 Monthly Seasonality | -33.7% |
| TREND-13 Triple Moving Average | -33.7% |
| EVENT-01 Trend + Macro Filter | -32.3% |
62 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 | +33.9% | In | -8.5% | -16.4% |
| TAIL-01 Crisis Alpha | Regime & other | +25.7% | Out | -8.5% | -27.9% |
| MR-16 Connors RSI | Mean reversion | +9.4% | Out | -8.1% | +11.7% |
| ADX-01 ADX Trend Filter | Trend | 0.0% | Out | 0.0% | -5.5% |
| COMBO-03 Divergence Strategy | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| MR-07 Hurst-Filtered Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | 0.0% |
| TREND-19 Elder Triple Screen | Trend | 0.0% | Out | 0.0% | 0.0% |
| TURTLE-01 Turtle Trading | Trend | -1.4% | In | -1.4% | +2.9% |
| RISK-04 Trailing Stop Strategy | Trend | -1.4% | In | -1.4% | +8.2% |
| COMBO-02 MACD + RSI Filter | Momentum | -1.4% | In | -1.4% | +15.9% |
| COMBO-01 Bollinger-Keltner Squeeze | Volatility | -1.4% | In | -1.4% | -1.6% |
| TREND-12 MACD Strategy | Trend | -1.4% | In | -1.4% | +16.0% |
| TREND-11 Kaufman Adaptive Moving Average | Trend | -1.4% | In | -1.4% | +7.3% |
| MR-14 Detrended Price Oscillator | Mean reversion | -1.8% | In | -9.6% | +17.0% |
| STAT-11 Cointegration Basket | Mean reversion | -2.7% | Out | -2.7% | +4.3% |
| COMBO-04 Trend + Mean Reversion Hybrid | Trend | -2.9% | Out | -2.9% | 0.0% |
| TREND-16 Aroon Indicator | Trend | -3.0% | Out | -3.0% | +0.8% |
| MOM-06 Residual Momentum | Momentum | -3.0% | Out | -7.8% | +7.6% |
| CAL-01 Turn of Month | Regime & other | -3.3% | Out | -5.2% | +4.5% |
| REG-14 Volatility Regime Switch | Volatility | -3.5% | In | -3.5% | +4.9% |
| VOL-10 Volatility Risk Premium | Volatility | -4.7% | In | -4.7% | +7.3% |
| TREND-20 Vortex Indicator | Trend | -4.7% | In | -4.7% | +12.0% |
| RISK-03 Stop Loss Overlay | Regime & other | -4.7% | In | -4.7% | +9.9% |
| SAR-01 Parabolic SAR | Trend | -4.7% | In | -4.7% | +12.4% |
| KC-01 Keltner Channel Breakout | Trend | -4.7% | In | -4.7% | -4.9% |
| SUPER-01 Supertrend | Trend | -4.7% | In | -4.7% | +9.7% |
| MR-01 RSI Mean Reversion | Mean reversion | -4.8% | Out | -12.3% | 0.0% |
| STAT-10 Dynamic Hedge Ratio Pairs | Regime & other | -7.4% | Out | -8.1% | +9.5% |
| TREND-15 Darvas Box | Trend | -7.6% | In | -7.6% | +12.1% |
| REG-10 HMM Regime Detection | Regime & other | -7.6% | In | -7.6% | +17.8% |
| TREND-10 Ichimoku Cloud | Trend | -7.6% | In | -7.6% | +9.6% |
| TREND-02 Donchian Breakout | Trend | -7.6% | In | -7.6% | +4.3% |
| TREND-18 Coppock Curve | Trend | -7.9% | In | -7.9% | +17.7% |
| MACRO-02 Risk-On/Risk-Off Switch | Regime & other | -8.0% | In | -13.2% | +14.7% |
| MACRO-03 Flight to Quality | Regime & other | -8.6% | In | -13.8% | +12.8% |
| RP-01 Volatility Target | Volatility | -8.7% | In | -8.7% | +5.0% |
| MR-04 Ornstein-Uhlenbeck Mean Reversion | Mean reversion | -8.7% | Out | -13.2% | 0.0% |
| HMA-01 HMA Crossover | Trend | -9.7% | In | -9.7% | +11.0% |
| TREND-17 Chandelier Exit | Trend | -10.5% | In | -10.5% | +7.1% |
| MOM-10 Accelerating Momentum | Trend | -12.3% | In | -12.3% | -1.0% |
| MR-03 Kalman Filter Mean Reversion | Mean reversion | -14.0% | Out | -22.2% | +22.9% |
| MACRO-01 Cross-Asset Momentum | Regime & other | -15.9% | In | -17.9% | +10.2% |
| REG-01 Regime Switch | Regime & other | -17.4% | In | -17.4% | 0.0% |
| MR-13 TRIX Reversion | Mean reversion | -18.3% | Out | -18.3% | +12.2% |
| MR-02 Bollinger Band Reversion | Mean reversion | -19.5% | Out | -19.6% | +17.2% |
| VOL-01 Volatility Breakout | Volatility | -20.4% | Out | -20.4% | +3.6% |
| MR-12 Money Flow Index Reversion | Mean reversion | -20.6% | Out | -20.7% | 0.0% |
| MOM-11 Momentum Crash Protection | Momentum | -21.2% | In | -21.2% | -3.0% |
| FACTOR-05 Multi-Factor Composite | Regime & other | -23.4% | In | -25.6% | +12.1% |
| MOM-01 Time-Series Momentum | Trend | -26.7% | In | -26.7% | +4.0% |
| MR-11 Williams %R Reversion | Mean reversion | -26.7% | Out | -26.7% | +18.8% |
| RISK-01 Drawdown Control | Regime & other | -27.8% | In | -27.8% | +12.1% |
| MR-06 Z-Score Mean Reversion | Mean reversion | -28.3% | Out | -28.3% | +10.7% |
| VOL-13 Volatility Regime Strategy | Volatility | -30.0% | Out | -30.0% | +11.5% |
| MR-10 Stochastic Oscillator Reversion | Mean reversion | -30.4% | Out | -30.4% | 0.0% |
| MR-15 Ultimate Oscillator | Mean reversion | -30.4% | Out | -30.4% | +13.7% |
| MOM-03 52-Week High Momentum | Momentum | -31.3% | In | -31.3% | +5.5% |
| EVENT-01 Trend + Macro Filter | Trend | -32.3% | In | -32.3% | +13.7% |
| TREND-13 Triple Moving Average | Trend | -33.7% | In | -33.7% | +45.0% |
| SEAS-01 Monthly Seasonality | Regime & other | -33.7% | In | -33.7% | +26.8% |
| TREND-05 Dual Moving Average | Trend | -33.7% | In | -33.7% | +15.6% |
| MR-05 CCI Mean Reversion | Mean reversion | -35.4% | Out | -35.4% | +18.8% |
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 | -56.4% | 56 | 96% | 59% | -3.9% |
| Gold | -3.6% | 56 | 54% | 39% | -3.6% |
| Bitcoin | -33.4% | 56 | 93% | 45% | -5.8% |
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.