2022-2023 natural gas spike and collapse
After Russia cut pipeline gas to Europe, gas prices spiked to extreme levels in late summer. Prices then collapsed over a mild winter as storage refilled and demand fell.
Dates checked against the price data: researched window 2022-08-25 to 2023-03-08; measured 2022-08-22 to 2023-03-28 (start shifted by -3 days, end by +20 days).
Price around the event
How the strategies did
Of 56 rule-based strategies with a curve on Natural gas, 25 (45%) were already out of the market going in. 56 (100%) lost less than the market (-79.8%), 2 (4%) finished the window with a gain, and the median strategy returned -34.9%. Strategies that were in the market returned a median -38.1%; those that were already out returned -19.9%. In the following three months the median strategy returned -0.5%.
| Family | Strategies | Already out | Median return | Lost less than the market |
|---|---|---|---|---|
| Trend | 24 | 17% | -37.7% | |
| Momentum | 4 | 25% | -29.0% | |
| Mean reversion | 14 | 93% | -46.8% | |
| Volatility | 6 | 50% | -21.0% | |
| Regime & other | 8 | 50% | -30.4% |
Best five
| Strategy | Return in window |
|---|---|
| TAIL-01 Crisis Alpha | +244.3% |
| MR-02 Bollinger Band Reversion | +34.6% |
| ADX-01 ADX Trend Filter | 0.0% |
| COMBO-03 Divergence Strategy | 0.0% |
| MR-06 Z-Score Mean Reversion | 0.0% |
Worst five
| Strategy | Return in window |
|---|---|
| MOM-01 Time-Series Momentum | -69.4% |
| SEAS-01 Monthly Seasonality | -63.7% |
| MR-12 Money Flow Index Reversion | -63.2% |
| MR-10 Stochastic Oscillator Reversion | -61.9% |
| MR-11 Williams %R Reversion | -61.9% |
56 of 72 strategies have a curve on Natural gas. Portfolio, basket and multi-asset strategies without one are excluded.
All strategies on Natural gas
| Strategy | Family | Return in window | In the market going in? | Max drawdown in window | Next 3 months |
|---|---|---|---|---|---|
| TAIL-01 Crisis Alpha | Regime & other | +244.3% | In | -28.4% | -11.6% |
| MR-02 Bollinger Band Reversion | Mean reversion | +34.6% | Out | -6.6% | +13.6% |
| ADX-01 ADX Trend Filter | Trend | 0.0% | Out | 0.0% | 0.0% |
| COMBO-03 Divergence Strategy | Regime & other | 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% |
| TREND-19 Elder Triple Screen | Trend | 0.0% | Out | 0.0% | 0.0% |
| VOL-10 Volatility Risk Premium | Volatility | 0.0% | Out | 0.0% | 0.0% |
| TREND-14 Linear Regression Channel | Trend | -8.1% | Out | -39.5% | -15.5% |
| KC-01 Keltner Channel Breakout | Trend | -9.1% | In | -9.1% | -15.1% |
| MR-07 Hurst-Filtered Mean Reversion | Mean reversion | -11.5% | Out | -30.2% | +7.7% |
| MOM-03 52-Week High Momentum | Momentum | -11.6% | In | -17.7% | 0.0% |
| COMBO-04 Trend + Mean Reversion Hybrid | Trend | -13.4% | Out | -23.5% | 0.0% |
| MR-16 Connors RSI | Mean reversion | -14.7% | Out | -28.4% | -5.5% |
| RP-01 Volatility Target | Volatility | -15.1% | In | -15.1% | +1.1% |
| MR-01 RSI Mean Reversion | Mean reversion | -17.9% | Out | -23.1% | -3.1% |
| COMBO-01 Bollinger-Keltner Squeeze | Volatility | -19.9% | Out | -19.9% | -4.1% |
| TREND-10 Ichimoku Cloud | Trend | -20.1% | In | -20.1% | -7.9% |
| TREND-02 Donchian Breakout | Trend | -20.2% | In | -20.2% | -6.1% |
| VOL-01 Volatility Breakout | Volatility | -22.1% | Out | -22.1% | -9.2% |
| MOM-11 Momentum Crash Protection | Momentum | -23.2% | In | -23.2% | 0.0% |
| REG-10 HMM Regime Detection | Regime & other | -25.4% | In | -28.8% | -15.9% |
| MR-04 Ornstein-Uhlenbeck Mean Reversion | Mean reversion | -26.2% | Out | -28.7% | +4.0% |
| VOL-13 Volatility Regime Strategy | Volatility | -27.8% | In | -27.8% | -9.5% |
| TREND-11 Kaufman Adaptive Moving Average | Trend | -31.3% | In | -31.3% | -5.8% |
| TREND-20 Vortex Indicator | Trend | -31.9% | In | -34.3% | -23.7% |
| TREND-17 Chandelier Exit | Trend | -34.2% | In | -39.2% | -7.3% |
| MOM-06 Residual Momentum | Momentum | -34.8% | Out | -34.8% | 0.0% |
| TREND-16 Aroon Indicator | Trend | -35.0% | In | -35.0% | 0.0% |
| RISK-01 Drawdown Control | Regime & other | -35.4% | In | -35.4% | +0.8% |
| CAL-01 Turn of Month | Regime & other | -36.4% | Out | -42.9% | -9.0% |
| TURTLE-01 Turtle Trading | Trend | -37.2% | In | -37.2% | -20.5% |
| EVENT-01 Trend + Macro Filter | Trend | -38.1% | In | -48.1% | 0.0% |
| MOM-10 Accelerating Momentum | Trend | -38.5% | In | -38.5% | 0.0% |
| TREND-05 Dual Moving Average | Trend | -41.2% | In | -47.3% | 0.0% |
| SUPER-01 Supertrend | Trend | -42.1% | In | -42.1% | -15.5% |
| REG-14 Volatility Regime Switch | Volatility | -45.7% | In | -47.2% | -2.3% |
| MR-14 Detrended Price Oscillator | Mean reversion | -46.5% | In | -49.7% | -30.2% |
| MR-05 CCI Mean Reversion | Mean reversion | -47.1% | Out | -50.5% | +29.2% |
| RISK-03 Stop Loss Overlay | Regime & other | -47.4% | In | -47.4% | -1.7% |
| RISK-04 Trailing Stop Strategy | Trend | -47.8% | In | -47.8% | -20.2% |
| MR-15 Ultimate Oscillator | Mean reversion | -49.0% | Out | -55.2% | +5.9% |
| TREND-18 Coppock Curve | Trend | -49.3% | In | -49.3% | -28.3% |
| TREND-15 Darvas Box | Trend | -50.2% | In | -50.2% | -21.7% |
| HMA-01 HMA Crossover | Trend | -50.3% | In | -51.6% | +12.1% |
| TREND-13 Triple Moving Average | Trend | -52.3% | In | -53.2% | 0.0% |
| TREND-12 MACD Strategy | Trend | -54.7% | In | -61.0% | +0.8% |
| SAR-01 Parabolic SAR | Trend | -55.7% | In | -55.7% | -17.7% |
| COMBO-02 MACD + RSI Filter | Momentum | -56.4% | In | -61.0% | -5.1% |
| MR-13 TRIX Reversion | Mean reversion | -58.2% | Out | -58.2% | -6.3% |
| MR-03 Kalman Filter Mean Reversion | Mean reversion | -61.7% | Out | -62.0% | +21.4% |
| MR-11 Williams %R Reversion | Mean reversion | -61.9% | Out | -63.5% | +3.6% |
| MR-10 Stochastic Oscillator Reversion | Mean reversion | -61.9% | Out | -63.4% | -1.0% |
| MR-12 Money Flow Index Reversion | Mean reversion | -63.2% | Out | -69.9% | +25.5% |
| SEAS-01 Monthly Seasonality | Regime & other | -63.7% | Out | -70.9% | -1.0% |
| MOM-01 Time-Series Momentum | Trend | -69.4% | In | -69.4% | 0.0% |
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 |
|---|---|---|---|---|---|
| Oil | -13.6% | 56 | 70% | 59% | -4.8% |
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.