April 2020 negative oil prices
A lockdown-driven demand collapse and full storage pushed the front-month oil futures contract below zero in April. Futures-based funds such as USO suffered large losses and forced rolls.
Dates checked against the price data: researched window 2020-04-17 to 2020-04-21; measured 2020-04-03 to 2020-04-28 (start shifted by -14 days, end by +7 days).
Price around the event
How the strategies did
Of 56 rule-based strategies with a curve on Oil, 34 (61%) were already out of the market going in. 55 (98%) lost less than the market (-63.9%), 1 (2%) finished the window with a gain, and the median strategy returned 0.0%. Strategies that were in the market returned a median -27.4%; those that were already out returned 0.0%. In the following three months the median strategy returned +8.3%.
| Family | Strategies | Already out | Median return | Lost less than the market |
|---|---|---|---|---|
| Trend | 24 | 83% | 0.0% | |
| Momentum | 4 | 75% | 0.0% | |
| Mean reversion | 14 | 29% | -33.2% | |
| Volatility | 6 | 50% | -2.7% | |
| Regime & other | 8 | 50% | 0.0% |
Best five
| Strategy | Return in window |
|---|---|
| TAIL-01 Crisis Alpha | +140.8% |
| CAL-01 Turn of Month | 0.0% |
| COMBO-01 Bollinger-Keltner Squeeze | 0.0% |
| COMBO-03 Divergence Strategy | 0.0% |
| COMBO-04 Trend + Mean Reversion Hybrid | 0.0% |
Worst five
| Strategy | Return in window |
|---|---|
| MR-03 Kalman Filter Mean Reversion | -63.9% |
| SEAS-01 Monthly Seasonality | -63.9% |
| TREND-12 MACD Strategy | -52.4% |
| COMBO-02 MACD + RSI Filter | -52.4% |
| MR-15 Ultimate Oscillator | -51.9% |
56 of 72 strategies have a curve on Oil. Portfolio, basket and multi-asset strategies without one are excluded.
All strategies on Oil
| Strategy | Family | Return in window | In the market going in? | Max drawdown in window | Next 3 months |
|---|---|---|---|---|---|
| TAIL-01 Crisis Alpha | Regime & other | +140.8% | In | -5.5% | -45.0% |
| CAL-01 Turn of Month | Regime & other | 0.0% | In | 0.0% | +32.6% |
| COMBO-01 Bollinger-Keltner Squeeze | Volatility | 0.0% | Out | 0.0% | +8.4% |
| 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% | -0.9% |
| 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-06 Residual Momentum | Momentum | 0.0% | Out | 0.0% | +3.0% |
| 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-04 Ornstein-Uhlenbeck Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | 0.0% |
| MR-06 Z-Score Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | 0.0% |
| MR-07 Hurst-Filtered Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | +43.4% |
| REG-01 Regime Switch | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| REG-14 Volatility Regime Switch | Volatility | 0.0% | Out | 0.0% | +2.0% |
| RISK-03 Stop Loss Overlay | Regime & other | 0.0% | Out | 0.0% | +8.4% |
| TREND-02 Donchian Breakout | Trend | 0.0% | Out | 0.0% | +0.2% |
| TREND-05 Dual Moving Average | Trend | 0.0% | Out | 0.0% | 0.0% |
| TREND-10 Ichimoku Cloud | Trend | 0.0% | Out | 0.0% | -0.2% |
| TREND-13 Triple Moving Average | Trend | 0.0% | Out | 0.0% | 0.0% |
| TREND-14 Linear Regression Channel | Trend | 0.0% | In | 0.0% | 0.0% |
| TREND-15 Darvas Box | Trend | 0.0% | Out | 0.0% | +20.7% |
| TREND-16 Aroon Indicator | Trend | 0.0% | Out | 0.0% | +8.2% |
| TREND-18 Coppock Curve | Trend | 0.0% | Out | 0.0% | +31.1% |
| TREND-19 Elder Triple Screen | Trend | 0.0% | Out | 0.0% | 0.0% |
| TURTLE-01 Turtle Trading | Trend | 0.0% | Out | 0.0% | +31.1% |
| VOL-10 Volatility Risk Premium | Volatility | 0.0% | Out | 0.0% | 0.0% |
| RP-01 Volatility Target | Volatility | -5.4% | In | -5.4% | +5.6% |
| TREND-17 Chandelier Exit | Trend | -7.1% | Out | -7.1% | +23.4% |
| VOL-01 Volatility Breakout | Volatility | -7.1% | In | -7.1% | -1.7% |
| ADX-01 ADX Trend Filter | Trend | -7.1% | Out | -7.1% | -4.6% |
| RISK-01 Drawdown Control | Regime & other | -9.1% | In | -9.1% | +5.9% |
| MR-02 Bollinger Band Reversion | Mean reversion | -10.7% | Out | -10.7% | 0.0% |
| TREND-11 Kaufman Adaptive Moving Average | Trend | -13.9% | Out | -13.9% | +36.0% |
| HMA-01 HMA Crossover | Trend | -16.4% | In | -16.4% | +47.7% |
| MR-01 RSI Mean Reversion | Mean reversion | -19.3% | In | -19.3% | +26.0% |
| TREND-20 Vortex Indicator | Trend | -21.0% | Out | -21.0% | +30.6% |
| MR-12 Money Flow Index Reversion | Mean reversion | -24.2% | In | -24.2% | +20.1% |
| VOL-13 Volatility Regime Strategy | Volatility | -24.2% | In | -24.2% | +20.4% |
| SAR-01 Parabolic SAR | Trend | -24.9% | In | -24.9% | +27.8% |
| RISK-04 Trailing Stop Strategy | Trend | -28.8% | Out | -28.8% | +30.3% |
| MR-14 Detrended Price Oscillator | Mean reversion | -30.0% | In | -30.0% | +24.4% |
| REG-10 HMM Regime Detection | Regime & other | -30.1% | Out | -30.1% | +36.8% |
| MR-05 CCI Mean Reversion | Mean reversion | -36.4% | In | -36.4% | +26.0% |
| SUPER-01 Supertrend | Trend | -36.4% | Out | -36.4% | +15.8% |
| MR-16 Connors RSI | Mean reversion | -44.9% | In | -46.1% | +5.7% |
| MR-13 TRIX Reversion | Mean reversion | -47.4% | In | -47.4% | +42.6% |
| MR-11 Williams %R Reversion | Mean reversion | -51.9% | In | -51.9% | +38.4% |
| MR-10 Stochastic Oscillator Reversion | Mean reversion | -51.9% | In | -51.9% | +32.0% |
| MR-15 Ultimate Oscillator | Mean reversion | -51.9% | In | -51.9% | +26.2% |
| COMBO-02 MACD + RSI Filter | Momentum | -52.4% | In | -52.4% | +30.3% |
| TREND-12 MACD Strategy | Trend | -52.4% | In | -52.4% | +49.5% |
| SEAS-01 Monthly Seasonality | Regime & other | -63.9% | In | -63.9% | +10.6% |
| MR-03 Kalman Filter Mean Reversion | Mean reversion | -63.9% | In | -63.9% | +71.3% |
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 |
|---|---|---|---|---|---|
| Commodities | -8.0% | 56 | 93% | 64% | 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.