Q4 2018 sell-off
Rising US rates, the US-China trade dispute and slowing growth drove US stocks down from their September peak to a Christmas Eve low. Oil also fell sharply in the fourth quarter.
Dates checked against the price data: researched window 2018-09-20 to 2018-12-24; measured 2018-09-20 to 2018-12-24 (start shifted by +0 days, end by +0 days).
Price around the event
How the strategies did
Of 62 rule-based strategies with a curve on S&P 500, 30 (48%) were already out of the market going in. 61 (98%) lost less than the market (-19.3%), 4 (6%) finished the window with a gain, and the median strategy returned -6.2%. Strategies that were in the market returned a median -7.2%; those that were already out returned -4.4%. In the following three months the median strategy returned +5.7%.
| Family | Strategies | Already out | Median return | Lost less than the market |
|---|---|---|---|---|
| Trend | 24 | 25% | -4.9% | |
| Momentum | 4 | 25% | -10.0% | |
| Mean reversion | 15 | 100% | -7.7% | |
| Volatility | 6 | 33% | -9.4% | |
| Regime & other | 13 | 46% | -4.5% |
Best five
| Strategy | Return in window |
|---|---|
| TREND-14 Linear Regression Channel | +5.3% |
| MACRO-02 Risk-On/Risk-Off Switch | +4.1% |
| CAL-01 Turn of Month | +3.0% |
| MACRO-03 Flight to Quality | +2.3% |
| COMBO-03 Divergence Strategy | 0.0% |
Worst five
| Strategy | Return in window |
|---|---|
| TREND-13 Triple Moving Average | -19.3% |
| RISK-01 Drawdown Control | -18.5% |
| VOL-10 Volatility Risk Premium | -18.2% |
| MOM-03 52-Week High Momentum | -17.7% |
| SEAS-01 Monthly Seasonality | -13.8% |
62 of 72 strategies have a curve on S&P 500. Portfolio, basket and multi-asset strategies without one are excluded.
All strategies on S&P 500
| Strategy | Family | Return in window | In the market going in? | Max drawdown in window | Next 3 months |
|---|---|---|---|---|---|
| TREND-14 Linear Regression Channel | Trend | +5.3% | Out | -9.0% | -6.5% |
| MACRO-02 Risk-On/Risk-Off Switch | Regime & other | +4.1% | Out | -0.9% | +5.1% |
| CAL-01 Turn of Month | Regime & other | +3.0% | Out | -5.6% | +3.6% |
| MACRO-03 Flight to Quality | Regime & other | +2.3% | In | -6.0% | +5.6% |
| COMBO-03 Divergence Strategy | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| FACTOR-05 Multi-Factor Composite | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| MR-13 TRIX Reversion | Mean reversion | 0.0% | Out | 0.0% | 0.0% |
| TREND-19 Elder Triple Screen | Trend | 0.0% | Out | 0.0% | 0.0% |
| COMBO-01 Bollinger-Keltner Squeeze | Volatility | -1.1% | Out | -3.0% | -2.3% |
| KC-01 Keltner Channel Breakout | Trend | -1.5% | In | -1.5% | +1.7% |
| TREND-02 Donchian Breakout | Trend | -1.7% | In | -1.7% | +1.1% |
| VOL-01 Volatility Breakout | Volatility | -1.7% | Out | -1.7% | +1.7% |
| TAIL-01 Crisis Alpha | Regime & other | -2.5% | Out | -3.6% | -7.8% |
| MR-07 Hurst-Filtered Mean Reversion | Mean reversion | -2.6% | Out | -2.6% | +10.1% |
| SAR-01 Parabolic SAR | Trend | -2.8% | In | -5.5% | +11.1% |
| COMBO-04 Trend + Mean Reversion Hybrid | Trend | -3.0% | Out | -3.0% | 0.0% |
| STAT-11 Cointegration Basket | Mean reversion | -3.0% | Out | -3.0% | +0.8% |
| ADX-01 ADX Trend Filter | Trend | -3.2% | Out | -3.2% | -0.4% |
| TREND-11 Kaufman Adaptive Moving Average | Trend | -3.8% | In | -4.9% | +9.5% |
| MR-14 Detrended Price Oscillator | Mean reversion | -4.1% | Out | -6.4% | +4.8% |
| REG-10 HMM Regime Detection | Regime & other | -4.5% | In | -5.0% | +7.8% |
| MR-02 Bollinger Band Reversion | Mean reversion | -4.7% | Out | -5.4% | +7.7% |
| TREND-10 Ichimoku Cloud | Trend | -4.8% | In | -4.8% | +5.0% |
| TREND-16 Aroon Indicator | Trend | -4.8% | In | -4.8% | +5.0% |
| TURTLE-01 Turtle Trading | Trend | -4.8% | Out | -4.8% | +6.1% |
| TREND-15 Darvas Box | Trend | -4.8% | In | -4.8% | +5.4% |
| TREND-17 Chandelier Exit | Trend | -5.0% | In | -5.0% | +8.1% |
| TREND-20 Vortex Indicator | Trend | -5.1% | In | -5.2% | +7.9% |
| SUPER-01 Supertrend | Trend | -5.5% | In | -5.6% | +6.9% |
| MACRO-01 Cross-Asset Momentum | Regime & other | -5.5% | In | -8.2% | +5.7% |
| HMA-01 HMA Crossover | Trend | -5.7% | In | -6.9% | +5.8% |
| MOM-06 Residual Momentum | Momentum | -6.7% | In | -9.7% | +0.9% |
| MR-01 RSI Mean Reversion | Mean reversion | -6.7% | Out | -7.4% | +5.9% |
| REG-14 Volatility Regime Switch | Volatility | -6.9% | In | -6.9% | +5.0% |
| MR-03 Kalman Filter Mean Reversion | Mean reversion | -7.0% | Out | -11.2% | +11.1% |
| COMBO-02 MACD + RSI Filter | Momentum | -7.3% | Out | -9.8% | +11.3% |
| TREND-18 Coppock Curve | Trend | -7.4% | In | -7.4% | +8.5% |
| TREND-12 MACD Strategy | Trend | -7.5% | Out | -9.8% | +10.2% |
| MR-11 Williams %R Reversion | Mean reversion | -7.7% | Out | -11.2% | +11.9% |
| STAT-10 Dynamic Hedge Ratio Pairs | Regime & other | -7.8% | In | -8.8% | +5.5% |
| RISK-03 Stop Loss Overlay | Regime & other | -7.9% | In | -7.9% | +6.8% |
| MOM-10 Accelerating Momentum | Trend | -9.0% | In | -9.0% | +1.8% |
| RISK-04 Trailing Stop Strategy | Trend | -9.0% | In | -9.0% | +8.2% |
| TREND-05 Dual Moving Average | Trend | -9.2% | In | -9.9% | -0.5% |
| MR-05 CCI Mean Reversion | Mean reversion | -9.2% | Out | -11.2% | +6.6% |
| MR-06 Z-Score Mean Reversion | Mean reversion | -9.3% | Out | -10.0% | +7.7% |
| EVENT-01 Trend + Macro Filter | Trend | -9.7% | In | -9.7% | 0.0% |
| REG-01 Regime Switch | Regime & other | -10.5% | In | -10.5% | +1.8% |
| MOM-01 Time-Series Momentum | Trend | -10.9% | In | -10.9% | +2.8% |
| MR-15 Ultimate Oscillator | Mean reversion | -11.3% | Out | -11.3% | +7.7% |
| MR-04 Ornstein-Uhlenbeck Mean Reversion | Mean reversion | -11.5% | Out | -11.5% | 0.0% |
| MR-10 Stochastic Oscillator Reversion | Mean reversion | -11.7% | Out | -11.7% | +8.1% |
| RP-01 Volatility Target | Volatility | -11.9% | In | -11.9% | +9.5% |
| VOL-13 Volatility Regime Strategy | Volatility | -12.6% | In | -12.6% | +10.9% |
| MOM-11 Momentum Crash Protection | Momentum | -12.7% | In | -12.7% | +4.5% |
| MR-12 Money Flow Index Reversion | Mean reversion | -13.0% | Out | -13.0% | +8.5% |
| MR-16 Connors RSI | Mean reversion | -13.5% | Out | -13.8% | +5.5% |
| SEAS-01 Monthly Seasonality | Regime & other | -13.8% | Out | -16.1% | +19.9% |
| MOM-03 52-Week High Momentum | Momentum | -17.7% | In | -17.7% | +6.1% |
| VOL-10 Volatility Risk Premium | Volatility | -18.2% | In | -18.7% | +9.9% |
| RISK-01 Drawdown Control | Regime & other | -18.5% | In | -18.5% | +17.4% |
| TREND-13 Triple Moving Average | Trend | -19.3% | In | -19.3% | +15.3% |
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 |
|---|---|---|---|---|---|
| Oil | -37.2% | 56 | 100% | 52% | -6.3% |
| Commodities | -16.5% | 56 | 98% | 57% | -1.2% |
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.