FTX collapse November 2022
A report on FTX's balance sheet in early November led to a run on the exchange, which halted withdrawals and filed for bankruptcy. Bitcoin and ether fell further as the fallout hit trading firms and lenders.
Dates checked against the price data: researched window 2022-11-07 to 2022-11-21; measured 2022-11-05 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, 29 (52%) were already out of the market going in. 56 (100%) lost less than the market (-25.8%), 2 (4%) finished the window with a gain, and the median strategy returned -5.3%. Strategies that were in the market returned a median -12.9%; those that were already out returned 0.0%. In the following three months the median strategy returned +12.8%.
| Family | Strategies | Already out | Median return | Lost less than the market |
|---|---|---|---|---|
| Trend | 24 | 42% | -12.9% | |
| Momentum | 4 | 50% | -5.2% | |
| Mean reversion | 14 | 86% | -4.5% | |
| Volatility | 6 | 33% | -5.0% | |
| Regime & other | 8 | 38% | -1.4% |
Best five
| Strategy | Return in window |
|---|---|
| TAIL-01 Crisis Alpha | +25.0% |
| MR-01 RSI Mean Reversion | +3.6% |
| CAL-01 Turn of Month | 0.0% |
| COMBO-01 Bollinger-Keltner Squeeze | 0.0% |
| COMBO-03 Divergence Strategy | 0.0% |
Worst five
| Strategy | Return in window |
|---|---|
| SEAS-01 Monthly Seasonality | -25.8% |
| REG-10 HMM Regime Detection | -25.4% |
| TREND-18 Coppock Curve | -25.4% |
| MR-05 CCI Mean Reversion | -23.1% |
| REG-14 Volatility Regime Switch | -16.0% |
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 | +25.0% | Out | -10.0% | -20.0% |
| MR-01 RSI Mean Reversion | Mean reversion | +3.6% | Out | -6.5% | +2.1% |
| CAL-01 Turn of Month | Regime & other | 0.0% | In | 0.0% | +6.6% |
| COMBO-01 Bollinger-Keltner Squeeze | Volatility | 0.0% | Out | 0.0% | +27.3% |
| 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% |
| MOM-01 Time-Series Momentum | Trend | 0.0% | Out | 0.0% | 0.0% |
| MOM-03 52-Week High Momentum | Momentum | 0.0% | Out | 0.0% | 0.0% |
| MOM-11 Momentum Crash Protection | Momentum | 0.0% | Out | 0.0% | 0.0% |
| MR-06 Z-Score Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | 0.0% |
| MR-07 Hurst-Filtered Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | 0.0% |
| MR-12 Money Flow Index Reversion | Mean reversion | 0.0% | Out | 0.0% | +4.8% |
| MR-13 TRIX Reversion | Mean reversion | 0.0% | Out | 0.0% | +3.2% |
| REG-01 Regime Switch | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| TREND-02 Donchian Breakout | Trend | 0.0% | Out | 0.0% | +27.9% |
| TREND-05 Dual Moving Average | Trend | 0.0% | Out | 0.0% | 0.0% |
| TREND-13 Triple Moving Average | Trend | 0.0% | Out | 0.0% | 0.0% |
| TREND-19 Elder Triple Screen | Trend | 0.0% | Out | 0.0% | 0.0% |
| VOL-10 Volatility Risk Premium | Volatility | 0.0% | Out | 0.0% | +14.8% |
| MR-15 Ultimate Oscillator | Mean reversion | -0.6% | Out | -10.2% | +10.8% |
| MOM-10 Accelerating Momentum | Trend | -1.3% | Out | -1.3% | +6.8% |
| TREND-14 Linear Regression Channel | Trend | -1.4% | In | -12.9% | +10.1% |
| RISK-01 Drawdown Control | Regime & other | -2.7% | In | -2.7% | +3.9% |
| ADX-01 ADX Trend Filter | Trend | -3.2% | Out | -3.2% | +27.9% |
| MR-16 Connors RSI | Mean reversion | -3.6% | In | -14.3% | +4.9% |
| VOL-01 Volatility Breakout | Volatility | -4.8% | In | -4.8% | +15.1% |
| RP-01 Volatility Target | Volatility | -5.1% | In | -5.3% | +15.8% |
| MR-14 Detrended Price Oscillator | Mean reversion | -5.5% | In | -5.5% | +17.0% |
| HMA-01 HMA Crossover | Trend | -8.3% | Out | -8.3% | +25.8% |
| MOM-06 Residual Momentum | Momentum | -10.4% | In | -10.4% | +44.6% |
| VOL-13 Volatility Regime Strategy | Volatility | -10.6% | In | -12.9% | +43.0% |
| MR-04 Ornstein-Uhlenbeck Mean Reversion | Mean reversion | -12.1% | Out | -14.4% | +2.6% |
| TREND-15 Darvas Box | Trend | -12.9% | In | -12.9% | +29.0% |
| TREND-20 Vortex Indicator | Trend | -12.9% | In | -12.9% | +33.0% |
| RISK-04 Trailing Stop Strategy | Trend | -12.9% | In | -12.9% | +37.6% |
| TREND-10 Ichimoku Cloud | Trend | -12.9% | In | -12.9% | +21.5% |
| RISK-03 Stop Loss Overlay | Regime & other | -12.9% | In | -12.9% | +25.5% |
| TREND-16 Aroon Indicator | Trend | -12.9% | In | -12.9% | +19.7% |
| SUPER-01 Supertrend | Trend | -12.9% | In | -12.9% | +24.9% |
| TURTLE-01 Turtle Trading | Trend | -12.9% | In | -12.9% | +28.8% |
| TREND-12 MACD Strategy | Trend | -12.9% | In | -12.9% | +34.5% |
| KC-01 Keltner Channel Breakout | Trend | -12.9% | In | -12.9% | +31.5% |
| TREND-11 Kaufman Adaptive Moving Average | Trend | -12.9% | In | -12.9% | +24.2% |
| SAR-01 Parabolic SAR | Trend | -12.9% | In | -12.9% | +23.8% |
| COMBO-02 MACD + RSI Filter | Momentum | -12.9% | In | -12.9% | +5.2% |
| MR-02 Bollinger Band Reversion | Mean reversion | -14.3% | Out | -14.3% | 0.0% |
| MR-10 Stochastic Oscillator Reversion | Mean reversion | -14.9% | Out | -14.9% | +8.6% |
| MR-03 Kalman Filter Mean Reversion | Mean reversion | -14.9% | Out | -14.9% | +16.4% |
| MR-11 Williams %R Reversion | Mean reversion | -14.9% | Out | -14.9% | +8.6% |
| TREND-17 Chandelier Exit | Trend | -15.6% | In | -15.6% | +36.0% |
| REG-14 Volatility Regime Switch | Volatility | -16.0% | In | -16.0% | +37.7% |
| MR-05 CCI Mean Reversion | Mean reversion | -23.1% | Out | -23.1% | +3.9% |
| TREND-18 Coppock Curve | Trend | -25.4% | In | -25.4% | +32.1% |
| REG-10 HMM Regime Detection | Regime & other | -25.4% | In | -25.4% | +40.5% |
| SEAS-01 Monthly Seasonality | Regime & other | -25.8% | In | -25.8% | +45.3% |
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 | -31.9% | 56 | 93% | 50% | -3.5% |
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.