2011 gold peak and bubble burst
Gold set a record in early September on fears about sovereign debt and currency debasement. It then slid into year-end as the dollar firmed and the crisis-driven bid faded.
Dates checked against the price data: researched window 2011-09-05 to 2011-12-30; measured 2011-08-22 to 2011-12-29 (start shifted by -14 days, end by -1 days).
Price around the event
How the strategies did
Of 56 rule-based strategies with a curve on Gold, 24 (43%) were already out of the market going in. 49 (88%) lost less than the market (-18.6%), 8 (14%) finished the window with a gain, and the median strategy returned -5.9%. Strategies that were in the market returned a median -11.0%; those that were already out returned -0.4%. In the following three months the median strategy returned +1.5%.
| Family | Strategies | Already out | Median return | Lost less than the market |
|---|---|---|---|---|
| Trend | 24 | 8% | -8.9% | |
| Momentum | 4 | 25% | -16.1% | |
| Mean reversion | 14 | 93% | -0.4% | |
| Volatility | 6 | 67% | -4.4% | |
| Regime & other | 8 | 50% | -7.9% |
Best five
| Strategy | Return in window |
|---|---|
| CAL-01 Turn of Month | +9.4% |
| TAIL-01 Crisis Alpha | +7.3% |
| TREND-14 Linear Regression Channel | +3.8% |
| MR-04 Ornstein-Uhlenbeck Mean Reversion | +1.9% |
| COMBO-02 MACD + RSI Filter | +1.0% |
Worst five
| Strategy | Return in window |
|---|---|
| MR-14 Detrended Price Oscillator | -20.8% |
| EVENT-01 Trend + Macro Filter | -18.9% |
| MOM-11 Momentum Crash Protection | -18.6% |
| RISK-01 Drawdown Control | -18.6% |
| TREND-13 Triple Moving Average | -18.6% |
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 |
|---|---|---|---|---|---|
| CAL-01 Turn of Month | Regime & other | +9.4% | Out | -2.1% | -1.2% |
| TAIL-01 Crisis Alpha | Regime & other | +7.3% | Out | -6.6% | 0.0% |
| TREND-14 Linear Regression Channel | Trend | +3.8% | In | -8.0% | +0.4% |
| MR-04 Ornstein-Uhlenbeck Mean Reversion | Mean reversion | +1.9% | Out | -4.3% | +1.1% |
| COMBO-02 MACD + RSI Filter | Momentum | +1.0% | Out | -6.4% | +7.1% |
| MR-15 Ultimate Oscillator | Mean reversion | +1.0% | Out | -3.9% | +6.2% |
| MR-06 Z-Score Mean Reversion | Mean reversion | +0.9% | Out | -5.1% | +3.7% |
| MR-16 Connors RSI | Mean reversion | +0.0% | Out | -5.2% | +2.6% |
| COMBO-03 Divergence Strategy | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| 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% |
| TREND-19 Elder Triple Screen | Trend | 0.0% | Out | 0.0% | 0.0% |
| MR-01 RSI Mean Reversion | Mean reversion | -0.4% | Out | -4.3% | +2.0% |
| MR-03 Kalman Filter Mean Reversion | Mean reversion | -0.4% | Out | -5.1% | +6.7% |
| VOL-13 Volatility Regime Strategy | Volatility | -0.5% | Out | -4.3% | +3.6% |
| MR-12 Money Flow Index Reversion | Mean reversion | -1.4% | Out | -4.3% | +6.3% |
| TREND-20 Vortex Indicator | Trend | -1.9% | In | -7.0% | +0.9% |
| MR-02 Bollinger Band Reversion | Mean reversion | -2.0% | Out | -4.3% | 0.0% |
| TREND-18 Coppock Curve | Trend | -2.7% | In | -7.2% | +1.9% |
| COMBO-01 Bollinger-Keltner Squeeze | Volatility | -3.4% | Out | -4.4% | +7.9% |
| VOL-01 Volatility Breakout | Volatility | -3.5% | Out | -3.7% | +1.8% |
| RISK-04 Trailing Stop Strategy | Trend | -4.4% | In | -8.1% | +3.0% |
| TURTLE-01 Turtle Trading | Trend | -4.7% | In | -7.0% | -1.0% |
| REG-14 Volatility Regime Switch | Volatility | -5.3% | Out | -8.0% | +0.7% |
| ADX-01 ADX Trend Filter | Trend | -5.5% | In | -7.0% | -7.3% |
| TREND-16 Aroon Indicator | Trend | -5.7% | In | -7.0% | -0.4% |
| REG-10 HMM Regime Detection | Regime & other | -5.7% | In | -7.0% | +9.6% |
| TREND-12 MACD Strategy | Trend | -5.7% | In | -9.1% | +0.6% |
| MR-05 CCI Mean Reversion | Mean reversion | -6.1% | Out | -9.9% | +2.3% |
| COMBO-04 Trend + Mean Reversion Hybrid | Trend | -6.8% | Out | -10.1% | 0.0% |
| RP-01 Volatility Target | Volatility | -7.4% | In | -7.4% | +3.3% |
| MR-11 Williams %R Reversion | Mean reversion | -7.6% | Out | -11.2% | +4.9% |
| KC-01 Keltner Channel Breakout | Trend | -8.1% | In | -8.1% | -1.3% |
| TREND-02 Donchian Breakout | Trend | -8.4% | In | -8.4% | -5.0% |
| TREND-10 Ichimoku Cloud | Trend | -9.3% | In | -9.3% | +0.1% |
| SAR-01 Parabolic SAR | Trend | -9.6% | In | -14.7% | +1.6% |
| VOL-10 Volatility Risk Premium | Volatility | -9.7% | In | -12.4% | +7.1% |
| MR-10 Stochastic Oscillator Reversion | Mean reversion | -9.7% | Out | -11.3% | +6.2% |
| SEAS-01 Monthly Seasonality | Regime & other | -10.2% | Out | -14.1% | +7.8% |
| REG-01 Regime Switch | Regime & other | -10.4% | In | -10.4% | +1.0% |
| MOM-10 Accelerating Momentum | Trend | -11.6% | In | -13.1% | +1.5% |
| HMA-01 HMA Crossover | Trend | -12.4% | In | -12.4% | -0.1% |
| TREND-17 Chandelier Exit | Trend | -12.6% | In | -12.6% | -1.2% |
| TREND-11 Kaufman Adaptive Moving Average | Trend | -13.9% | In | -13.9% | -0.3% |
| RISK-03 Stop Loss Overlay | Regime & other | -15.0% | In | -15.0% | -2.1% |
| SUPER-01 Supertrend | Trend | -15.3% | In | -15.3% | +3.4% |
| TREND-15 Darvas Box | Trend | -15.3% | In | -15.3% | +1.4% |
| MOM-03 52-Week High Momentum | Momentum | -15.4% | In | -15.4% | 0.0% |
| MOM-06 Residual Momentum | Momentum | -16.8% | In | -18.2% | -5.7% |
| MOM-01 Time-Series Momentum | Trend | -18.6% | In | -18.6% | +7.8% |
| TREND-05 Dual Moving Average | Trend | -18.6% | In | -18.6% | +7.8% |
| TREND-13 Triple Moving Average | Trend | -18.6% | In | -18.6% | +7.8% |
| RISK-01 Drawdown Control | Regime & other | -18.6% | In | -18.6% | +4.7% |
| MOM-11 Momentum Crash Protection | Momentum | -18.6% | In | -18.6% | +4.7% |
| EVENT-01 Trend + Macro Filter | Trend | -18.9% | In | -18.9% | +11.1% |
| MR-14 Detrended Price Oscillator | Mean reversion | -20.8% | In | -20.8% | +6.0% |
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 | -36.5% | 56 | 98% | 48% | -13.6% |
| Commodities | -7.8% | 56 | 86% | 55% | -2.4% |
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.