Early 2016 sell-off
Global stocks began the year with a sharp decline driven by China growth fears, falling oil and a weak yuan. US stocks bottomed in mid February before recovering.
Dates checked against the price data: researched window 2016-01-04 to 2016-02-11; measured 2015-12-29 to 2016-02-11 (start shifted by -6 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, 37 (66%) were already out of the market going in. 54 (96%) lost less than the market (-11.8%), 1 (2%) finished the window with a gain, and the median strategy returned -2.2%. Strategies that were in the market returned a median -5.7%; those that were already out returned -0.2%. In the following three months the median strategy returned +2.3%.
| Family | Strategies | Already out | Median return | Lost less than the market |
|---|---|---|---|---|
| Trend | 24 | 67% | -2.0% | |
| Momentum | 4 | 0% | -4.2% | |
| Mean reversion | 14 | 100% | -4.1% | |
| Volatility | 6 | 67% | -1.3% | |
| Regime & other | 8 | 38% | -1.7% |
Best five
| Strategy | Return in window |
|---|---|
| MR-14 Detrended Price Oscillator | +0.8% |
| ADX-01 ADX Trend Filter | 0.0% |
| COMBO-03 Divergence Strategy | 0.0% |
| COMBO-04 Trend + Mean Reversion Hybrid | 0.0% |
| KC-01 Keltner Channel Breakout | 0.0% |
Worst five
| Strategy | Return in window |
|---|---|
| VOL-10 Volatility Risk Premium | -13.0% |
| RISK-01 Drawdown Control | -11.8% |
| MOM-03 52-Week High Momentum | -11.8% |
| SEAS-01 Monthly Seasonality | -11.8% |
| TREND-05 Dual Moving Average | -9.4% |
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 |
|---|---|---|---|---|---|
| MR-14 Detrended Price Oscillator | Mean reversion | +0.8% | Out | 0.0% | +1.7% |
| ADX-01 ADX Trend Filter | Trend | 0.0% | Out | 0.0% | +0.4% |
| 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% | +0.4% |
| KC-01 Keltner Channel Breakout | Trend | 0.0% | Out | 0.0% | +2.3% |
| MR-07 Hurst-Filtered Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | 0.0% |
| MR-13 TRIX Reversion | Mean reversion | 0.0% | Out | 0.0% | 0.0% |
| REG-10 HMM Regime Detection | Regime & other | 0.0% | Out | 0.0% | +7.7% |
| SUPER-01 Supertrend | Trend | 0.0% | Out | 0.0% | +6.8% |
| TAIL-01 Crisis Alpha | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| TREND-02 Donchian Breakout | Trend | 0.0% | Out | 0.0% | +0.7% |
| TREND-10 Ichimoku Cloud | Trend | 0.0% | Out | 0.0% | +4.3% |
| TREND-13 Triple Moving Average | Trend | 0.0% | Out | 0.0% | -0.7% |
| TREND-15 Darvas Box | Trend | 0.0% | Out | 0.0% | +6.6% |
| TREND-16 Aroon Indicator | Trend | 0.0% | Out | 0.0% | +2.7% |
| TREND-19 Elder Triple Screen | Trend | 0.0% | Out | 0.0% | 0.0% |
| TURTLE-01 Turtle Trading | Trend | 0.0% | Out | 0.0% | +7.1% |
| MR-01 RSI Mean Reversion | Mean reversion | -0.1% | Out | -3.3% | 0.0% |
| MR-06 Z-Score Mean Reversion | Mean reversion | -0.2% | Out | -4.3% | 0.0% |
| VOL-13 Volatility Regime Strategy | Volatility | -0.2% | Out | -4.3% | +2.3% |
| REG-14 Volatility Regime Switch | Volatility | -0.9% | Out | -0.9% | +3.3% |
| COMBO-01 Bollinger-Keltner Squeeze | Volatility | -1.1% | Out | -1.1% | -0.9% |
| VOL-01 Volatility Breakout | Volatility | -1.6% | Out | -1.6% | -2.2% |
| MOM-11 Momentum Crash Protection | Momentum | -1.7% | In | -1.7% | -4.6% |
| REG-01 Regime Switch | Regime & other | -1.7% | In | -1.7% | +2.4% |
| RISK-03 Stop Loss Overlay | Regime & other | -1.7% | In | -1.7% | +4.8% |
| TREND-14 Linear Regression Channel | Trend | -2.0% | Out | -6.7% | +5.4% |
| MOM-10 Accelerating Momentum | Trend | -2.0% | In | -2.0% | +2.0% |
| TREND-18 Coppock Curve | Trend | -2.4% | Out | -2.4% | +7.3% |
| TREND-17 Chandelier Exit | Trend | -3.0% | Out | -3.1% | +5.5% |
| MR-12 Money Flow Index Reversion | Mean reversion | -3.1% | Out | -4.3% | +0.8% |
| CAL-01 Turn of Month | Regime & other | -3.6% | In | -5.2% | +2.0% |
| MOM-06 Residual Momentum | Momentum | -3.8% | In | -9.0% | +1.7% |
| MR-15 Ultimate Oscillator | Mean reversion | -3.9% | Out | -6.6% | +5.5% |
| MR-02 Bollinger Band Reversion | Mean reversion | -4.3% | Out | -6.6% | 0.0% |
| MR-04 Ornstein-Uhlenbeck Mean Reversion | Mean reversion | -4.4% | Out | -4.7% | 0.0% |
| COMBO-02 MACD + RSI Filter | Momentum | -4.5% | In | -4.5% | +8.4% |
| TREND-12 MACD Strategy | Trend | -4.6% | In | -4.6% | +6.9% |
| TREND-20 Vortex Indicator | Trend | -5.0% | Out | -5.0% | +7.7% |
| MR-11 Williams %R Reversion | Mean reversion | -5.0% | Out | -7.8% | +5.6% |
| MR-16 Connors RSI | Mean reversion | -5.0% | Out | -5.2% | +2.1% |
| TREND-11 Kaufman Adaptive Moving Average | Trend | -5.2% | Out | -5.2% | +7.3% |
| HMA-01 HMA Crossover | Trend | -5.7% | In | -5.7% | +1.8% |
| SAR-01 Parabolic SAR | Trend | -5.7% | In | -5.7% | +5.0% |
| RISK-04 Trailing Stop Strategy | Trend | -6.0% | In | -6.0% | +7.7% |
| MOM-01 Time-Series Momentum | Trend | -6.6% | In | -6.6% | +0.3% |
| MR-05 CCI Mean Reversion | Mean reversion | -6.7% | Out | -6.8% | +4.9% |
| EVENT-01 Trend + Macro Filter | Trend | -6.8% | In | -7.3% | +0.9% |
| RP-01 Volatility Target | Volatility | -7.5% | In | -7.5% | +9.5% |
| MR-10 Stochastic Oscillator Reversion | Mean reversion | -7.8% | Out | -7.9% | +4.3% |
| MR-03 Kalman Filter Mean Reversion | Mean reversion | -8.0% | Out | -8.0% | +6.5% |
| TREND-05 Dual Moving Average | Trend | -9.4% | In | -9.4% | -1.7% |
| SEAS-01 Monthly Seasonality | Regime & other | -11.8% | In | -11.8% | +14.3% |
| MOM-03 52-Week High Momentum | Momentum | -11.8% | In | -11.8% | +13.5% |
| RISK-01 Drawdown Control | Regime & other | -11.8% | In | -11.8% | +13.4% |
| VOL-10 Volatility Risk Premium | Volatility | -13.0% | In | -13.0% | +11.6% |
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 | -29.0% | 56 | 96% | 68% | -3.1% |
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.