2011 US debt downgrade sell-off
After a contentious debt-ceiling fight, S&P cut the US sovereign credit rating in August while the euro-zone debt crisis deepened. US stocks slid from their July high and bottomed in early October.
Dates checked against the price data: researched window 2011-07-22 to 2011-10-03; measured 2011-07-07 to 2011-10-03 (start shifted by -15 days, end by +0 days).
Price around the event
How the strategies did
Of 56 rule-based strategies with a curve on S&P 500, 25 (45%) were already out of the market going in. 51 (91%) lost less than the market (-18.4%), 6 (11%) finished the window with a gain, and the median strategy returned -5.5%. Strategies that were in the market returned a median -9.0%; those that were already out returned -2.6%. In the following three months the median strategy returned +1.8%.
| Family | Strategies | Already out | Median return | Lost less than the market |
|---|---|---|---|---|
| Trend | 24 | 25% | -5.4% | |
| Momentum | 4 | 0% | -12.9% | |
| Mean reversion | 14 | 100% | -4.6% | |
| Volatility | 6 | 33% | -4.6% | |
| Regime & other | 8 | 38% | -8.4% |
Best five
| Strategy | Return in window |
|---|---|
| TREND-16 Aroon Indicator | +5.7% |
| MOM-06 Residual Momentum | +5.3% |
| MR-16 Connors RSI | +4.2% |
| MR-14 Detrended Price Oscillator | +3.3% |
| TREND-14 Linear Regression Channel | +0.9% |
Worst five
| Strategy | Return in window |
|---|---|
| MOM-11 Momentum Crash Protection | -20.6% |
| RISK-01 Drawdown Control | -20.6% |
| HMA-01 HMA Crossover | -19.8% |
| SAR-01 Parabolic SAR | -19.7% |
| MOM-01 Time-Series Momentum | -18.4% |
56 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-16 Aroon Indicator | Trend | +5.7% | Out | -1.1% | -1.1% |
| MOM-06 Residual Momentum | Momentum | +5.3% | In | -2.9% | +3.2% |
| MR-16 Connors RSI | Mean reversion | +4.2% | Out | -3.9% | +4.3% |
| MR-14 Detrended Price Oscillator | Mean reversion | +3.3% | Out | -3.6% | +2.8% |
| TREND-14 Linear Regression Channel | Trend | +0.9% | In | -7.5% | -8.1% |
| MR-01 RSI Mean Reversion | Mean reversion | +0.3% | Out | -6.6% | +2.7% |
| ADX-01 ADX Trend Filter | Trend | 0.0% | Out | 0.0% | 0.0% |
| COMBO-01 Bollinger-Keltner Squeeze | Volatility | 0.0% | Out | 0.0% | +3.1% |
| COMBO-03 Divergence Strategy | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| MR-07 Hurst-Filtered Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | +6.0% |
| MR-13 TRIX Reversion | Mean reversion | 0.0% | Out | 0.0% | 0.0% |
| SEAS-01 Monthly Seasonality | Regime & other | 0.0% | Out | 0.0% | +5.2% |
| TREND-02 Donchian Breakout | Trend | 0.0% | Out | 0.0% | -1.6% |
| TREND-19 Elder Triple Screen | Trend | 0.0% | Out | 0.0% | 0.0% |
| VOL-01 Volatility Breakout | Volatility | -2.6% | Out | -4.5% | +5.9% |
| SUPER-01 Supertrend | Trend | -2.9% | In | -2.9% | +2.7% |
| KC-01 Keltner Channel Breakout | Trend | -3.3% | In | -3.3% | -5.1% |
| MR-12 Money Flow Index Reversion | Mean reversion | -3.3% | Out | -6.7% | +7.2% |
| TURTLE-01 Turtle Trading | Trend | -3.5% | In | -3.5% | +0.5% |
| COMBO-04 Trend + Mean Reversion Hybrid | Trend | -3.9% | Out | -3.9% | 0.0% |
| MR-04 Ornstein-Uhlenbeck Mean Reversion | Mean reversion | -4.3% | Out | -4.8% | 0.0% |
| TREND-15 Darvas Box | Trend | -4.5% | In | -4.5% | -1.6% |
| MOM-10 Accelerating Momentum | Trend | -4.6% | In | -4.6% | -5.8% |
| VOL-13 Volatility Regime Strategy | Volatility | -4.6% | In | -9.3% | +0.3% |
| REG-14 Volatility Regime Switch | Volatility | -4.6% | In | -4.6% | -2.6% |
| MR-10 Stochastic Oscillator Reversion | Mean reversion | -5.0% | Out | -14.0% | +14.9% |
| EVENT-01 Trend + Macro Filter | Trend | -5.3% | Out | -11.2% | 0.0% |
| TREND-10 Ichimoku Cloud | Trend | -5.4% | In | -5.4% | -0.1% |
| RISK-03 Stop Loss Overlay | Regime & other | -5.6% | In | -5.6% | +0.3% |
| MR-11 Williams %R Reversion | Mean reversion | -5.6% | Out | -14.0% | +15.0% |
| TREND-20 Vortex Indicator | Trend | -5.9% | In | -8.1% | +3.4% |
| MR-06 Z-Score Mean Reversion | Mean reversion | -5.9% | Out | -11.0% | +4.4% |
| MR-02 Bollinger Band Reversion | Mean reversion | -5.9% | Out | -11.0% | +13.6% |
| MR-15 Ultimate Oscillator | Mean reversion | -7.1% | Out | -12.8% | +4.9% |
| REG-01 Regime Switch | Regime & other | -7.3% | In | -7.3% | 0.0% |
| TREND-12 MACD Strategy | Trend | -8.7% | In | -8.7% | +5.5% |
| COMBO-02 MACD + RSI Filter | Momentum | -8.7% | In | -8.7% | +5.5% |
| MR-03 Kalman Filter Mean Reversion | Mean reversion | -8.8% | Out | -11.0% | +8.8% |
| RISK-04 Trailing Stop Strategy | Trend | -9.0% | In | -10.0% | +1.5% |
| TAIL-01 Crisis Alpha | Regime & other | -9.4% | Out | -9.4% | -6.5% |
| TREND-18 Coppock Curve | Trend | -10.5% | In | -10.5% | +2.6% |
| RP-01 Volatility Target | Volatility | -10.8% | In | -10.8% | +5.9% |
| VOL-10 Volatility Risk Premium | Volatility | -10.9% | In | -10.9% | +0.8% |
| TREND-05 Dual Moving Average | Trend | -11.6% | In | -17.1% | 0.0% |
| TREND-17 Chandelier Exit | Trend | -12.8% | In | -13.9% | +3.2% |
| REG-10 HMM Regime Detection | Regime & other | -12.9% | In | -13.5% | +4.8% |
| TREND-13 Triple Moving Average | Trend | -13.8% | In | -17.1% | 0.0% |
| MR-05 CCI Mean Reversion | Mean reversion | -13.8% | Out | -18.2% | +8.7% |
| CAL-01 Turn of Month | Regime & other | -15.2% | In | -15.2% | +11.4% |
| MOM-03 52-Week High Momentum | Momentum | -17.1% | In | -17.1% | -0.2% |
| TREND-11 Kaufman Adaptive Moving Average | Trend | -17.8% | In | -17.8% | -0.3% |
| MOM-01 Time-Series Momentum | Trend | -18.4% | In | -18.4% | +7.0% |
| SAR-01 Parabolic SAR | Trend | -19.7% | In | -19.7% | +0.2% |
| HMA-01 HMA Crossover | Trend | -19.8% | In | -19.8% | -1.6% |
| RISK-01 Drawdown Control | Regime & other | -20.6% | In | -20.6% | +12.8% |
| MOM-11 Momentum Crash Protection | Momentum | -20.6% | In | -20.6% | +2.2% |
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 | +7.9% | 56 | 45% | 46% | +7.4% |
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.