January 2015 Swiss franc shock
In mid January the Swiss National Bank abruptly abandoned its cap on the franc against the euro, throwing currency markets into disorder. The euro was already sliding against the dollar as the ECB prepared large-scale bond buying.
Dates checked against the price data: researched window 2015-01-14 to 2015-01-16; measured 2014-12-26 to 2015-01-26 (start shifted by -19 days, end by +10 days).
Price around the event
How the strategies did
Of 56 rule-based strategies with a curve on EUR/USD, 43 (77%) were already out of the market going in. 54 (96%) lost less than the market (-8.9%), 1 (2%) finished the window with a gain, and the median strategy returned 0.0%. Strategies that were in the market returned a median -6.7%; those that were already out returned 0.0%. In the following three months the median strategy returned 0.0%.
| Family | Strategies | Already out | Median return | Lost less than the market |
|---|---|---|---|---|
| Trend | 24 | 100% | 0.0% | |
| Momentum | 4 | 75% | 0.0% | |
| Mean reversion | 14 | 43% | -7.2% | |
| Volatility | 6 | 67% | -3.2% | |
| Regime & other | 8 | 75% | -0.1% |
Best five
| Strategy | Return in window |
|---|---|
| TREND-14 Linear Regression Channel | +7.2% |
| ADX-01 ADX Trend Filter | 0.0% |
| COMBO-01 Bollinger-Keltner Squeeze | 0.0% |
| COMBO-02 MACD + RSI Filter | 0.0% |
| COMBO-03 Divergence Strategy | 0.0% |
Worst five
| Strategy | Return in window |
|---|---|
| MR-05 CCI Mean Reversion | -8.9% |
| SEAS-01 Monthly Seasonality | -8.9% |
| MR-03 Kalman Filter Mean Reversion | -8.9% |
| MR-01 RSI Mean Reversion | -8.5% |
| MR-12 Money Flow Index Reversion | -8.5% |
56 of 72 strategies have a curve on EUR/USD. Portfolio, basket and multi-asset strategies without one are excluded.
All strategies on EUR/USD
| Strategy | Family | Return in window | In the market going in? | Max drawdown in window | Next 3 months |
|---|---|---|---|---|---|
| TREND-14 Linear Regression Channel | Trend | +7.2% | Out | -0.6% | -5.7% |
| ADX-01 ADX Trend Filter | Trend | 0.0% | Out | 0.0% | +1.6% |
| COMBO-01 Bollinger-Keltner Squeeze | Volatility | 0.0% | Out | 0.0% | -1.7% |
| COMBO-02 MACD + RSI Filter | Momentum | 0.0% | Out | 0.0% | -4.2% |
| 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% |
| KC-01 Keltner Channel Breakout | Trend | 0.0% | Out | 0.0% | 0.0% |
| MOM-01 Time-Series Momentum | Trend | 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% |
| MR-14 Detrended Price Oscillator | Mean reversion | 0.0% | Out | 0.0% | +0.5% |
| REG-01 Regime Switch | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| RISK-03 Stop Loss Overlay | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| RISK-04 Trailing Stop Strategy | Trend | 0.0% | Out | 0.0% | -3.7% |
| SAR-01 Parabolic SAR | Trend | 0.0% | Out | 0.0% | -0.0% |
| SUPER-01 Supertrend | Trend | 0.0% | Out | 0.0% | -3.1% |
| TAIL-01 Crisis Alpha | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| TREND-02 Donchian Breakout | Trend | 0.0% | Out | 0.0% | 0.0% |
| TREND-05 Dual Moving Average | Trend | 0.0% | Out | 0.0% | 0.0% |
| TREND-10 Ichimoku Cloud | Trend | 0.0% | Out | 0.0% | 0.0% |
| TREND-11 Kaufman Adaptive Moving Average | Trend | 0.0% | Out | 0.0% | -2.7% |
| TREND-12 MACD Strategy | Trend | 0.0% | Out | 0.0% | -2.9% |
| TREND-13 Triple Moving Average | Trend | 0.0% | Out | 0.0% | 0.0% |
| TREND-15 Darvas Box | Trend | 0.0% | Out | 0.0% | 0.0% |
| TREND-16 Aroon Indicator | Trend | 0.0% | Out | 0.0% | -3.2% |
| TREND-17 Chandelier Exit | Trend | 0.0% | Out | 0.0% | -4.2% |
| TREND-18 Coppock Curve | Trend | 0.0% | Out | 0.0% | -3.7% |
| TREND-19 Elder Triple Screen | Trend | 0.0% | Out | 0.0% | 0.0% |
| TREND-20 Vortex Indicator | Trend | 0.0% | Out | 0.0% | -2.0% |
| TURTLE-01 Turtle Trading | Trend | 0.0% | Out | 0.0% | -3.0% |
| VOL-01 Volatility Breakout | Volatility | 0.0% | Out | 0.0% | -1.7% |
| REG-10 HMM Regime Detection | Regime & other | -0.1% | Out | -0.1% | -4.5% |
| MR-16 Connors RSI | Mean reversion | -0.4% | In | -1.3% | -1.7% |
| REG-14 Volatility Regime Switch | Volatility | -1.7% | Out | -1.7% | -0.8% |
| CAL-01 Turn of Month | Regime & other | -1.7% | Out | -1.8% | -0.2% |
| MR-04 Ornstein-Uhlenbeck Mean Reversion | Mean reversion | -2.2% | In | -2.2% | 0.0% |
| MR-02 Bollinger Band Reversion | Mean reversion | -4.1% | In | -4.1% | +3.0% |
| HMA-01 HMA Crossover | Trend | -4.6% | Out | -4.6% | +0.9% |
| VOL-10 Volatility Risk Premium | Volatility | -4.7% | In | -4.7% | -6.5% |
| RISK-01 Drawdown Control | Regime & other | -4.7% | In | -4.7% | -2.0% |
| MOM-03 52-Week High Momentum | Momentum | -6.0% | In | -6.0% | -1.8% |
| MR-11 Williams %R Reversion | Mean reversion | -6.7% | In | -6.7% | -0.6% |
| VOL-13 Volatility Regime Strategy | Volatility | -7.6% | Out | -7.6% | +2.9% |
| MR-15 Ultimate Oscillator | Mean reversion | -7.7% | In | -7.7% | +0.4% |
| MR-07 Hurst-Filtered Mean Reversion | Mean reversion | -8.1% | Out | -8.1% | -1.3% |
| MR-10 Stochastic Oscillator Reversion | Mean reversion | -8.3% | In | -8.3% | +1.4% |
| RP-01 Volatility Target | Volatility | -8.5% | In | -8.5% | -3.5% |
| MR-12 Money Flow Index Reversion | Mean reversion | -8.5% | Out | -8.5% | -3.3% |
| MR-01 RSI Mean Reversion | Mean reversion | -8.5% | Out | -8.5% | +0.0% |
| MR-03 Kalman Filter Mean Reversion | Mean reversion | -8.9% | In | -8.9% | -3.6% |
| SEAS-01 Monthly Seasonality | Regime & other | -8.9% | In | -8.9% | -3.6% |
| MR-05 CCI Mean Reversion | Mean reversion | -8.9% | In | -8.9% | +0.6% |
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.
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.