2012 US drought grain spike
The worst US drought in decades damaged the corn and soybean crops during the summer. Grain prices surged to record levels and lifted the agriculture complex.
Dates checked against the price data: researched window 2012-06-01 to 2012-08-10; measured 2012-06-01 to 2012-08-31 (start shifted by +0 days, end by +21 days).
Price around the event
How the strategies did
Of 56 rule-based strategies with a curve on Agriculture, 44 (79%) were not in the market going in. 0 (0%) beat the market (+17.9%), 41 (73%) finished the window with a gain, and the median strategy returned +5.2%. Strategies that were in the market returned a median +5.6%; those that were already out returned +5.2%. In the following three months the median strategy returned -2.5%.
| Family | Strategies | Not in the market | Median return | Beat the market |
|---|---|---|---|---|
| Trend | 24 | 100% | +7.8% | |
| Momentum | 4 | 75% | +1.2% | |
| Mean reversion | 14 | 57% | +2.8% | |
| Volatility | 6 | 50% | +10.3% | |
| Regime & other | 8 | 75% | +6.4% |
Best five
| Strategy | Return in window |
|---|---|
| VOL-10 Volatility Risk Premium | +13.2% |
| SUPER-01 Supertrend | +13.1% |
| TREND-15 Darvas Box | +12.7% |
| SAR-01 Parabolic SAR | +11.9% |
| RP-01 Volatility Target | +11.9% |
Worst five
| Strategy | Return in window |
|---|---|
| TREND-19 Elder Triple Screen | 0.0% |
| TREND-13 Triple Moving Average | 0.0% |
| TAIL-01 Crisis Alpha | 0.0% |
| SEAS-01 Monthly Seasonality | 0.0% |
| MR-13 TRIX Reversion | 0.0% |
56 of 72 strategies have a curve on Agriculture. Portfolio, basket and multi-asset strategies without one are excluded.
All strategies on Agriculture
| Strategy | Family | Return in window | In the market going in? | Max drawdown in window | Next 3 months |
|---|---|---|---|---|---|
| VOL-10 Volatility Risk Premium | Volatility | +13.2% | In | -4.2% | -4.9% |
| SUPER-01 Supertrend | Trend | +13.1% | Out | -2.9% | -2.4% |
| TREND-15 Darvas Box | Trend | +12.7% | Out | -2.9% | -2.5% |
| SAR-01 Parabolic SAR | Trend | +11.9% | Out | -5.6% | -3.0% |
| RP-01 Volatility Target | Volatility | +11.9% | In | -1.9% | -4.6% |
| TREND-20 Vortex Indicator | Trend | +11.8% | Out | -2.8% | -5.2% |
| COMBO-01 Bollinger-Keltner Squeeze | Volatility | +11.2% | Out | -2.8% | -1.0% |
| RISK-03 Stop Loss Overlay | Regime & other | +11.1% | Out | -2.9% | -2.5% |
| TREND-18 Coppock Curve | Trend | +10.9% | Out | -2.9% | -4.1% |
| TREND-12 MACD Strategy | Trend | +10.9% | Out | -2.8% | -6.0% |
| RISK-04 Trailing Stop Strategy | Trend | +10.7% | Out | -4.3% | -2.7% |
| TREND-17 Chandelier Exit | Trend | +10.4% | Out | -4.1% | -1.9% |
| TURTLE-01 Turtle Trading | Trend | +9.6% | Out | -2.8% | -3.0% |
| REG-14 Volatility Regime Switch | Volatility | +9.4% | In | -3.5% | -3.2% |
| RISK-01 Drawdown Control | Regime & other | +9.2% | In | -2.6% | -5.6% |
| TREND-10 Ichimoku Cloud | Trend | +9.2% | Out | -2.9% | -2.9% |
| TREND-11 Kaufman Adaptive Moving Average | Trend | +8.7% | Out | -4.7% | -2.6% |
| KC-01 Keltner Channel Breakout | Trend | +7.8% | Out | -2.8% | -2.8% |
| TREND-02 Donchian Breakout | Trend | +7.8% | Out | -2.9% | -2.5% |
| VOL-01 Volatility Breakout | Volatility | +7.6% | Out | -1.8% | -1.6% |
| REG-10 HMM Regime Detection | Regime & other | +7.6% | Out | -4.5% | -2.2% |
| TREND-14 Linear Regression Channel | Trend | +7.5% | Out | -5.7% | +0.5% |
| CAL-01 Turn of Month | Regime & other | +7.5% | In | -1.7% | -0.5% |
| TREND-16 Aroon Indicator | Trend | +6.8% | Out | -2.9% | -2.4% |
| MR-14 Detrended Price Oscillator | Mean reversion | +6.7% | Out | -1.5% | 0.0% |
| COMBO-02 MACD + RSI Filter | Momentum | +6.2% | Out | -2.2% | -3.3% |
| MR-11 Williams %R Reversion | Mean reversion | +6.2% | In | -2.2% | -3.8% |
| REG-01 Regime Switch | Regime & other | +5.3% | Out | -2.9% | -6.2% |
| HMA-01 HMA Crossover | Trend | +5.2% | Out | -5.1% | -7.6% |
| MR-05 CCI Mean Reversion | Mean reversion | +4.9% | In | -0.4% | -1.9% |
| MR-10 Stochastic Oscillator Reversion | Mean reversion | +4.9% | In | -0.4% | -4.6% |
| MR-03 Kalman Filter Mean Reversion | Mean reversion | +4.2% | In | -2.2% | +2.3% |
| MR-07 Hurst-Filtered Mean Reversion | Mean reversion | +4.2% | In | -2.2% | +2.4% |
| MOM-10 Accelerating Momentum | Trend | +3.5% | Out | -2.1% | -2.8% |
| ADX-01 ADX Trend Filter | Trend | +3.2% | Out | -2.8% | 0.0% |
| MR-15 Ultimate Oscillator | Mean reversion | +3.0% | In | -0.3% | +0.7% |
| TREND-05 Dual Moving Average | Trend | +3.0% | Out | -1.4% | -5.6% |
| EVENT-01 Trend + Macro Filter | Trend | +3.0% | Out | -1.4% | -4.0% |
| MR-16 Connors RSI | Mean reversion | +2.7% | Out | 0.0% | +3.0% |
| MOM-06 Residual Momentum | Momentum | +2.5% | In | -2.9% | -6.0% |
| VOL-13 Volatility Regime Strategy | Volatility | +0.7% | Out | -1.4% | -4.7% |
| 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% | -2.5% |
| MOM-01 Time-Series Momentum | Trend | 0.0% | Out | 0.0% | +0.1% |
| MOM-03 52-Week High Momentum | Momentum | 0.0% | Out | 0.0% | -6.7% |
| MOM-11 Momentum Crash Protection | Momentum | 0.0% | Out | 0.0% | +0.1% |
| MR-01 RSI Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | +0.1% |
| MR-02 Bollinger Band Reversion | Mean reversion | 0.0% | Out | 0.0% | +0.9% |
| MR-04 Ornstein-Uhlenbeck Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | -0.2% |
| MR-06 Z-Score Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | -1.5% |
| MR-12 Money Flow Index Reversion | Mean reversion | 0.0% | Out | 0.0% | +0.8% |
| MR-13 TRIX Reversion | Mean reversion | 0.0% | Out | 0.0% | 0.0% |
| SEAS-01 Monthly Seasonality | Regime & other | 0.0% | Out | 0.0% | -0.9% |
| TAIL-01 Crisis Alpha | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| TREND-13 Triple Moving Average | Trend | 0.0% | Out | 0.0% | -2.8% |
| TREND-19 Elder Triple Screen | Trend | 0.0% | Out | 0.0% | 0.0% |
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 |
|---|---|---|---|---|---|
| Commodities | +16.5% | 56 | 0% | 70% | +4.3% |
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.