2019 trade-war escalation sell-off
Washington and Beijing escalated tariffs in early August and China let the yuan weaken past a key level. US stocks fell sharply while gold rose as a haven.
Dates checked against the price data: researched window 2019-07-26 to 2019-08-05; measured 2019-07-26 to 2019-08-05 (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, 28 (45%) were already out of the market going in. 58 (94%) lost less than the market (-6.0%), 3 (5%) finished the window with a gain, and the median strategy returned -1.9%. Strategies that were in the market returned a median -2.6%; those that were already out returned 0.0%. In the following three months the median strategy returned +1.9%.
| Family | Strategies | Already out | Median return | Lost less than the market |
|---|---|---|---|---|
| Trend | 24 | 17% | -2.4% | |
| Momentum | 4 | 25% | -5.9% | |
| Mean reversion | 15 | 100% | 0.0% | |
| Volatility | 6 | 33% | -4.5% | |
| Regime & other | 13 | 46% | 0.0% |
Best five
| Strategy | Return in window |
|---|---|
| TREND-14 Linear Regression Channel | +4.7% |
| MACRO-02 Risk-On/Risk-Off Switch | +0.7% |
| MACRO-03 Flight to Quality | +0.7% |
| COMBO-01 Bollinger-Keltner Squeeze | 0.0% |
| COMBO-02 MACD + RSI Filter | 0.0% |
Worst five
| Strategy | Return in window |
|---|---|
| TREND-10 Ichimoku Cloud | -6.0% |
| TREND-16 Aroon Indicator | -6.0% |
| TREND-13 Triple Moving Average | -6.0% |
| CAL-01 Turn of Month | -6.0% |
| RISK-01 Drawdown Control | -6.0% |
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 | +4.7% | Out | 0.0% | -6.9% |
| MACRO-02 Risk-On/Risk-Off Switch | Regime & other | +0.7% | In | -1.3% | +6.1% |
| MACRO-03 Flight to Quality | Regime & other | +0.7% | In | -1.3% | +3.2% |
| COMBO-01 Bollinger-Keltner Squeeze | Volatility | 0.0% | Out | 0.0% | -0.2% |
| COMBO-02 MACD + RSI Filter | Momentum | 0.0% | Out | 0.0% | +1.4% |
| 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% | +5.6% |
| FACTOR-05 Multi-Factor Composite | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| MR-01 RSI Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | +3.6% |
| MR-03 Kalman Filter Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | 0.0% |
| MR-04 Ornstein-Uhlenbeck Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | +2.7% |
| MR-06 Z-Score Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | +5.3% |
| MR-07 Hurst-Filtered Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | 0.0% |
| MR-12 Money Flow Index Reversion | Mean reversion | 0.0% | Out | 0.0% | +5.9% |
| 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% | -1.8% |
| SEAS-01 Monthly Seasonality | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| STAT-10 Dynamic Hedge Ratio Pairs | Regime & other | 0.0% | Out | 0.0% | -0.2% |
| STAT-11 Cointegration Basket | Mean reversion | 0.0% | Out | 0.0% | +1.8% |
| TAIL-01 Crisis Alpha | Regime & other | 0.0% | Out | 0.0% | -0.7% |
| TREND-12 MACD Strategy | Trend | 0.0% | Out | 0.0% | +1.4% |
| TREND-19 Elder Triple Screen | Trend | 0.0% | Out | 0.0% | 0.0% |
| VOL-01 Volatility Breakout | Volatility | 0.0% | Out | 0.0% | +0.9% |
| TREND-20 Vortex Indicator | Trend | -0.4% | In | -0.4% | +0.2% |
| MR-05 CCI Mean Reversion | Mean reversion | -0.8% | Out | -0.8% | +6.0% |
| HMA-01 HMA Crossover | Trend | -1.5% | In | -1.5% | +0.1% |
| KC-01 Keltner Channel Breakout | Trend | -1.5% | In | -1.5% | -0.6% |
| TREND-11 Kaufman Adaptive Moving Average | Trend | -1.5% | In | -1.5% | +3.8% |
| SAR-01 Parabolic SAR | Trend | -1.5% | In | -1.5% | +6.1% |
| RISK-04 Trailing Stop Strategy | Trend | -1.5% | In | -1.5% | +5.1% |
| ADX-01 ADX Trend Filter | Trend | -1.5% | In | -1.5% | 0.0% |
| REG-10 HMM Regime Detection | Regime & other | -2.4% | In | -2.4% | +2.7% |
| EVENT-01 Trend + Macro Filter | Trend | -2.4% | In | -2.4% | +3.8% |
| RISK-03 Stop Loss Overlay | Regime & other | -2.4% | In | -2.4% | -0.3% |
| TREND-15 Darvas Box | Trend | -2.4% | In | -2.4% | -1.4% |
| TURTLE-01 Turtle Trading | Trend | -2.4% | In | -2.4% | +3.5% |
| SUPER-01 Supertrend | Trend | -2.4% | In | -2.4% | +4.3% |
| TREND-02 Donchian Breakout | Trend | -2.4% | In | -2.4% | +2.1% |
| TREND-17 Chandelier Exit | Trend | -2.4% | In | -2.4% | +1.8% |
| MACRO-01 Cross-Asset Momentum | Regime & other | -2.8% | In | -2.9% | +3.5% |
| MR-15 Ultimate Oscillator | Mean reversion | -3.0% | Out | -3.0% | +6.0% |
| MR-02 Bollinger Band Reversion | Mean reversion | -3.0% | Out | -3.0% | +0.0% |
| TREND-18 Coppock Curve | Trend | -3.1% | In | -3.1% | +1.7% |
| VOL-10 Volatility Risk Premium | Volatility | -4.5% | In | -4.5% | +1.6% |
| VOL-13 Volatility Regime Strategy | Volatility | -4.6% | In | -4.6% | +0.5% |
| MR-10 Stochastic Oscillator Reversion | Mean reversion | -4.6% | Out | -4.6% | +10.6% |
| MR-11 Williams %R Reversion | Mean reversion | -4.6% | Out | -4.6% | +4.3% |
| MR-16 Connors RSI | Mean reversion | -4.6% | Out | -4.6% | +4.0% |
| MOM-10 Accelerating Momentum | Trend | -5.1% | In | -5.1% | +0.7% |
| RP-01 Volatility Target | Volatility | -5.7% | In | -5.7% | +2.8% |
| MOM-06 Residual Momentum | Momentum | -5.9% | In | -5.9% | +4.6% |
| MOM-11 Momentum Crash Protection | Momentum | -6.0% | In | -6.0% | +8.4% |
| MOM-01 Time-Series Momentum | Trend | -6.0% | In | -6.0% | +8.4% |
| TREND-05 Dual Moving Average | Trend | -6.0% | In | -6.0% | +8.4% |
| REG-14 Volatility Regime Switch | Volatility | -6.0% | In | -6.0% | +1.8% |
| MOM-03 52-Week High Momentum | Momentum | -6.0% | In | -6.0% | +8.4% |
| REG-01 Regime Switch | Regime & other | -6.0% | In | -6.0% | +8.4% |
| RISK-01 Drawdown Control | Regime & other | -6.0% | In | -6.0% | +8.4% |
| CAL-01 Turn of Month | Regime & other | -6.0% | Out | -6.0% | +4.8% |
| TREND-13 Triple Moving Average | Trend | -6.0% | In | -6.0% | +8.4% |
| TREND-16 Aroon Indicator | Trend | -6.0% | In | -6.0% | -0.2% |
| TREND-10 Ichimoku Cloud | Trend | -6.0% | In | -6.0% | -0.2% |
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 | +3.1% | 56 | 21% | 48% | +2.1% |
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.