Spring 2010 correction (Greek debt crisis)
US stocks peaked in late April and slid through early summer as the Greek debt crisis spread fears across the euro zone. The market bottomed in early July once European rescue measures were in place and US data softened.
Dates checked against the price data: researched window 2010-04-23 to 2010-07-02; measured 2010-04-23 to 2010-07-02 (start shifted by +0 days, end by +0 days).
Price around the event
How the strategies did
Of 56 rule-based strategies with a curve on S&P 500, 40 (71%) were already out of the market going in. 55 (98%) lost less than the market (-15.7%), 5 (9%) finished the window with a gain, and the median strategy returned -2.2%. Strategies that were in the market returned a median -5.3%; those that were already out returned 0.0%. In the following three months the median strategy returned +1.3%.
| Family | Strategies | Already out | Median return | Lost less than the market |
|---|---|---|---|---|
| Trend | 24 | 50% | -3.1% | |
| Momentum | 4 | 100% | 0.0% | |
| Mean reversion | 14 | 100% | -2.2% | |
| Volatility | 6 | 83% | -2.6% | |
| Regime & other | 8 | 62% | -0.6% |
Best five
| Strategy | Return in window |
|---|---|
| MR-01 RSI Mean Reversion | +3.5% |
| TAIL-01 Crisis Alpha | +3.3% |
| MR-03 Kalman Filter Mean Reversion | +2.1% |
| MR-10 Stochastic Oscillator Reversion | +1.9% |
| TREND-14 Linear Regression Channel | +0.3% |
Worst five
| Strategy | Return in window |
|---|---|
| RISK-01 Drawdown Control | -16.0% |
| CAL-01 Turn of Month | -13.3% |
| SAR-01 Parabolic SAR | -12.2% |
| TREND-18 Coppock Curve | -10.6% |
| HMA-01 HMA Crossover | -10.2% |
56 of 72 strategies have a curve on S&P 500. Portfolio, basket and multi-asset strategies without one are excluded.
This event is early in the price history, so slow indicators may not have been ready yet; a strategy shown as out may simply not have had enough data to trade.
All strategies on S&P 500
| Strategy | Family | Return in window | In the market going in? | Max drawdown in window | Next 3 months |
|---|---|---|---|---|---|
| MR-01 RSI Mean Reversion | Mean reversion | +3.5% | Out | -2.3% | +1.7% |
| TAIL-01 Crisis Alpha | Regime & other | +3.3% | Out | -2.9% | 0.0% |
| MR-03 Kalman Filter Mean Reversion | Mean reversion | +2.1% | Out | -4.8% | +7.3% |
| MR-10 Stochastic Oscillator Reversion | Mean reversion | +1.9% | Out | -5.3% | +4.0% |
| TREND-14 Linear Regression Channel | Trend | +0.3% | Out | -9.7% | 0.0% |
| ADX-01 ADX Trend Filter | Trend | 0.0% | In | 0.0% | +0.0% |
| 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% |
| EVENT-01 Trend + Macro Filter | Trend | 0.0% | Out | 0.0% | 0.0% |
| MOM-01 Time-Series Momentum | Trend | 0.0% | Out | 0.0% | 0.0% |
| MOM-03 52-Week High Momentum | Momentum | 0.0% | Out | 0.0% | 0.0% |
| MOM-06 Residual Momentum | Momentum | 0.0% | Out | 0.0% | 0.0% |
| MOM-10 Accelerating Momentum | Trend | 0.0% | Out | 0.0% | 0.0% |
| MOM-11 Momentum Crash Protection | Momentum | 0.0% | Out | 0.0% | 0.0% |
| MR-06 Z-Score Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | 0.0% |
| MR-13 TRIX Reversion | Mean reversion | 0.0% | Out | 0.0% | 0.0% |
| REG-01 Regime Switch | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| REG-10 HMM Regime Detection | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| REG-14 Volatility Regime Switch | Volatility | 0.0% | Out | 0.0% | 0.0% |
| TREND-05 Dual Moving Average | Trend | 0.0% | Out | 0.0% | 0.0% |
| TREND-13 Triple Moving Average | Trend | 0.0% | Out | 0.0% | 0.0% |
| TREND-19 Elder Triple Screen | Trend | 0.0% | Out | 0.0% | 0.0% |
| VOL-13 Volatility Regime Strategy | Volatility | 0.0% | Out | 0.0% | 0.0% |
| MR-14 Detrended Price Oscillator | Mean reversion | -1.0% | Out | -3.7% | +3.6% |
| SEAS-01 Monthly Seasonality | Regime & other | -1.2% | In | -2.7% | 0.0% |
| VOL-01 Volatility Breakout | Volatility | -1.2% | Out | -1.5% | +3.5% |
| TREND-10 Ichimoku Cloud | Trend | -1.4% | Out | -3.3% | -2.9% |
| MR-07 Hurst-Filtered Mean Reversion | Mean reversion | -1.9% | Out | -1.9% | +8.8% |
| MR-16 Connors RSI | Mean reversion | -2.4% | Out | -3.5% | +3.4% |
| MR-12 Money Flow Index Reversion | Mean reversion | -2.7% | Out | -8.8% | +9.2% |
| SUPER-01 Supertrend | Trend | -2.7% | In | -2.7% | +4.5% |
| KC-01 Keltner Channel Breakout | Trend | -2.7% | In | -2.7% | +0.3% |
| MR-04 Ornstein-Uhlenbeck Mean Reversion | Mean reversion | -3.0% | Out | -5.8% | 0.0% |
| TREND-02 Donchian Breakout | Trend | -3.5% | In | -3.5% | -2.7% |
| TREND-15 Darvas Box | Trend | -3.5% | In | -3.5% | -2.3% |
| COMBO-01 Bollinger-Keltner Squeeze | Volatility | -3.9% | Out | -3.9% | +6.1% |
| TREND-16 Aroon Indicator | Trend | -4.1% | In | -4.1% | -3.3% |
| MR-02 Bollinger Band Reversion | Mean reversion | -4.8% | Out | -8.4% | +3.7% |
| MR-05 CCI Mean Reversion | Mean reversion | -4.9% | Out | -8.7% | +7.2% |
| RISK-03 Stop Loss Overlay | Regime & other | -5.3% | In | -5.3% | +0.9% |
| TREND-20 Vortex Indicator | Trend | -5.3% | In | -5.3% | +1.8% |
| MR-15 Ultimate Oscillator | Mean reversion | -5.3% | Out | -10.3% | +5.8% |
| TREND-11 Kaufman Adaptive Moving Average | Trend | -6.0% | In | -6.0% | +2.6% |
| TURTLE-01 Turtle Trading | Trend | -6.4% | In | -6.4% | +2.8% |
| MR-11 Williams %R Reversion | Mean reversion | -6.7% | Out | -12.2% | +7.5% |
| RISK-04 Trailing Stop Strategy | Trend | -6.9% | In | -6.9% | +5.9% |
| COMBO-02 MACD + RSI Filter | Momentum | -7.4% | Out | -7.4% | +6.2% |
| TREND-12 MACD Strategy | Trend | -7.4% | Out | -7.4% | +6.6% |
| VOL-10 Volatility Risk Premium | Volatility | -7.8% | Out | -7.8% | +1.6% |
| TREND-17 Chandelier Exit | Trend | -8.1% | In | -8.1% | +3.8% |
| RP-01 Volatility Target | Volatility | -8.3% | In | -8.3% | +6.0% |
| HMA-01 HMA Crossover | Trend | -10.2% | Out | -11.5% | +5.4% |
| TREND-18 Coppock Curve | Trend | -10.6% | In | -10.6% | +6.1% |
| SAR-01 Parabolic SAR | Trend | -12.2% | Out | -12.2% | +7.5% |
| CAL-01 Turn of Month | Regime & other | -13.3% | Out | -14.4% | +5.1% |
| RISK-01 Drawdown Control | Regime & other | -16.0% | In | -16.0% | +10.6% |
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 |
|---|---|---|---|---|---|
| EUR/USD | -6.1% | 56 | 89% | 71% | 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.