Crypto peak in November 2021 to 2022 lows
Bitcoin reached an all-time high in November 2021 and then entered a year-long bear market as rate hikes and the failures of Terra and large crypto funds drained liquidity.
Dates checked against the price data: researched window 2021-11-10 to 2022-11-21; measured 2021-11-08 to 2022-11-21 (start shifted by -2 days, end by +0 days).
Price around the event
How the strategies did
Of 56 rule-based strategies with a curve on Bitcoin, 30 (54%) were already out of the market going in. 56 (100%) lost less than the market (-76.6%), 4 (7%) finished the window with a gain, and the median strategy returned -38.2%. Strategies that were in the market returned a median -43.2%; those that were already out returned -31.8%. In the following three months the median strategy returned +12.8%.
| Family | Strategies | Already out | Median return | Lost less than the market |
|---|---|---|---|---|
| Trend | 24 | 33% | -42.6% | |
| Momentum | 4 | 50% | -27.0% | |
| Mean reversion | 14 | 93% | -39.6% | |
| Volatility | 6 | 50% | -24.3% | |
| Regime & other | 8 | 50% | -23.1% |
Best five
| Strategy | Return in window |
|---|---|
| TAIL-01 Crisis Alpha | +233.3% |
| MR-13 TRIX Reversion | +28.2% |
| MR-01 RSI Mean Reversion | +19.8% |
| VOL-10 Volatility Risk Premium | +0.8% |
| COMBO-03 Divergence Strategy | 0.0% |
Worst five
| Strategy | Return in window |
|---|---|
| REG-10 HMM Regime Detection | -66.8% |
| TREND-18 Coppock Curve | -62.7% |
| SAR-01 Parabolic SAR | -61.4% |
| MR-14 Detrended Price Oscillator | -59.2% |
| TREND-20 Vortex Indicator | -57.8% |
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 | +233.3% | In | -33.3% | -20.0% |
| MR-13 TRIX Reversion | Mean reversion | +28.2% | Out | -20.9% | +3.2% |
| MR-01 RSI Mean Reversion | Mean reversion | +19.8% | Out | -15.8% | +2.1% |
| VOL-10 Volatility Risk Premium | Volatility | +0.8% | Out | -2.5% | +14.8% |
| COMBO-03 Divergence Strategy | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| MR-06 Z-Score Mean 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% |
| MOM-11 Momentum Crash Protection | Momentum | -3.9% | Out | -3.9% | 0.0% |
| COMBO-04 Trend + Mean Reversion Hybrid | Trend | -8.2% | Out | -12.5% | 0.0% |
| TREND-14 Linear Regression Channel | Trend | -11.3% | In | -36.7% | +10.1% |
| MR-15 Ultimate Oscillator | Mean reversion | -13.7% | Out | -33.5% | +10.8% |
| MOM-03 52-Week High Momentum | Momentum | -15.7% | In | -15.7% | 0.0% |
| CAL-01 Turn of Month | Regime & other | -17.9% | Out | -22.2% | +6.6% |
| VOL-01 Volatility Breakout | Volatility | -19.9% | Out | -21.5% | +15.1% |
| RP-01 Volatility Target | Volatility | -22.1% | In | -22.2% | +15.8% |
| MR-04 Ornstein-Uhlenbeck Mean Reversion | Mean reversion | -22.3% | Out | -26.3% | +2.6% |
| MOM-01 Time-Series Momentum | Trend | -24.8% | In | -29.0% | 0.0% |
| MOM-10 Accelerating Momentum | Trend | -26.3% | In | -26.3% | +6.8% |
| COMBO-01 Bollinger-Keltner Squeeze | Volatility | -26.5% | Out | -27.3% | +27.3% |
| EVENT-01 Trend + Macro Filter | Trend | -27.2% | In | -27.2% | 0.0% |
| ADX-01 ADX Trend Filter | Trend | -28.0% | In | -28.8% | +27.9% |
| RISK-01 Drawdown Control | Regime & other | -28.2% | In | -28.2% | +3.9% |
| MR-12 Money Flow Index Reversion | Mean reversion | -28.6% | Out | -42.7% | +4.8% |
| TREND-17 Chandelier Exit | Trend | -34.7% | In | -35.9% | +36.0% |
| KC-01 Keltner Channel Breakout | Trend | -35.0% | Out | -35.0% | +31.5% |
| TREND-05 Dual Moving Average | Trend | -36.2% | In | -38.5% | 0.0% |
| TREND-02 Donchian Breakout | Trend | -38.0% | In | -38.0% | +27.9% |
| COMBO-02 MACD + RSI Filter | Momentum | -38.3% | Out | -40.8% | +5.2% |
| MR-03 Kalman Filter Mean Reversion | Mean reversion | -39.5% | Out | -53.2% | +16.4% |
| MR-07 Hurst-Filtered Mean Reversion | Mean reversion | -39.6% | Out | -51.4% | 0.0% |
| MR-02 Bollinger Band Reversion | Mean reversion | -41.1% | Out | -44.1% | 0.0% |
| MR-05 CCI Mean Reversion | Mean reversion | -41.3% | Out | -41.5% | +3.9% |
| TREND-16 Aroon Indicator | Trend | -42.0% | Out | -42.5% | +19.7% |
| MOM-06 Residual Momentum | Momentum | -42.5% | In | -42.5% | +44.6% |
| TREND-10 Ichimoku Cloud | Trend | -43.2% | Out | -43.2% | +21.5% |
| TREND-13 Triple Moving Average | Trend | -43.9% | In | -48.2% | 0.0% |
| MR-16 Connors RSI | Mean reversion | -46.1% | Out | -52.5% | +4.9% |
| VOL-13 Volatility Regime Strategy | Volatility | -47.8% | In | -49.2% | +43.0% |
| TREND-12 MACD Strategy | Trend | -48.7% | Out | -48.7% | +34.5% |
| MR-10 Stochastic Oscillator Reversion | Mean reversion | -49.0% | Out | -49.2% | +8.6% |
| TREND-11 Kaufman Adaptive Moving Average | Trend | -49.5% | In | -49.5% | +24.2% |
| RISK-03 Stop Loss Overlay | Regime & other | -50.8% | In | -50.8% | +25.5% |
| SUPER-01 Supertrend | Trend | -51.3% | Out | -51.3% | +24.9% |
| HMA-01 HMA Crossover | Trend | -52.3% | Out | -52.3% | +25.8% |
| RISK-04 Trailing Stop Strategy | Trend | -53.4% | In | -53.4% | +37.6% |
| MR-11 Williams %R Reversion | Mean reversion | -53.5% | Out | -60.5% | +8.6% |
| TURTLE-01 Turtle Trading | Trend | -54.8% | In | -54.8% | +28.8% |
| REG-14 Volatility Regime Switch | Volatility | -55.4% | In | -55.4% | +37.7% |
| SEAS-01 Monthly Seasonality | Regime & other | -56.1% | In | -56.1% | +45.3% |
| TREND-15 Darvas Box | Trend | -57.0% | In | -57.0% | +29.0% |
| TREND-20 Vortex Indicator | Trend | -57.8% | In | -57.8% | +33.0% |
| MR-14 Detrended Price Oscillator | Mean reversion | -59.2% | In | -59.2% | +17.0% |
| SAR-01 Parabolic SAR | Trend | -61.4% | In | -61.4% | +23.8% |
| TREND-18 Coppock Curve | Trend | -62.7% | In | -62.7% | +32.1% |
| REG-10 HMM Regime Detection | Regime & other | -66.8% | Out | -66.8% | +40.5% |
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 |
|---|---|---|---|---|---|
| Ether | -77.0% | 56 | 100% | 43% | -31.3% |
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.