2022 US stock bear market
The Federal Reserve raised rates aggressively to fight inflation and pushed US stocks into a bear market from their January peak to a low in October. Growth and technology shares led the decline.
Dates checked against the price data: researched window 2022-01-03 to 2022-10-12; measured 2022-01-03 to 2022-10-12 (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, 26 (42%) were already out of the market going in. 62 (100%) lost less than the market (-24.5%), 10 (16%) finished the window with a gain, and the median strategy returned -7.3%. Strategies that were in the market returned a median -8.9%; those that were already out returned -2.6%. In the following three months the median strategy returned 0.0%.
| Family | Strategies | Already out | Median return | Lost less than the market |
|---|---|---|---|---|
| Trend | 24 | 17% | -8.0% | |
| Momentum | 4 | 25% | -10.8% | |
| Mean reversion | 15 | 93% | 0.0% | |
| Volatility | 6 | 67% | -9.7% | |
| Regime & other | 13 | 23% | -8.4% |
Best five
| Strategy | Return in window |
|---|---|
| MR-01 RSI Mean Reversion | +8.9% |
| MR-15 Ultimate Oscillator | +8.1% |
| MR-02 Bollinger Band Reversion | +5.7% |
| MR-06 Z-Score Mean Reversion | +4.9% |
| MR-07 Hurst-Filtered Mean Reversion | +4.1% |
Worst five
| Strategy | Return in window |
|---|---|
| RISK-01 Drawdown Control | -23.9% |
| MR-11 Williams %R Reversion | -19.6% |
| MOM-01 Time-Series Momentum | -18.9% |
| SAR-01 Parabolic SAR | -17.2% |
| MOM-03 52-Week High Momentum | -16.4% |
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 |
|---|---|---|---|---|---|
| MR-01 RSI Mean Reversion | Mean reversion | +8.9% | Out | -7.2% | +2.1% |
| MR-15 Ultimate Oscillator | Mean reversion | +8.1% | Out | -7.0% | +2.2% |
| MR-02 Bollinger Band Reversion | Mean reversion | +5.7% | Out | -6.3% | 0.0% |
| MR-06 Z-Score Mean Reversion | Mean reversion | +4.9% | Out | -5.5% | +1.3% |
| MR-07 Hurst-Filtered Mean Reversion | Mean reversion | +4.1% | Out | -10.7% | +1.9% |
| TREND-14 Linear Regression Channel | Trend | +3.9% | In | -13.7% | +3.4% |
| TAIL-01 Crisis Alpha | Regime & other | +3.6% | Out | -13.8% | -8.0% |
| MR-14 Detrended Price Oscillator | Mean reversion | +1.9% | In | -6.6% | -0.4% |
| STAT-11 Cointegration Basket | Mean reversion | +1.2% | Out | -2.2% | 0.0% |
| VOL-01 Volatility Breakout | Volatility | +0.3% | Out | -10.1% | -2.6% |
| COMBO-03 Divergence Strategy | 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% |
| MR-03 Kalman Filter Mean Reversion | Mean reversion | -0.0% | Out | -9.2% | +6.3% |
| ADX-01 ADX Trend Filter | Trend | -2.2% | Out | -5.7% | -0.8% |
| CAL-01 Turn of Month | Regime & other | -2.7% | In | -9.5% | +2.3% |
| KC-01 Keltner Channel Breakout | Trend | -2.9% | Out | -4.2% | -1.2% |
| COMBO-04 Trend + Mean Reversion Hybrid | Trend | -3.1% | Out | -3.1% | 0.0% |
| MR-16 Connors RSI | Mean reversion | -3.4% | Out | -7.6% | +0.3% |
| COMBO-02 MACD + RSI Filter | Momentum | -3.7% | In | -10.5% | +6.7% |
| MR-04 Ornstein-Uhlenbeck Mean Reversion | Mean reversion | -3.8% | Out | -6.4% | 0.0% |
| COMBO-01 Bollinger-Keltner Squeeze | Volatility | -5.1% | Out | -7.0% | -3.1% |
| TREND-10 Ichimoku Cloud | Trend | -6.1% | In | -7.0% | -0.4% |
| TREND-11 Kaufman Adaptive Moving Average | Trend | -6.2% | In | -13.3% | -3.8% |
| EVENT-01 Trend + Macro Filter | Trend | -6.5% | In | -11.2% | 0.0% |
| FACTOR-05 Multi-Factor Composite | Regime & other | -6.5% | In | -18.9% | +3.4% |
| RISK-04 Trailing Stop Strategy | Trend | -6.6% | In | -9.2% | +3.9% |
| TREND-20 Vortex Indicator | Trend | -6.8% | In | -13.0% | -1.8% |
| TREND-17 Chandelier Exit | Trend | -6.9% | In | -15.8% | +5.5% |
| MOM-06 Residual Momentum | Momentum | -7.2% | Out | -12.7% | +7.2% |
| STAT-10 Dynamic Hedge Ratio Pairs | Regime & other | -7.2% | Out | -7.3% | -1.2% |
| MR-10 Stochastic Oscillator Reversion | Mean reversion | -7.3% | Out | -12.8% | +14.0% |
| MR-12 Money Flow Index Reversion | Mean reversion | -7.4% | Out | -8.7% | -1.1% |
| MACRO-03 Flight to Quality | Regime & other | -7.6% | In | -21.0% | +13.2% |
| TREND-16 Aroon Indicator | Trend | -7.7% | In | -9.1% | -4.0% |
| SUPER-01 Supertrend | Trend | -8.3% | In | -8.7% | +2.8% |
| REG-10 HMM Regime Detection | Regime & other | -8.4% | In | -14.2% | +2.7% |
| MACRO-02 Risk-On/Risk-Off Switch | Regime & other | -8.7% | In | -21.6% | -6.0% |
| TREND-02 Donchian Breakout | Trend | -8.7% | In | -8.7% | -4.4% |
| TREND-05 Dual Moving Average | Trend | -8.8% | In | -12.9% | 0.0% |
| VOL-10 Volatility Risk Premium | Volatility | -8.9% | In | -12.7% | +1.3% |
| MACRO-01 Cross-Asset Momentum | Regime & other | -9.4% | In | -20.4% | +4.4% |
| TURTLE-01 Turtle Trading | Trend | -9.7% | In | -12.9% | +3.9% |
| VOL-13 Volatility Regime Strategy | Volatility | -10.5% | Out | -12.6% | -0.9% |
| REG-14 Volatility Regime Switch | Volatility | -10.7% | Out | -11.1% | -1.3% |
| RISK-03 Stop Loss Overlay | Regime & other | -10.8% | In | -11.9% | -7.3% |
| TREND-15 Darvas Box | Trend | -11.3% | In | -12.2% | -1.0% |
| MR-05 CCI Mean Reversion | Mean reversion | -11.5% | Out | -16.2% | +1.8% |
| TREND-18 Coppock Curve | Trend | -11.8% | In | -17.2% | +3.1% |
| MOM-10 Accelerating Momentum | Trend | -11.8% | In | -11.8% | -1.5% |
| TREND-12 MACD Strategy | Trend | -12.0% | In | -15.2% | +6.7% |
| SEAS-01 Monthly Seasonality | Regime & other | -13.0% | In | -13.5% | +3.7% |
| REG-01 Regime Switch | Regime & other | -13.1% | In | -13.1% | +0.4% |
| MOM-11 Momentum Crash Protection | Momentum | -14.3% | In | -14.3% | 0.0% |
| TREND-13 Triple Moving Average | Trend | -15.6% | In | -17.6% | 0.0% |
| HMA-01 HMA Crossover | Trend | -15.8% | In | -17.4% | +1.0% |
| RP-01 Volatility Target | Volatility | -16.0% | In | -16.2% | +5.5% |
| MOM-03 52-Week High Momentum | Momentum | -16.4% | In | -16.4% | 0.0% |
| SAR-01 Parabolic SAR | Trend | -17.2% | In | -17.2% | -1.1% |
| MOM-01 Time-Series Momentum | Trend | -18.9% | In | -18.9% | 0.0% |
| MR-11 Williams %R Reversion | Mean reversion | -19.6% | Out | -20.0% | +5.3% |
| RISK-01 Drawdown Control | Regime & other | -23.9% | In | -23.9% | +0.8% |
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 |
|---|---|---|---|---|---|
| Bitcoin | -58.8% | 56 | 100% | 59% | -21.8% |
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.