2014-2016 oil collapse
Crude peaked in mid 2014 and then collapsed for well over a year as US shale output surged and OPEC refused to cut production. The collapse hit energy shares and spread to broad commodity indices.
Dates checked against the price data: researched window 2014-06-20 to 2016-02-11; measured 2014-06-20 to 2016-02-10 (start shifted by +0 days, end by -1 days).
Price around the event
How the strategies did
Of 56 rule-based strategies with a curve on Oil, 24 (43%) were already out of the market going in. 56 (100%) lost less than the market (-79.8%), 4 (7%) finished the window with a gain, and the median strategy returned -24.4%. Strategies that were in the market returned a median -19.1%; those that were already out returned -30.0%. In the following three months the median strategy returned +4.6%.
| Family | Strategies | Already out | Median return | Lost less than the market |
|---|---|---|---|---|
| Trend | 24 | 8% | -13.8% | |
| Momentum | 4 | 75% | -34.5% | |
| Mean reversion | 14 | 100% | -48.8% | |
| Volatility | 6 | 17% | -31.6% | |
| Regime & other | 8 | 50% | -18.5% |
Best five
| Strategy | Return in window |
|---|---|
| TAIL-01 Crisis Alpha | +128.8% |
| TREND-14 Linear Regression Channel | +103.2% |
| TREND-16 Aroon Indicator | +2.6% |
| TREND-10 Ichimoku Cloud | +1.0% |
| COMBO-03 Divergence Strategy | 0.0% |
Worst five
| Strategy | Return in window |
|---|---|
| MR-03 Kalman Filter Mean Reversion | -73.5% |
| MR-11 Williams %R Reversion | -70.3% |
| MR-10 Stochastic Oscillator Reversion | -67.9% |
| SEAS-01 Monthly Seasonality | -63.0% |
| MR-05 CCI Mean Reversion | -60.9% |
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 | +128.8% | Out | -28.5% | -33.0% |
| TREND-14 Linear Regression Channel | Trend | +103.2% | In | -20.3% | -1.0% |
| TREND-16 Aroon Indicator | Trend | +2.6% | In | -8.3% | +1.1% |
| TREND-10 Ichimoku Cloud | Trend | +1.0% | In | -8.0% | -4.6% |
| COMBO-03 Divergence Strategy | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| MOM-11 Momentum Crash Protection | Momentum | 0.0% | Out | 0.0% | 0.0% |
| TREND-19 Elder Triple Screen | Trend | 0.0% | Out | 0.0% | 0.0% |
| ADX-01 ADX Trend Filter | Trend | -4.5% | In | -12.2% | -9.7% |
| COMBO-01 Bollinger-Keltner Squeeze | Volatility | -4.6% | In | -20.3% | +17.0% |
| COMBO-04 Trend + Mean Reversion Hybrid | Trend | -4.9% | Out | -4.9% | 0.0% |
| TREND-02 Donchian Breakout | Trend | -6.4% | In | -6.9% | +6.6% |
| EVENT-01 Trend + Macro Filter | Trend | -7.9% | In | -9.5% | 0.0% |
| MOM-10 Accelerating Momentum | Trend | -7.9% | In | -7.9% | 0.0% |
| CAL-01 Turn of Month | Regime & other | -8.5% | Out | -24.9% | -4.9% |
| REG-01 Regime Switch | Regime & other | -9.2% | In | -9.2% | 0.0% |
| MR-06 Z-Score Mean Reversion | Mean reversion | -9.3% | Out | -11.3% | 0.0% |
| MOM-01 Time-Series Momentum | Trend | -9.4% | In | -9.4% | 0.0% |
| KC-01 Keltner Channel Breakout | Trend | -11.2% | In | -13.9% | -2.7% |
| TREND-05 Dual Moving Average | Trend | -12.1% | In | -12.9% | 0.0% |
| MR-04 Ornstein-Uhlenbeck Mean Reversion | Mean reversion | -15.3% | Out | -18.6% | 0.0% |
| SAR-01 Parabolic SAR | Trend | -15.6% | In | -26.2% | +12.8% |
| TURTLE-01 Turtle Trading | Trend | -15.8% | In | -19.6% | +7.5% |
| SUPER-01 Supertrend | Trend | -16.9% | In | -21.0% | +24.3% |
| TREND-13 Triple Moving Average | Trend | -18.3% | In | -18.3% | 0.0% |
| MR-16 Connors RSI | Mean reversion | -19.3% | Out | -22.6% | -9.3% |
| TREND-18 Coppock Curve | Trend | -19.8% | In | -28.3% | +15.0% |
| TREND-15 Darvas Box | Trend | -24.2% | In | -24.2% | +5.7% |
| MOM-03 52-Week High Momentum | Momentum | -24.3% | In | -24.3% | 0.0% |
| TREND-20 Vortex Indicator | Trend | -24.5% | In | -30.6% | +24.5% |
| VOL-01 Volatility Breakout | Volatility | -24.9% | Out | -28.2% | +0.9% |
| MR-07 Hurst-Filtered Mean Reversion | Mean reversion | -24.9% | Out | -31.4% | 0.0% |
| TREND-17 Chandelier Exit | Trend | -26.4% | In | -26.7% | +14.8% |
| MR-02 Bollinger Band Reversion | Mean reversion | -27.1% | Out | -37.4% | 0.0% |
| RISK-01 Drawdown Control | Regime & other | -27.7% | In | -27.7% | +3.8% |
| VOL-10 Volatility Risk Premium | Volatility | -28.5% | In | -29.8% | 0.0% |
| MR-01 RSI Mean Reversion | Mean reversion | -32.9% | Out | -39.2% | +5.5% |
| TREND-11 Kaufman Adaptive Moving Average | Trend | -33.9% | In | -33.9% | +10.9% |
| REG-10 HMM Regime Detection | Regime & other | -34.4% | In | -35.2% | +32.9% |
| RISK-03 Stop Loss Overlay | Regime & other | -34.7% | In | -34.7% | +20.5% |
| REG-14 Volatility Regime Switch | Volatility | -34.7% | In | -35.3% | +14.1% |
| RP-01 Volatility Target | Volatility | -35.8% | In | -36.3% | +6.4% |
| VOL-13 Volatility Regime Strategy | Volatility | -38.9% | In | -52.1% | +5.4% |
| RISK-04 Trailing Stop Strategy | Trend | -42.0% | In | -42.0% | +27.1% |
| MOM-06 Residual Momentum | Momentum | -44.7% | Out | -45.9% | +20.1% |
| MR-12 Money Flow Index Reversion | Mean reversion | -48.5% | Out | -56.3% | +10.2% |
| COMBO-02 MACD + RSI Filter | Momentum | -48.6% | Out | -49.0% | +21.7% |
| MR-14 Detrended Price Oscillator | Mean reversion | -49.0% | Out | -50.6% | +9.9% |
| TREND-12 MACD Strategy | Trend | -55.2% | In | -55.2% | +20.3% |
| MR-13 TRIX Reversion | Mean reversion | -55.4% | Out | -59.8% | -0.6% |
| MR-15 Ultimate Oscillator | Mean reversion | -56.6% | Out | -61.4% | +2.3% |
| HMA-01 HMA Crossover | Trend | -57.9% | In | -58.4% | +13.7% |
| MR-05 CCI Mean Reversion | Mean reversion | -60.9% | Out | -66.5% | +15.4% |
| SEAS-01 Monthly Seasonality | Regime & other | -63.0% | Out | -63.2% | +38.8% |
| MR-10 Stochastic Oscillator Reversion | Mean reversion | -67.9% | Out | -70.6% | +19.9% |
| MR-11 Williams %R Reversion | Mean reversion | -70.3% | Out | -71.1% | +21.6% |
| MR-03 Kalman Filter Mean Reversion | Mean reversion | -73.5% | Out | -73.5% | +33.9% |
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 | -54.8% | 56 | 100% | 41% | -11.3% |
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.