April 2013 gold crash
Gold lost its footing in April with a very heavy one-day drop and kept sliding to multi-year lows, with heavy ETF selling. A firmer dollar, better US data and forced liquidations drove it.
Dates checked against the price data: researched window 2013-04-11 to 2013-04-16; measured 2013-03-21 to 2013-04-15 (start shifted by -21 days, end by -1 days).
Price around the event
How the strategies did
Of 56 rule-based strategies with a curve on Gold, 33 (59%) were already out of the market going in. 55 (98%) lost less than the market (-16.0%), 4 (7%) finished the window with a gain, and the median strategy returned -1.4%. Strategies that were in the market returned a median -3.5%; 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 | 54% | 0.0% | |
| Momentum | 4 | 0% | -2.4% | |
| Mean reversion | 14 | 93% | -6.6% | |
| Volatility | 6 | 33% | -2.4% | |
| Regime & other | 8 | 62% | -0.8% |
Best five
| Strategy | Return in window |
|---|---|
| TREND-14 Linear Regression Channel | +6.1% |
| MR-07 Hurst-Filtered Mean Reversion | +1.7% |
| MR-06 Z-Score Mean Reversion | +1.7% |
| MR-16 Connors RSI | +1.4% |
| ADX-01 ADX Trend Filter | 0.0% |
Worst five
| Strategy | Return in window |
|---|---|
| MR-03 Kalman Filter Mean Reversion | -16.0% |
| SEAS-01 Monthly Seasonality | -16.0% |
| RISK-01 Drawdown Control | -14.2% |
| MR-15 Ultimate Oscillator | -13.9% |
| MR-11 Williams %R Reversion | -13.9% |
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-14 Linear Regression Channel | Trend | +6.1% | In | -2.5% | -5.8% |
| MR-07 Hurst-Filtered Mean Reversion | Mean reversion | +1.7% | Out | -0.4% | -0.8% |
| MR-06 Z-Score Mean Reversion | Mean reversion | +1.7% | Out | -0.4% | 0.0% |
| MR-16 Connors RSI | Mean reversion | +1.4% | Out | -0.3% | -4.8% |
| ADX-01 ADX Trend Filter | Trend | 0.0% | In | 0.0% | 0.0% |
| 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-06 Residual Momentum | Momentum | 0.0% | In | 0.0% | -2.8% |
| MOM-10 Accelerating Momentum | Trend | 0.0% | Out | 0.0% | 0.0% |
| MR-04 Ornstein-Uhlenbeck Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | 0.0% |
| MR-13 TRIX Reversion | Mean reversion | 0.0% | Out | 0.0% | +7.3% |
| MR-14 Detrended Price Oscillator | Mean reversion | 0.0% | Out | 0.0% | +4.3% |
| REG-01 Regime Switch | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| RISK-03 Stop Loss Overlay | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| SUPER-01 Supertrend | Trend | 0.0% | Out | 0.0% | 0.0% |
| TAIL-01 Crisis Alpha | Regime & other | 0.0% | Out | 0.0% | -1.7% |
| 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-15 Darvas Box | Trend | 0.0% | Out | 0.0% | 0.0% |
| TREND-19 Elder Triple Screen | Trend | 0.0% | Out | 0.0% | 0.0% |
| VOL-01 Volatility Breakout | Volatility | -0.4% | Out | -0.4% | -1.7% |
| VOL-10 Volatility Risk Premium | Volatility | -0.4% | In | -0.4% | -11.8% |
| COMBO-01 Bollinger-Keltner Squeeze | Volatility | -1.0% | In | -1.0% | +2.0% |
| MOM-11 Momentum Crash Protection | Momentum | -1.2% | In | -1.2% | 0.0% |
| TREND-11 Kaufman Adaptive Moving Average | Trend | -1.6% | In | -1.6% | -2.8% |
| CAL-01 Turn of Month | Regime & other | -1.6% | Out | -3.3% | -1.7% |
| TREND-20 Vortex Indicator | Trend | -1.8% | In | -1.9% | -3.8% |
| TREND-13 Triple Moving Average | Trend | -1.9% | In | -3.8% | 0.0% |
| SAR-01 Parabolic SAR | Trend | -2.4% | In | -2.4% | -4.6% |
| TURTLE-01 Turtle Trading | Trend | -2.4% | Out | -2.4% | 0.0% |
| RISK-04 Trailing Stop Strategy | Trend | -2.8% | In | -2.8% | -5.2% |
| TREND-16 Aroon Indicator | Trend | -2.9% | Out | -3.0% | 0.0% |
| TREND-12 MACD Strategy | Trend | -3.5% | In | -3.5% | -10.4% |
| COMBO-02 MACD + RSI Filter | Momentum | -3.5% | In | -3.5% | -10.4% |
| TREND-18 Coppock Curve | Trend | -3.8% | In | -3.8% | -7.0% |
| REG-14 Volatility Regime Switch | Volatility | -3.8% | In | -3.8% | 0.0% |
| REG-10 HMM Regime Detection | Regime & other | -4.0% | In | -4.1% | -9.4% |
| MR-05 CCI Mean Reversion | Mean reversion | -4.5% | Out | -6.1% | +7.4% |
| TREND-17 Chandelier Exit | Trend | -4.5% | In | -4.5% | -8.9% |
| HMA-01 HMA Crossover | Trend | -6.0% | In | -6.1% | +5.9% |
| MOM-03 52-Week High Momentum | Momentum | -7.9% | In | -7.9% | 0.0% |
| VOL-13 Volatility Regime Strategy | Volatility | -8.8% | Out | -8.8% | +10.6% |
| MR-02 Bollinger Band Reversion | Mean reversion | -8.8% | Out | -8.8% | +4.6% |
| MR-01 RSI Mean Reversion | Mean reversion | -8.8% | Out | -8.8% | +4.2% |
| MR-12 Money Flow Index Reversion | Mean reversion | -8.8% | Out | -8.8% | +9.5% |
| MR-10 Stochastic Oscillator Reversion | Mean reversion | -12.4% | Out | -13.1% | -4.4% |
| RP-01 Volatility Target | Volatility | -13.3% | In | -13.3% | -3.4% |
| MR-11 Williams %R Reversion | Mean reversion | -13.9% | Out | -14.4% | -6.8% |
| MR-15 Ultimate Oscillator | Mean reversion | -13.9% | Out | -14.4% | -4.2% |
| RISK-01 Drawdown Control | Regime & other | -14.2% | In | -14.2% | -4.9% |
| SEAS-01 Monthly Seasonality | Regime & other | -16.0% | In | -16.0% | +7.5% |
| MR-03 Kalman Filter Mean Reversion | Mean reversion | -16.0% | In | -16.0% | -5.4% |
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 | -21.6% | 56 | 100% | 70% | -1.3% |
| Commodities | -5.5% | 56 | 91% | 62% | -1.5% |
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.