Omicron oil shock 2021
Reports of the Omicron variant in late November triggered fears of new travel restrictions, and oil dropped sharply in a day. US stocks also sold off that week as volatility rose.
Dates checked against the price data: researched window 2021-11-25 to 2021-11-30; measured 2021-11-09 to 2021-12-01 (start shifted by -16 days, end by +1 days).
Price around the event
How the strategies did
Of 56 rule-based strategies with a curve on Oil, 31 (55%) were already out of the market going in. 53 (95%) lost less than the market (-18.9%), 5 (9%) finished the window with a gain, and the median strategy returned -3.3%. Strategies that were in the market returned a median -5.2%; those that were already out returned 0.0%. In the following three months the median strategy returned +22.0%.
| Family | Strategies | Already out | Median return | Lost less than the market |
|---|---|---|---|---|
| Trend | 24 | 54% | -1.0% | |
| Momentum | 4 | 50% | -10.7% | |
| Mean reversion | 14 | 64% | -2.2% | |
| Volatility | 6 | 33% | -6.6% | |
| Regime & other | 8 | 62% | -9.0% |
Best five
| Strategy | Return in window |
|---|---|
| TREND-14 Linear Regression Channel | +21.0% |
| TAIL-01 Crisis Alpha | +5.2% |
| MR-05 CCI Mean Reversion | +1.4% |
| MR-16 Connors RSI | +1.1% |
| COMBO-04 Trend + Mean Reversion Hybrid | +0.9% |
Worst five
| Strategy | Return in window |
|---|---|
| EVENT-01 Trend + Macro Filter | -18.9% |
| TREND-13 Triple Moving Average | -18.9% |
| MOM-01 Time-Series Momentum | -18.9% |
| SEAS-01 Monthly Seasonality | -18.9% |
| TREND-05 Dual Moving Average | -18.9% |
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 |
|---|---|---|---|---|---|
| TREND-14 Linear Regression Channel | Trend | +21.0% | In | -4.4% | +8.5% |
| TAIL-01 Crisis Alpha | Regime & other | +5.2% | Out | -1.1% | -15.3% |
| MR-05 CCI Mean Reversion | Mean reversion | +1.4% | Out | -3.2% | +11.4% |
| MR-16 Connors RSI | Mean reversion | +1.1% | In | 0.0% | +3.3% |
| COMBO-04 Trend + Mean Reversion Hybrid | Trend | +0.9% | Out | -4.5% | -0.6% |
| ADX-01 ADX Trend Filter | Trend | 0.0% | Out | 0.0% | +15.2% |
| COMBO-02 MACD + RSI Filter | Momentum | 0.0% | Out | 0.0% | +8.5% |
| COMBO-03 Divergence Strategy | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| KC-01 Keltner Channel Breakout | Trend | 0.0% | Out | 0.0% | +31.0% |
| 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% | 0.0% |
| MR-13 TRIX Reversion | Mean reversion | 0.0% | Out | 0.0% | +1.8% |
| REG-10 HMM Regime Detection | Regime & other | 0.0% | Out | 0.0% | +32.2% |
| SUPER-01 Supertrend | Trend | 0.0% | Out | 0.0% | +42.0% |
| TREND-02 Donchian Breakout | Trend | 0.0% | Out | 0.0% | +26.5% |
| TREND-11 Kaufman Adaptive Moving Average | Trend | 0.0% | Out | 0.0% | +35.4% |
| TREND-12 MACD Strategy | Trend | 0.0% | Out | 0.0% | +23.8% |
| TREND-15 Darvas Box | Trend | 0.0% | Out | 0.0% | +40.3% |
| TREND-18 Coppock Curve | Trend | 0.0% | In | 0.0% | +42.0% |
| TREND-19 Elder Triple Screen | Trend | 0.0% | Out | 0.0% | 0.0% |
| TURTLE-01 Turtle Trading | Trend | 0.0% | Out | 0.0% | +42.0% |
| VOL-10 Volatility Risk Premium | Volatility | 0.0% | Out | 0.0% | +18.2% |
| MR-02 Bollinger Band Reversion | Mean reversion | -1.0% | Out | -6.2% | +11.4% |
| MR-14 Detrended Price Oscillator | Mean reversion | -1.2% | Out | -2.1% | +7.7% |
| TREND-10 Ichimoku Cloud | Trend | -1.9% | Out | -2.1% | +36.3% |
| TREND-16 Aroon Indicator | Trend | -3.0% | In | -3.0% | +35.9% |
| TREND-20 Vortex Indicator | Trend | -3.0% | In | -3.0% | +41.5% |
| MR-10 Stochastic Oscillator Reversion | Mean reversion | -3.2% | In | -6.3% | +15.2% |
| VOL-01 Volatility Breakout | Volatility | -3.4% | In | -3.4% | +9.7% |
| RISK-04 Trailing Stop Strategy | Trend | -3.4% | In | -3.4% | +45.0% |
| TREND-17 Chandelier Exit | Trend | -3.4% | In | -3.4% | +39.0% |
| MR-11 Williams %R Reversion | Mean reversion | -3.7% | In | -6.2% | +16.3% |
| MR-15 Ultimate Oscillator | Mean reversion | -4.1% | In | -6.2% | +9.6% |
| RP-01 Volatility Target | Volatility | -4.6% | In | -4.6% | +14.2% |
| SAR-01 Parabolic SAR | Trend | -5.1% | Out | -5.1% | +29.8% |
| MR-04 Ornstein-Uhlenbeck Mean Reversion | Mean reversion | -5.2% | Out | -6.2% | +11.6% |
| MR-01 RSI Mean Reversion | Mean reversion | -5.2% | Out | -6.2% | +7.4% |
| MR-12 Money Flow Index Reversion | Mean reversion | -5.2% | In | -6.2% | +9.4% |
| MR-03 Kalman Filter Mean Reversion | Mean reversion | -5.2% | Out | -6.2% | +11.4% |
| CAL-01 Turn of Month | Regime & other | -6.2% | Out | -6.2% | +21.8% |
| MOM-06 Residual Momentum | Momentum | -7.1% | Out | -7.1% | +5.0% |
| VOL-13 Volatility Regime Strategy | Volatility | -8.7% | In | -8.7% | +38.5% |
| REG-01 Regime Switch | Regime & other | -11.7% | Out | -11.7% | 0.0% |
| COMBO-01 Bollinger-Keltner Squeeze | Volatility | -11.7% | Out | -11.7% | -1.2% |
| REG-14 Volatility Regime Switch | Volatility | -13.5% | In | -13.5% | +35.2% |
| HMA-01 HMA Crossover | Trend | -14.2% | Out | -14.2% | +22.1% |
| RISK-03 Stop Loss Overlay | Regime & other | -14.4% | In | -14.4% | +35.5% |
| MOM-03 52-Week High Momentum | Momentum | -14.4% | In | -14.4% | +34.1% |
| MOM-10 Accelerating Momentum | Trend | -14.6% | In | -14.6% | +40.1% |
| MOM-11 Momentum Crash Protection | Momentum | -16.1% | In | -16.1% | +42.6% |
| RISK-01 Drawdown Control | Regime & other | -16.8% | In | -16.8% | +47.6% |
| TREND-05 Dual Moving Average | Trend | -18.9% | In | -18.9% | +58.4% |
| SEAS-01 Monthly Seasonality | Regime & other | -18.9% | In | -18.9% | +58.4% |
| MOM-01 Time-Series Momentum | Trend | -18.9% | In | -18.9% | +58.4% |
| TREND-13 Triple Moving Average | Trend | -18.9% | In | -18.9% | +58.5% |
| EVENT-01 Trend + Macro Filter | Trend | -18.9% | In | -18.9% | +32.0% |
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 |
|---|---|---|---|---|---|
| S&P 500 | -3.6% | 62 | 82% | 37% | -1.8% |
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.