LUNA/Terra collapse May 2022
The algorithmic stablecoin UST lost its dollar peg in May and the LUNA token collapsed to almost nothing. Bitcoin and ether fell sharply as contagion spread through crypto markets.
Dates checked against the price data: researched window 2022-05-05 to 2022-05-13; measured 2022-04-20 to 2022-05-27 (start shifted by -15 days, end by +14 days).
Price around the event
How the strategies did
Of 56 rule-based strategies with a curve on Bitcoin, 40 (71%) were already out of the market going in. 56 (100%) lost less than the market (-30.8%), 6 (11%) finished the window with a gain, and the median strategy returned 0.0%. Strategies that were in the market returned a median -8.4%; those that were already out returned 0.0%. In the following three months the median strategy returned -0.9%.
| Family | Strategies | Already out | Median return | Lost less than the market |
|---|---|---|---|---|
| Trend | 24 | 92% | 0.0% | |
| Momentum | 4 | 75% | -2.3% | |
| Mean reversion | 14 | 50% | -12.6% | |
| Volatility | 6 | 50% | -5.5% | |
| Regime & other | 8 | 62% | -0.1% |
Best five
| Strategy | Return in window |
|---|---|
| TAIL-01 Crisis Alpha | +50.0% |
| MR-01 RSI Mean Reversion | +6.0% |
| MR-04 Ornstein-Uhlenbeck Mean Reversion | +5.3% |
| TREND-14 Linear Regression Channel | +4.0% |
| TREND-20 Vortex Indicator | +0.9% |
Worst five
| Strategy | Return in window |
|---|---|
| MR-11 Williams %R Reversion | -30.5% |
| MR-03 Kalman Filter Mean Reversion | -24.9% |
| MR-07 Hurst-Filtered Mean Reversion | -24.1% |
| MR-15 Ultimate Oscillator | -19.2% |
| MR-02 Bollinger Band Reversion | -16.2% |
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 | +50.0% | In | 0.0% | +16.7% |
| MR-01 RSI Mean Reversion | Mean reversion | +6.0% | In | -6.7% | -7.8% |
| MR-04 Ornstein-Uhlenbeck Mean Reversion | Mean reversion | +5.3% | Out | -2.0% | 0.0% |
| TREND-14 Linear Regression Channel | Trend | +4.0% | In | -11.8% | -9.5% |
| TREND-20 Vortex Indicator | Trend | +0.9% | Out | -1.0% | -8.0% |
| VOL-13 Volatility Regime Strategy | Volatility | +0.1% | Out | -8.3% | -12.1% |
| ADX-01 ADX Trend Filter | Trend | 0.0% | Out | 0.0% | -9.4% |
| 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-03 52-Week High Momentum | Momentum | 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-06 Z-Score Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | 0.0% |
| 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% | -5.0% |
| SUPER-01 Supertrend | Trend | 0.0% | Out | 0.0% | -13.3% |
| 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-11 Kaufman Adaptive Moving Average | Trend | 0.0% | Out | 0.0% | -14.0% |
| TREND-13 Triple Moving Average | Trend | 0.0% | Out | 0.0% | 0.0% |
| TREND-15 Darvas Box | Trend | 0.0% | Out | 0.0% | -10.7% |
| TREND-16 Aroon Indicator | Trend | 0.0% | Out | 0.0% | +5.6% |
| TREND-17 Chandelier Exit | Trend | 0.0% | Out | 0.0% | -0.8% |
| TREND-18 Coppock Curve | Trend | 0.0% | Out | 0.0% | -1.7% |
| TREND-19 Elder Triple Screen | Trend | 0.0% | Out | 0.0% | 0.0% |
| TURTLE-01 Turtle Trading | Trend | 0.0% | Out | 0.0% | -22.8% |
| VOL-10 Volatility Risk Premium | Volatility | 0.0% | Out | 0.0% | 0.0% |
| CAL-01 Turn of Month | Regime & other | -0.2% | Out | -5.2% | -6.1% |
| MR-13 TRIX Reversion | Mean reversion | -1.4% | Out | -8.6% | +23.9% |
| RISK-01 Drawdown Control | Regime & other | -3.4% | In | -3.4% | -1.3% |
| MOM-06 Residual Momentum | Momentum | -4.6% | In | -4.6% | +5.5% |
| MR-14 Detrended Price Oscillator | Mean reversion | -4.7% | Out | -7.3% | -4.5% |
| RP-01 Volatility Target | Volatility | -5.4% | In | -5.4% | -1.1% |
| COMBO-01 Bollinger-Keltner Squeeze | Volatility | -5.6% | In | -5.6% | +1.7% |
| SEAS-01 Monthly Seasonality | Regime & other | -7.0% | In | -8.8% | 0.0% |
| REG-10 HMM Regime Detection | Regime & other | -7.2% | Out | -7.2% | -9.6% |
| MR-16 Connors RSI | Mean reversion | -7.3% | Out | -11.0% | -28.0% |
| VOL-01 Volatility Breakout | Volatility | -7.9% | Out | -7.9% | +0.5% |
| COMBO-02 MACD + RSI Filter | Momentum | -9.7% | Out | -9.7% | +3.5% |
| MR-12 Money Flow Index Reversion | Mean reversion | -9.8% | In | -15.7% | -25.7% |
| SAR-01 Parabolic SAR | Trend | -10.6% | Out | -10.6% | -3.3% |
| REG-14 Volatility Regime Switch | Volatility | -10.7% | In | -10.7% | -2.3% |
| HMA-01 HMA Crossover | Trend | -12.9% | In | -14.5% | -5.1% |
| TREND-12 MACD Strategy | Trend | -13.0% | Out | -13.0% | +2.9% |
| RISK-04 Trailing Stop Strategy | Trend | -13.2% | Out | -13.2% | -1.9% |
| MR-10 Stochastic Oscillator Reversion | Mean reversion | -15.4% | In | -22.9% | -8.8% |
| MR-05 CCI Mean Reversion | Mean reversion | -15.7% | In | -23.5% | -1.5% |
| MR-02 Bollinger Band Reversion | Mean reversion | -16.2% | In | -18.3% | -19.7% |
| MR-15 Ultimate Oscillator | Mean reversion | -19.2% | In | -19.2% | -3.0% |
| MR-07 Hurst-Filtered Mean Reversion | Mean reversion | -24.1% | Out | -27.3% | -25.9% |
| MR-03 Kalman Filter Mean Reversion | Mean reversion | -24.9% | Out | -28.0% | -18.3% |
| MR-11 Williams %R Reversion | Mean reversion | -30.5% | In | -31.8% | +4.7% |
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 | -44.0% | 56 | 100% | 71% | 0.0% |
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.