2022 EUR/USD falls below parity
The euro slid toward parity with the dollar in the summer as the Fed hiked faster than the ECB and Europe faced an energy shock. The pair touched its lowest level in about two decades.
Dates checked against the price data: researched window 2022-05-31 to 2022-07-14; measured 2022-05-31 to 2022-07-15 (start shifted by +0 days, end by +1 days).
Price around the event
How the strategies did
Of 56 rule-based strategies with a curve on EUR/USD, 37 (66%) were already out of the market going in. 55 (98%) lost less than the market (-6.9%), 2 (4%) finished the window with a gain, and the median strategy returned -0.9%. Strategies that were in the market returned a median -2.6%; 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 | 50% | 0.0% | |
| Momentum | 4 | 50% | -2.8% | |
| Mean reversion | 14 | 100% | -1.3% | |
| Volatility | 6 | 83% | -0.9% | |
| Regime & other | 8 | 50% | -1.2% |
Best five
| Strategy | Return in window |
|---|---|
| TREND-14 Linear Regression Channel | +2.3% |
| MR-06 Z-Score Mean Reversion | +1.4% |
| COMBO-01 Bollinger-Keltner Squeeze | 0.0% |
| COMBO-03 Divergence Strategy | 0.0% |
| COMBO-04 Trend + Mean Reversion Hybrid | 0.0% |
Worst five
| Strategy | Return in window |
|---|---|
| MOM-03 52-Week High Momentum | -6.9% |
| VOL-10 Volatility Risk Premium | -6.8% |
| RP-01 Volatility Target | -6.4% |
| RISK-01 Drawdown Control | -5.7% |
| MR-10 Stochastic Oscillator Reversion | -4.9% |
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 |
|---|---|---|---|---|---|
| TREND-14 Linear Regression Channel | Trend | +2.3% | In | -3.0% | -9.4% |
| MR-06 Z-Score Mean Reversion | Mean reversion | +1.4% | Out | -0.5% | +1.0% |
| COMBO-01 Bollinger-Keltner Squeeze | Volatility | 0.0% | Out | 0.0% | -2.8% |
| 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% | 0.0% |
| EVENT-01 Trend + Macro Filter | Trend | 0.0% | Out | 0.0% | 0.0% |
| KC-01 Keltner Channel Breakout | Trend | 0.0% | Out | 0.0% | 0.0% |
| MOM-01 Time-Series Momentum | Trend | 0.0% | Out | 0.0% | 0.0% |
| MOM-10 Accelerating Momentum | Trend | 0.0% | Out | 0.0% | 0.0% |
| MOM-11 Momentum Crash Protection | Momentum | 0.0% | Out | 0.0% | 0.0% |
| 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% |
| REG-01 Regime Switch | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| 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-05 Dual Moving Average | Trend | 0.0% | Out | 0.0% | 0.0% |
| TREND-10 Ichimoku Cloud | Trend | 0.0% | Out | 0.0% | 0.0% |
| TREND-13 Triple Moving Average | Trend | 0.0% | Out | 0.0% | 0.0% |
| TREND-15 Darvas Box | Trend | 0.0% | Out | 0.0% | 0.0% |
| TREND-16 Aroon Indicator | Trend | 0.0% | Out | 0.0% | -2.6% |
| TREND-19 Elder Triple Screen | Trend | 0.0% | Out | 0.0% | 0.0% |
| VOL-01 Volatility Breakout | Volatility | 0.0% | Out | 0.0% | -0.4% |
| MR-02 Bollinger Band Reversion | Mean reversion | -0.2% | Out | -1.6% | +3.6% |
| ADX-01 ADX Trend Filter | Trend | -0.4% | In | -0.4% | 0.0% |
| REG-14 Volatility Regime Switch | Volatility | -0.4% | Out | -0.4% | -0.9% |
| MR-01 RSI Mean Reversion | Mean reversion | -0.5% | Out | -1.6% | +4.7% |
| MR-04 Ornstein-Uhlenbeck Mean Reversion | Mean reversion | -0.9% | Out | -0.9% | -2.1% |
| HMA-01 HMA Crossover | Trend | -1.0% | In | -1.3% | -2.9% |
| MR-15 Ultimate Oscillator | Mean reversion | -1.2% | Out | -2.4% | +1.6% |
| MR-07 Hurst-Filtered Mean Reversion | Mean reversion | -1.4% | Out | -1.4% | +2.1% |
| MR-12 Money Flow Index Reversion | Mean reversion | -1.4% | Out | -2.3% | +2.7% |
| VOL-13 Volatility Regime Strategy | Volatility | -1.4% | Out | -2.3% | +1.1% |
| TURTLE-01 Turtle Trading | Trend | -1.4% | In | -1.4% | -3.2% |
| SAR-01 Parabolic SAR | Trend | -1.5% | In | -1.5% | -1.5% |
| MR-05 CCI Mean Reversion | Mean reversion | -1.8% | Out | -3.3% | +4.2% |
| MOM-06 Residual Momentum | Momentum | -1.8% | Out | -1.8% | +1.3% |
| RISK-03 Stop Loss Overlay | Regime & other | -2.3% | In | -2.3% | -2.6% |
| MR-16 Connors RSI | Mean reversion | -2.4% | Out | -2.4% | -2.8% |
| TREND-12 MACD Strategy | Trend | -2.5% | In | -2.5% | -4.3% |
| TREND-20 Vortex Indicator | Trend | -2.5% | In | -2.5% | -1.1% |
| RISK-04 Trailing Stop Strategy | Trend | -2.5% | In | -2.5% | -5.0% |
| SUPER-01 Supertrend | Trend | -2.6% | In | -2.6% | -7.8% |
| TREND-17 Chandelier Exit | Trend | -2.6% | In | -2.6% | -2.7% |
| TREND-11 Kaufman Adaptive Moving Average | Trend | -2.7% | In | -2.7% | -3.8% |
| TREND-18 Coppock Curve | Trend | -3.0% | In | -3.0% | -4.0% |
| COMBO-02 MACD + RSI Filter | Momentum | -3.7% | In | -3.7% | -4.3% |
| REG-10 HMM Regime Detection | Regime & other | -3.8% | In | -3.8% | -4.9% |
| MR-03 Kalman Filter Mean Reversion | Mean reversion | -4.4% | Out | -5.2% | -3.2% |
| CAL-01 Turn of Month | Regime & other | -4.5% | In | -4.5% | +3.7% |
| MR-11 Williams %R Reversion | Mean reversion | -4.5% | Out | -4.5% | +1.9% |
| MR-10 Stochastic Oscillator Reversion | Mean reversion | -4.9% | Out | -4.9% | +1.3% |
| RISK-01 Drawdown Control | Regime & other | -5.7% | In | -5.7% | -2.9% |
| RP-01 Volatility Target | Volatility | -6.4% | In | -6.4% | -2.2% |
| VOL-10 Volatility Risk Premium | Volatility | -6.8% | Out | -6.9% | -6.6% |
| MOM-03 52-Week High Momentum | Momentum | -6.9% | In | -6.9% | -3.5% |
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.
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.