March 2023 SVB banking stress
Silicon Valley Bank failed in March after a run on deposits triggered by bond losses, and regional banks came under heavy pressure. Investors rushed toward havens and bet on earlier rate cuts.
Dates checked against the price data: researched window 2023-03-08 to 2023-03-17; measured 2023-02-15 to 2023-03-13 (start shifted by -21 days, end by -4 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 (-6.9%), 8 (13%) finished the window with a gain, and the median strategy returned -1.7%. Strategies that were in the market returned a median -3.7%; those that were already out returned 0.0%. In the following three months the median strategy returned +4.4%.
| Family | Strategies | Already out | Median return | Lost less than the market |
|---|---|---|---|---|
| Trend | 24 | 38% | -3.4% | |
| Momentum | 4 | 25% | -5.1% | |
| Mean reversion | 15 | 100% | 0.0% | |
| Volatility | 6 | 33% | -4.6% | |
| Regime & other | 13 | 23% | -1.4% |
Best five
| Strategy | Return in window |
|---|---|
| TREND-14 Linear Regression Channel | +5.5% |
| MACRO-03 Flight to Quality | +4.1% |
| MR-06 Z-Score Mean Reversion | +1.1% |
| CAL-01 Turn of Month | +0.5% |
| STAT-10 Dynamic Hedge Ratio Pairs | +0.3% |
Worst five
| Strategy | Return in window |
|---|---|
| EVENT-01 Trend + Macro Filter | -9.2% |
| SEAS-01 Monthly Seasonality | -6.9% |
| MOM-03 52-Week High Momentum | -6.9% |
| RISK-01 Drawdown Control | -6.9% |
| MOM-06 Residual Momentum | -6.9% |
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 | +5.5% | Out | -2.4% | -1.9% |
| MACRO-03 Flight to Quality | Regime & other | +4.1% | In | -2.3% | +2.3% |
| MR-06 Z-Score Mean Reversion | Mean reversion | +1.1% | Out | -1.5% | +2.8% |
| CAL-01 Turn of Month | Regime & other | +0.5% | Out | -1.5% | +5.7% |
| STAT-10 Dynamic Hedge Ratio Pairs | Regime & other | +0.3% | In | -1.3% | -0.6% |
| MR-16 Connors RSI | Mean reversion | +0.3% | Out | -0.1% | +3.7% |
| STAT-11 Cointegration Basket | Mean reversion | +0.2% | Out | -0.7% | +0.3% |
| MR-01 RSI Mean Reversion | Mean reversion | +0.2% | Out | -0.4% | 0.0% |
| ADX-01 ADX Trend Filter | Trend | 0.0% | Out | 0.0% | +1.1% |
| COMBO-02 MACD + RSI Filter | Momentum | 0.0% | Out | 0.0% | +4.8% |
| COMBO-03 Divergence Strategy | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| MOM-01 Time-Series Momentum | Trend | 0.0% | Out | 0.0% | +4.4% |
| MR-02 Bollinger Band Reversion | Mean reversion | 0.0% | Out | 0.0% | +2.8% |
| MR-03 Kalman Filter Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | 0.0% |
| MR-13 TRIX Reversion | Mean reversion | 0.0% | Out | 0.0% | 0.0% |
| MR-14 Detrended Price Oscillator | Mean reversion | 0.0% | Out | 0.0% | +2.1% |
| TAIL-01 Crisis Alpha | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| TREND-12 MACD Strategy | Trend | 0.0% | Out | 0.0% | +4.8% |
| TREND-13 Triple Moving Average | Trend | 0.0% | Out | 0.0% | +9.4% |
| TREND-19 Elder Triple Screen | Trend | 0.0% | Out | 0.0% | 0.0% |
| MR-04 Ornstein-Uhlenbeck Mean Reversion | Mean reversion | -0.1% | Out | -0.1% | +3.9% |
| MR-05 CCI Mean Reversion | Mean reversion | -0.2% | Out | -1.5% | +6.3% |
| MR-15 Ultimate Oscillator | Mean reversion | -0.7% | Out | -1.5% | +3.8% |
| FACTOR-05 Multi-Factor Composite | Regime & other | -1.0% | In | -6.1% | +4.2% |
| COMBO-04 Trend + Mean Reversion Hybrid | Trend | -1.2% | Out | -3.2% | 0.0% |
| KC-01 Keltner Channel Breakout | Trend | -1.4% | In | -1.4% | +1.4% |
| MACRO-02 Risk-On/Risk-Off Switch | Regime & other | -1.4% | In | -6.4% | -1.4% |
| COMBO-01 Bollinger-Keltner Squeeze | Volatility | -1.5% | Out | -1.5% | +3.2% |
| VOL-01 Volatility Breakout | Volatility | -1.5% | Out | -1.5% | -2.2% |
| MR-07 Hurst-Filtered Mean Reversion | Mean reversion | -1.6% | Out | -1.6% | +3.9% |
| TREND-20 Vortex Indicator | Trend | -1.6% | In | -1.6% | +4.8% |
| MOM-10 Accelerating Momentum | Trend | -1.8% | In | -1.8% | +5.5% |
| HMA-01 HMA Crossover | Trend | -2.4% | Out | -3.2% | -0.1% |
| MACRO-01 Cross-Asset Momentum | Regime & other | -2.5% | In | -4.1% | +0.3% |
| MR-10 Stochastic Oscillator Reversion | Mean reversion | -2.6% | Out | -3.3% | +8.6% |
| SAR-01 Parabolic SAR | Trend | -3.1% | Out | -3.2% | +5.1% |
| MOM-11 Momentum Crash Protection | Momentum | -3.2% | In | -3.2% | +7.0% |
| TREND-17 Chandelier Exit | Trend | -3.6% | In | -3.6% | +4.5% |
| RISK-04 Trailing Stop Strategy | Trend | -3.6% | In | -3.6% | +5.7% |
| TREND-11 Kaufman Adaptive Moving Average | Trend | -3.6% | In | -3.6% | +4.5% |
| TREND-10 Ichimoku Cloud | Trend | -3.6% | In | -3.6% | +8.2% |
| TREND-02 Donchian Breakout | Trend | -3.6% | In | -3.6% | +4.3% |
| TURTLE-01 Turtle Trading | Trend | -3.6% | In | -3.6% | +4.9% |
| TREND-18 Coppock Curve | Trend | -3.6% | In | -3.6% | +7.0% |
| VOL-10 Volatility Risk Premium | Volatility | -3.8% | In | -4.6% | +7.3% |
| MR-12 Money Flow Index Reversion | Mean reversion | -3.8% | Out | -4.7% | 0.0% |
| TREND-16 Aroon Indicator | Trend | -3.9% | In | -4.3% | +3.2% |
| REG-10 HMM Regime Detection | Regime & other | -3.9% | In | -4.3% | +6.6% |
| SUPER-01 Supertrend | Trend | -4.2% | In | -4.2% | +1.0% |
| RP-01 Volatility Target | Volatility | -5.4% | In | -5.4% | +9.9% |
| TREND-15 Darvas Box | Trend | -5.4% | In | -5.4% | +6.0% |
| MR-11 Williams %R Reversion | Mean reversion | -5.6% | Out | -5.6% | +6.4% |
| RISK-03 Stop Loss Overlay | Regime & other | -6.2% | In | -6.2% | +7.2% |
| VOL-13 Volatility Regime Strategy | Volatility | -6.3% | In | -6.3% | +8.1% |
| REG-14 Volatility Regime Switch | Volatility | -6.6% | In | -6.6% | +10.5% |
| REG-01 Regime Switch | Regime & other | -6.8% | In | -6.8% | +9.2% |
| TREND-05 Dual Moving Average | Trend | -6.9% | In | -6.9% | +13.0% |
| MOM-06 Residual Momentum | Momentum | -6.9% | In | -6.9% | +9.4% |
| RISK-01 Drawdown Control | Regime & other | -6.9% | In | -6.9% | +13.0% |
| MOM-03 52-Week High Momentum | Momentum | -6.9% | In | -6.9% | +13.0% |
| SEAS-01 Monthly Seasonality | Regime & other | -6.9% | In | -6.9% | +8.2% |
| EVENT-01 Trend + Macro Filter | Trend | -9.2% | In | -9.2% | +14.7% |
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 | +4.1% | 56 | 7% | 59% | +0.4% |
| Bitcoin | -0.5% | 56 | 41% | 64% | -1.8% |
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.