Russia's invasion of Ukraine commodity spike
Russia invaded Ukraine in late February, and sanctions threatened supplies of oil, gas, wheat and metals. Oil surged to multi-year highs before easing.
Dates checked against the price data: researched window 2022-02-23 to 2022-03-08; measured 2022-02-02 to 2022-03-08 (start shifted by -21 days, end by +0 days).
Price around the event
How the strategies did
Of 56 rule-based strategies with a curve on Oil, 24 (43%) were not in the market going in. 11 (20%) beat the market (+36.6%), 37 (66%) finished the window with a gain, and the median strategy returned +20.6%. Strategies that were in the market returned a median +36.6%; those that were already out returned 0.0%. In the following three months the median strategy returned -0.0%.
| Family | Strategies | Not in the market | Median return | Beat the market |
|---|---|---|---|---|
| Trend | 24 | 12% | +36.6% | |
| Momentum | 4 | 50% | +20.8% | |
| Mean reversion | 14 | 100% | 0.0% | |
| Volatility | 6 | 33% | +13.7% | |
| Regime & other | 8 | 38% | +28.9% |
Best five
| Strategy | Return in window |
|---|---|
| RISK-04 Trailing Stop Strategy | +37.1% |
| RISK-01 Drawdown Control | +36.7% |
| MOM-11 Momentum Crash Protection | +36.7% |
| TREND-02 Donchian Breakout | +36.7% |
| KC-01 Keltner Channel Breakout | +36.6% |
Worst five
| Strategy | Return in window |
|---|---|
| TAIL-01 Crisis Alpha | -7.2% |
| TREND-19 Elder Triple Screen | 0.0% |
| REG-01 Regime Switch | 0.0% |
| MR-16 Connors RSI | 0.0% |
| MR-15 Ultimate Oscillator | 0.0% |
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 |
|---|---|---|---|---|---|
| RISK-04 Trailing Stop Strategy | Trend | +37.1% | In | -3.1% | -5.6% |
| RISK-01 Drawdown Control | Regime & other | +36.7% | In | -4.2% | -5.5% |
| MOM-11 Momentum Crash Protection | Momentum | +36.7% | In | -4.3% | -3.3% |
| TREND-02 Donchian Breakout | Trend | +36.7% | In | -4.3% | +5.4% |
| KC-01 Keltner Channel Breakout | Trend | +36.6% | In | -4.2% | -15.4% |
| TREND-05 Dual Moving Average | Trend | +36.6% | In | -4.2% | +5.4% |
| SEAS-01 Monthly Seasonality | Regime & other | +36.6% | In | -4.3% | -8.3% |
| TREND-18 Coppock Curve | Trend | +36.6% | In | -4.2% | -2.0% |
| SUPER-01 Supertrend | Trend | +36.6% | In | -4.2% | -22.3% |
| TREND-10 Ichimoku Cloud | Trend | +36.6% | In | -4.2% | -7.9% |
| RISK-03 Stop Loss Overlay | Regime & other | +36.6% | In | -4.3% | -6.7% |
| TREND-16 Aroon Indicator | Trend | +36.6% | In | -4.2% | -1.9% |
| MOM-10 Accelerating Momentum | Trend | +36.6% | In | -4.2% | +4.1% |
| TREND-20 Vortex Indicator | Trend | +36.6% | In | -4.3% | -6.4% |
| MOM-01 Time-Series Momentum | Trend | +36.6% | In | -4.2% | +5.4% |
| TURTLE-01 Turtle Trading | Trend | +36.6% | In | -4.3% | -19.4% |
| MOM-03 52-Week High Momentum | Momentum | +36.6% | In | -4.3% | -22.3% |
| TREND-15 Darvas Box | Trend | +36.6% | In | -4.3% | +5.4% |
| TREND-13 Triple Moving Average | Trend | +36.6% | In | -4.3% | +5.4% |
| TREND-11 Kaufman Adaptive Moving Average | Trend | +35.3% | In | -4.2% | -11.9% |
| TREND-17 Chandelier Exit | Trend | +35.3% | In | -4.3% | -14.6% |
| SAR-01 Parabolic SAR | Trend | +32.5% | In | -4.3% | -10.0% |
| REG-10 HMM Regime Detection | Regime & other | +32.5% | In | -4.3% | -14.4% |
| ADX-01 ADX Trend Filter | Trend | +32.1% | Out | -4.3% | -17.5% |
| CAL-01 Turn of Month | Regime & other | +25.4% | In | -1.2% | -0.1% |
| HMA-01 HMA Crossover | Trend | +24.8% | In | -6.0% | -12.1% |
| REG-14 Volatility Regime Switch | Volatility | +24.0% | In | -4.2% | +12.6% |
| TREND-14 Linear Regression Channel | Trend | +22.3% | In | -3.1% | -37.5% |
| TREND-12 MACD Strategy | Trend | +19.0% | In | -3.6% | -23.5% |
| EVENT-01 Trend + Macro Filter | Trend | +19.0% | In | -4.3% | +0.9% |
| MR-14 Detrended Price Oscillator | Mean reversion | +17.6% | Out | -4.3% | -21.9% |
| VOL-01 Volatility Breakout | Volatility | +15.7% | Out | -3.1% | -6.7% |
| VOL-13 Volatility Regime Strategy | Volatility | +14.2% | In | -4.2% | -0.4% |
| COMBO-01 Bollinger-Keltner Squeeze | Volatility | +13.3% | Out | -1.2% | -17.4% |
| VOL-10 Volatility Risk Premium | Volatility | +10.2% | In | -2.8% | +0.6% |
| RP-01 Volatility Target | Volatility | +9.1% | In | -1.8% | +1.5% |
| MOM-06 Residual Momentum | Momentum | +5.0% | Out | 0.0% | +23.7% |
| COMBO-02 MACD + RSI Filter | Momentum | 0.0% | Out | 0.0% | -13.0% |
| 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% |
| MR-01 RSI Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | 0.0% |
| MR-02 Bollinger Band Reversion | Mean reversion | 0.0% | Out | 0.0% | 0.0% |
| MR-03 Kalman Filter Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | 0.0% |
| MR-04 Ornstein-Uhlenbeck Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | 0.0% |
| MR-05 CCI Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | +13.7% |
| 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-10 Stochastic Oscillator Reversion | Mean reversion | 0.0% | Out | 0.0% | +26.3% |
| MR-11 Williams %R Reversion | Mean reversion | 0.0% | Out | 0.0% | +37.7% |
| MR-12 Money Flow Index Reversion | Mean reversion | 0.0% | Out | 0.0% | 0.0% |
| MR-13 TRIX Reversion | Mean reversion | 0.0% | Out | 0.0% | 0.0% |
| MR-15 Ultimate Oscillator | Mean reversion | 0.0% | Out | 0.0% | 0.0% |
| MR-16 Connors RSI | Mean reversion | 0.0% | Out | 0.0% | +12.6% |
| 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% |
| TAIL-01 Crisis Alpha | Regime & other | -7.2% | Out | -7.2% | -11.7% |
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 |
|---|---|---|---|---|---|
| Natural gas | -15.3% | 56 | 70% | 50% | -5.5% |
| Agriculture | +8.7% | 56 | 12% | 41% | +3.6% |
| Commodities | +24.2% | 56 | 20% | 39% | +17.3% |
| EUR/USD | -3.6% | 56 | 93% | 66% | 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.