2020 gold all-time high
Gold rallied from its March low to a record high in early August. Ultra-low interest rates, massive central-bank stimulus and fears about currency debasement drove the rise.
Dates checked against the price data: researched window 2020-03-19 to 2020-08-06; measured 2020-03-19 to 2020-08-06 (start shifted by +0 days, end by +0 days).
Price around the event
How the strategies did
Of 56 rule-based strategies with a curve on Gold, 32 (57%) were not in the market going in. 2 (4%) beat the market (+40.5%), 50 (89%) finished the window with a gain, and the median strategy returned +16.4%. Strategies that were in the market returned a median +15.8%; those that were already out returned +17.2%. In the following three months the median strategy returned -5.4%.
| Family | Strategies | Not in the market | Median return | Beat the market |
|---|---|---|---|---|
| Trend | 24 | 71% | +21.5% | |
| Momentum | 4 | 50% | +27.6% | |
| Mean reversion | 14 | 36% | +10.7% | |
| Volatility | 6 | 67% | +16.7% | |
| Regime & other | 8 | 50% | +18.7% |
Best five
| Strategy | Return in window |
|---|---|
| TREND-13 Triple Moving Average | +40.5% |
| TREND-05 Dual Moving Average | +40.5% |
| MOM-03 52-Week High Momentum | +40.5% |
| MOM-01 Time-Series Momentum | +40.5% |
| RISK-01 Drawdown Control | +40.4% |
Worst five
| Strategy | Return in window |
|---|---|
| TAIL-01 Crisis Alpha | -16.3% |
| TREND-19 Elder Triple Screen | 0.0% |
| MR-13 TRIX Reversion | 0.0% |
| MR-03 Kalman Filter Mean Reversion | 0.0% |
| MR-01 RSI Mean Reversion | 0.0% |
56 of 72 strategies have a curve on Gold. Portfolio, basket and multi-asset strategies without one are excluded.
All strategies on Gold
| Strategy | Family | Return in window | In the market going in? | Max drawdown in window | Next 3 months |
|---|---|---|---|---|---|
| TREND-13 Triple Moving Average | Trend | +40.5% | In | -4.0% | -7.8% |
| TREND-05 Dual Moving Average | Trend | +40.5% | In | -4.0% | -7.8% |
| MOM-03 52-Week High Momentum | Momentum | +40.5% | In | -4.0% | -7.8% |
| MOM-01 Time-Series Momentum | Trend | +40.5% | In | -4.0% | -7.8% |
| RISK-01 Drawdown Control | Regime & other | +40.4% | In | -4.0% | -7.8% |
| MOM-06 Residual Momentum | Momentum | +29.2% | In | -3.5% | -6.8% |
| EVENT-01 Trend + Macro Filter | Trend | +28.8% | In | -4.0% | -5.8% |
| MOM-10 Accelerating Momentum | Trend | +27.9% | In | -4.1% | -8.3% |
| RP-01 Volatility Target | Volatility | +27.0% | In | -2.7% | -6.8% |
| TREND-10 Ichimoku Cloud | Trend | +26.9% | Out | -3.1% | -4.6% |
| REG-01 Regime Switch | Regime & other | +26.0% | In | -3.5% | -7.8% |
| MOM-11 Momentum Crash Protection | Momentum | +25.9% | Out | -3.8% | -8.2% |
| VOL-13 Volatility Regime Strategy | Volatility | +25.3% | In | -2.0% | -4.4% |
| RISK-03 Stop Loss Overlay | Regime & other | +25.2% | Out | -4.0% | -7.9% |
| TREND-20 Vortex Indicator | Trend | +23.2% | Out | -4.8% | -9.4% |
| TREND-18 Coppock Curve | Trend | +22.4% | Out | -4.0% | -8.7% |
| SUPER-01 Supertrend | Trend | +22.2% | Out | -3.5% | -7.2% |
| TREND-17 Chandelier Exit | Trend | +22.2% | Out | -3.9% | -10.3% |
| TREND-11 Kaufman Adaptive Moving Average | Trend | +22.1% | Out | -5.1% | -7.2% |
| RISK-04 Trailing Stop Strategy | Trend | +21.9% | Out | -4.3% | -13.8% |
| REG-10 HMM Regime Detection | Regime & other | +21.7% | Out | -2.8% | -3.7% |
| TREND-12 MACD Strategy | Trend | +21.0% | Out | -4.0% | -10.2% |
| SAR-01 Parabolic SAR | Trend | +19.5% | Out | -4.9% | -9.8% |
| REG-14 Volatility Regime Switch | Volatility | +19.1% | Out | -3.0% | -7.7% |
| TURTLE-01 Turtle Trading | Trend | +19.1% | Out | -2.8% | -7.6% |
| TREND-15 Darvas Box | Trend | +18.3% | Out | -4.0% | -9.8% |
| KC-01 Keltner Channel Breakout | Trend | +17.4% | Out | -2.8% | -7.2% |
| TREND-02 Donchian Breakout | Trend | +16.9% | Out | -4.0% | -7.4% |
| MR-11 Williams %R Reversion | Mean reversion | +15.9% | In | -2.0% | +2.2% |
| SEAS-01 Monthly Seasonality | Regime & other | +15.7% | In | -3.5% | +0.5% |
| MR-10 Stochastic Oscillator Reversion | Mean reversion | +15.6% | In | -2.0% | +10.0% |
| MR-05 CCI Mean Reversion | Mean reversion | +15.0% | In | 0.0% | +4.6% |
| MR-02 Bollinger Band Reversion | Mean reversion | +15.0% | In | 0.0% | +2.6% |
| VOL-01 Volatility Breakout | Volatility | +14.2% | Out | -1.4% | -1.9% |
| TREND-16 Aroon Indicator | Trend | +13.4% | Out | -5.3% | -4.9% |
| MR-06 Z-Score Mean Reversion | Mean reversion | +13.4% | In | 0.0% | +4.1% |
| MR-14 Detrended Price Oscillator | Mean reversion | +13.0% | Out | -1.4% | -7.8% |
| COMBO-04 Trend + Mean Reversion Hybrid | Trend | +11.1% | In | 0.0% | +2.4% |
| MR-15 Ultimate Oscillator | Mean reversion | +11.1% | In | 0.0% | +4.1% |
| MR-12 Money Flow Index Reversion | Mean reversion | +10.3% | In | -1.4% | +1.7% |
| COMBO-02 MACD + RSI Filter | Momentum | +9.6% | Out | -4.0% | -2.8% |
| HMA-01 HMA Crossover | Trend | +7.8% | Out | -6.1% | -10.6% |
| VOL-10 Volatility Risk Premium | Volatility | +7.0% | Out | -4.1% | -5.1% |
| ADX-01 ADX Trend Filter | Trend | +7.0% | Out | -2.8% | -4.9% |
| CAL-01 Turn of Month | Regime & other | +4.3% | Out | -3.2% | -0.1% |
| MR-16 Connors RSI | Mean reversion | +2.3% | In | 0.0% | +1.8% |
| MR-07 Hurst-Filtered Mean Reversion | Mean reversion | +2.1% | Out | 0.0% | +1.4% |
| MR-04 Ornstein-Uhlenbeck Mean Reversion | Mean reversion | +1.5% | In | 0.0% | +1.9% |
| COMBO-01 Bollinger-Keltner Squeeze | Volatility | +1.4% | Out | -0.9% | -0.9% |
| TREND-14 Linear Regression Channel | Trend | +0.4% | In | -14.1% | -13.7% |
| COMBO-03 Divergence Strategy | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| MR-01 RSI Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | -0.4% |
| MR-03 Kalman Filter Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | +1.0% |
| MR-13 TRIX Reversion | Mean reversion | 0.0% | Out | 0.0% | 0.0% |
| TREND-19 Elder Triple Screen | Trend | 0.0% | Out | 0.0% | 0.0% |
| TAIL-01 Crisis Alpha | Regime & other | -16.3% | In | -16.3% | -1.8% |
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 |
|---|---|---|---|---|---|
| Silver | +137.5% | 56 | 0% | 61% | +39.2% |
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.