2013 taper tantrum
The Fed's signal in May that it could slow its bond purchases sent bond yields sharply higher and hit gold and emerging markets. Gold reached multi-year lows by late June as the market priced in tapering.
Dates checked against the price data: researched window 2013-05-21 to 2013-06-28; measured 2013-04-30 to 2013-06-27 (start shifted by -21 days, end by -1 days).
Price around the event
How the strategies did
Of 56 rule-based strategies with a curve on Gold, 35 (62%) were already out of the market going in. 56 (100%) lost less than the market (-18.8%), 3 (5%) finished the window with a gain, and the median strategy returned -1.4%. Strategies that were in the market returned a median -7.3%; 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 | 83% | 0.0% | |
| Momentum | 4 | 50% | -3.1% | |
| Mean reversion | 14 | 43% | -7.3% | |
| Volatility | 6 | 50% | -3.3% | |
| Regime & other | 8 | 50% | -0.6% |
Best five
| Strategy | Return in window |
|---|---|
| TAIL-01 Crisis Alpha | +9.2% |
| TREND-14 Linear Regression Channel | +6.4% |
| MR-14 Detrended Price Oscillator | +2.5% |
| ADX-01 ADX Trend Filter | 0.0% |
| COMBO-03 Divergence Strategy | 0.0% |
Worst five
| Strategy | Return in window |
|---|---|
| MR-03 Kalman Filter Mean Reversion | -18.8% |
| MR-11 Williams %R Reversion | -15.5% |
| MR-10 Stochastic Oscillator Reversion | -14.4% |
| COMBO-02 MACD + RSI Filter | -13.9% |
| TREND-12 MACD Strategy | -13.9% |
56 of 72 strategies have a curve on Gold. Portfolio, basket and multi-asset strategies without one are excluded.
All strategies on Gold
| Strategy | Family | Return in window | In the market going in? | Max drawdown in window | Next 3 months |
|---|---|---|---|---|---|
| TAIL-01 Crisis Alpha | Regime & other | +9.2% | In | -2.5% | -2.0% |
| TREND-14 Linear Regression Channel | Trend | +6.4% | Out | -1.2% | -8.3% |
| MR-14 Detrended Price Oscillator | Mean reversion | +2.5% | In | -1.7% | +4.0% |
| ADX-01 ADX Trend Filter | Trend | 0.0% | Out | 0.0% | -6.2% |
| 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-03 52-Week High 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-04 Ornstein-Uhlenbeck Mean Reversion | Mean reversion | 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% | In | 0.0% | +2.9% |
| REG-01 Regime Switch | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| REG-14 Volatility Regime Switch | Volatility | 0.0% | Out | 0.0% | -2.4% |
| RISK-03 Stop Loss Overlay | Regime & other | 0.0% | Out | 0.0% | -4.8% |
| SUPER-01 Supertrend | Trend | 0.0% | Out | 0.0% | -1.0% |
| TREND-02 Donchian Breakout | Trend | 0.0% | Out | 0.0% | -5.7% |
| TREND-05 Dual Moving Average | Trend | 0.0% | Out | 0.0% | 0.0% |
| TREND-10 Ichimoku Cloud | Trend | 0.0% | Out | 0.0% | -4.0% |
| TREND-13 Triple Moving Average | Trend | 0.0% | Out | 0.0% | 0.0% |
| TREND-15 Darvas Box | Trend | 0.0% | Out | 0.0% | -0.9% |
| TREND-16 Aroon Indicator | Trend | 0.0% | Out | 0.0% | -7.4% |
| TREND-19 Elder Triple Screen | Trend | 0.0% | Out | 0.0% | 0.0% |
| TURTLE-01 Turtle Trading | Trend | 0.0% | Out | 0.0% | +1.6% |
| SEAS-01 Monthly Seasonality | Regime & other | -1.2% | In | -1.2% | 0.0% |
| VOL-01 Volatility Breakout | Volatility | -1.7% | Out | -1.7% | +1.0% |
| COMBO-01 Bollinger-Keltner Squeeze | Volatility | -1.7% | In | -1.7% | +2.9% |
| HMA-01 HMA Crossover | Trend | -2.0% | In | -4.2% | +2.4% |
| TREND-11 Kaufman Adaptive Moving Average | Trend | -2.8% | Out | -2.8% | +4.3% |
| MR-01 RSI Mean Reversion | Mean reversion | -4.0% | Out | -7.3% | +8.6% |
| CAL-01 Turn of Month | Regime & other | -4.7% | In | -4.7% | -5.0% |
| VOL-13 Volatility Regime Strategy | Volatility | -5.0% | In | -8.1% | +7.2% |
| RISK-04 Trailing Stop Strategy | Trend | -5.2% | Out | -5.2% | -0.7% |
| MR-12 Money Flow Index Reversion | Mean reversion | -6.0% | In | -7.3% | +8.3% |
| MOM-06 Residual Momentum | Momentum | -6.1% | In | -6.1% | 0.0% |
| TREND-20 Vortex Indicator | Trend | -6.3% | Out | -6.3% | -1.9% |
| TREND-18 Coppock Curve | Trend | -7.0% | Out | -7.0% | +3.0% |
| MR-02 Bollinger Band Reversion | Mean reversion | -7.3% | In | -7.3% | +6.4% |
| MR-07 Hurst-Filtered Mean Reversion | Mean reversion | -7.4% | Out | -11.2% | +7.2% |
| MR-05 CCI Mean Reversion | Mean reversion | -7.7% | In | -11.3% | +7.8% |
| SAR-01 Parabolic SAR | Trend | -8.1% | In | -8.1% | +5.3% |
| RP-01 Volatility Target | Volatility | -8.3% | In | -8.3% | +3.3% |
| MR-16 Connors RSI | Mean reversion | -8.4% | Out | -8.4% | +5.6% |
| REG-10 HMM Regime Detection | Regime & other | -9.4% | Out | -10.5% | -5.0% |
| RISK-01 Drawdown Control | Regime & other | -10.0% | In | -10.0% | +0.1% |
| TREND-17 Chandelier Exit | Trend | -11.4% | In | -11.4% | +5.5% |
| VOL-10 Volatility Risk Premium | Volatility | -11.8% | Out | -13.0% | -0.6% |
| MR-15 Ultimate Oscillator | Mean reversion | -11.8% | Out | -13.1% | +7.6% |
| TREND-12 MACD Strategy | Trend | -13.9% | In | -13.9% | +4.9% |
| COMBO-02 MACD + RSI Filter | Momentum | -13.9% | In | -13.9% | +7.2% |
| MR-10 Stochastic Oscillator Reversion | Mean reversion | -14.4% | In | -14.4% | +3.7% |
| MR-11 Williams %R Reversion | Mean reversion | -15.5% | In | -15.5% | +1.1% |
| MR-03 Kalman Filter Mean Reversion | Mean reversion | -18.8% | In | -18.8% | +15.8% |
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 |
|---|---|---|---|---|---|
| S&P 500 | +1.4% | 56 | 30% | 48% | +1.2% |
| EUR/USD | -0.6% | 56 | 55% | 50% | -0.4% |
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.