2011 silver crash
Silver ran to a near-record high in late April and then gave back a large part of its value within weeks. The fall was amplified by higher exchange margin requirements and a speculative unwind after the metal's parabolic run.
Dates checked against the price data: researched window 2011-04-25 to 2011-05-31; measured 2011-04-28 to 2011-05-16 (start shifted by +3 days, end by -15 days).
Price around the event
How the strategies did
Of 56 rule-based strategies with a curve on Silver, 18 (32%) were already out of the market going in. 52 (93%) lost less than the market (-30.5%), 3 (5%) finished the window with a gain, and the median strategy returned -12.9%. Strategies that were in the market returned a median -16.8%; those that were already out returned -0.7%. In the following three months the median strategy returned +0.8%.
| Family | Strategies | Already out | Median return | Lost less than the market |
|---|---|---|---|---|
| Trend | 24 | 8% | -14.3% | |
| Momentum | 4 | 25% | -21.2% | |
| Mean reversion | 14 | 93% | -2.0% | |
| Volatility | 6 | 0% | -7.0% | |
| Regime & other | 8 | 25% | -17.4% |
Best five
| Strategy | Return in window |
|---|---|
| TAIL-01 Crisis Alpha | +37.6% |
| MR-04 Ornstein-Uhlenbeck Mean Reversion | +9.7% |
| TREND-14 Linear Regression Channel | +8.2% |
| COMBO-02 MACD + RSI Filter | 0.0% |
| COMBO-03 Divergence Strategy | 0.0% |
Worst five
| Strategy | Return in window |
|---|---|
| TREND-13 Triple Moving Average | -30.5% |
| TREND-05 Dual Moving Average | -30.5% |
| MOM-01 Time-Series Momentum | -30.5% |
| MOM-06 Residual Momentum | -30.5% |
| MOM-10 Accelerating Momentum | -29.9% |
56 of 72 strategies have a curve on Silver. Portfolio, basket and multi-asset strategies without one are excluded.
All strategies on Silver
| Strategy | Family | Return in window | In the market going in? | Max drawdown in window | Next 3 months |
|---|---|---|---|---|---|
| TAIL-01 Crisis Alpha | Regime & other | +37.6% | In | -10.7% | -18.5% |
| MR-04 Ornstein-Uhlenbeck Mean Reversion | Mean reversion | +9.7% | Out | 0.0% | 0.0% |
| TREND-14 Linear Regression Channel | Trend | +8.2% | In | -10.7% | -14.5% |
| COMBO-02 MACD + RSI Filter | Momentum | 0.0% | Out | 0.0% | +2.1% |
| COMBO-03 Divergence Strategy | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| MR-03 Kalman Filter Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | +5.2% |
| MR-06 Z-Score Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | +6.1% |
| 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% | -0.2% |
| 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% |
| VOL-10 Volatility Risk Premium | Volatility | 0.0% | In | 0.0% | 0.0% |
| MR-12 Money Flow Index Reversion | Mean reversion | -1.4% | Out | -4.5% | +20.9% |
| MR-01 RSI Mean Reversion | Mean reversion | -1.4% | Out | -4.5% | +5.5% |
| VOL-13 Volatility Regime Strategy | Volatility | -1.4% | In | -4.5% | +9.3% |
| COMBO-04 Trend + Mean Reversion Hybrid | Trend | -2.6% | Out | -12.4% | +22.3% |
| MR-02 Bollinger Band Reversion | Mean reversion | -2.6% | Out | -12.5% | +4.3% |
| MR-15 Ultimate Oscillator | Mean reversion | -2.6% | Out | -12.4% | +10.7% |
| RP-01 Volatility Target | Volatility | -6.9% | In | -6.9% | +3.2% |
| REG-14 Volatility Regime Switch | Volatility | -7.0% | In | -7.0% | -0.7% |
| VOL-01 Volatility Breakout | Volatility | -7.8% | In | -8.3% | -4.4% |
| SEAS-01 Monthly Seasonality | Regime & other | -9.4% | In | -9.4% | 0.0% |
| TREND-11 Kaufman Adaptive Moving Average | Trend | -9.4% | In | -9.4% | +1.6% |
| COMBO-01 Bollinger-Keltner Squeeze | Volatility | -9.4% | In | -9.4% | +2.8% |
| SAR-01 Parabolic SAR | Trend | -9.4% | In | -9.4% | -8.2% |
| RISK-04 Trailing Stop Strategy | Trend | -9.4% | In | -9.4% | -0.5% |
| HMA-01 HMA Crossover | Trend | -10.7% | In | -10.7% | +20.0% |
| EVENT-01 Trend + Macro Filter | Trend | -11.7% | In | -12.4% | +11.5% |
| TREND-12 MACD Strategy | Trend | -14.1% | In | -14.1% | -2.7% |
| KC-01 Keltner Channel Breakout | Trend | -14.1% | In | -14.1% | +1.0% |
| TURTLE-01 Turtle Trading | Trend | -14.1% | In | -14.1% | +1.0% |
| SUPER-01 Supertrend | Trend | -14.1% | In | -14.1% | +6.3% |
| MR-05 CCI Mean Reversion | Mean reversion | -14.2% | Out | -14.2% | +19.2% |
| TREND-17 Chandelier Exit | Trend | -14.5% | In | -14.5% | -0.5% |
| MR-16 Connors RSI | Mean reversion | -16.9% | Out | -21.3% | -1.1% |
| ADX-01 ADX Trend Filter | Trend | -19.0% | In | -19.0% | -4.9% |
| TREND-02 Donchian Breakout | Trend | -19.0% | In | -19.0% | -3.1% |
| MOM-03 52-Week High Momentum | Momentum | -19.0% | In | -19.0% | 0.0% |
| MR-14 Detrended Price Oscillator | Mean reversion | -19.0% | In | -19.0% | +22.5% |
| TREND-20 Vortex Indicator | Trend | -19.0% | In | -19.0% | -8.8% |
| MR-10 Stochastic Oscillator Reversion | Mean reversion | -19.0% | Out | -19.0% | +17.6% |
| MR-11 Williams %R Reversion | Mean reversion | -19.1% | Out | -19.1% | +19.8% |
| MOM-11 Momentum Crash Protection | Momentum | -23.4% | In | -23.4% | -5.6% |
| RISK-01 Drawdown Control | Regime & other | -25.5% | In | -25.5% | -1.9% |
| TREND-18 Coppock Curve | Trend | -27.0% | In | -28.6% | +0.7% |
| TREND-15 Darvas Box | Trend | -28.6% | In | -28.6% | +3.9% |
| TREND-16 Aroon Indicator | Trend | -28.6% | In | -28.6% | -1.0% |
| CAL-01 Turn of Month | Regime & other | -28.6% | In | -28.6% | -1.5% |
| RISK-03 Stop Loss Overlay | Regime & other | -28.6% | In | -28.6% | -1.9% |
| REG-10 HMM Regime Detection | Regime & other | -28.7% | In | -28.7% | +1.5% |
| TREND-10 Ichimoku Cloud | Trend | -28.7% | In | -28.7% | -4.6% |
| MOM-10 Accelerating Momentum | Trend | -29.9% | In | -29.9% | +7.8% |
| MOM-06 Residual Momentum | Momentum | -30.5% | In | -30.5% | +6.5% |
| MOM-01 Time-Series Momentum | Trend | -30.5% | In | -30.5% | +17.7% |
| TREND-05 Dual Moving Average | Trend | -30.5% | In | -30.5% | +17.7% |
| TREND-13 Triple Moving Average | Trend | -30.5% | In | -30.5% | +17.7% |
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 |
|---|---|---|---|---|---|
| Gold | -3.0% | 56 | 71% | 36% | -1.6% |
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.