Volmageddon 2018
A spike in volatility in early February forced the unwinding of short-volatility products, which amplified the sell-off. US stocks fell sharply from their late-January record.
Dates checked against the price data: researched window 2018-01-26 to 2018-02-08; measured 2018-01-26 to 2018-02-08 (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, 26 (42%) were already out of the market going in. 58 (94%) lost less than the market (-10.1%), 1 (2%) finished the window with a gain, and the median strategy returned -3.3%. Strategies that were in the market returned a median -6.9%; those that were already out returned 0.0%. In the following three months the median strategy returned +0.1%.
| Family | Strategies | Already out | Median return | Lost less than the market |
|---|---|---|---|---|
| Trend | 24 | 8% | -3.9% | |
| Momentum | 4 | 25% | -10.1% | |
| Mean reversion | 15 | 100% | -2.3% | |
| Volatility | 6 | 33% | -1.2% | |
| Regime & other | 13 | 46% | -6.6% |
Best five
| Strategy | Return in window |
|---|---|
| TREND-14 Linear Regression Channel | +4.7% |
| COMBO-01 Bollinger-Keltner Squeeze | 0.0% |
| COMBO-02 MACD + RSI Filter | 0.0% |
| COMBO-03 Divergence Strategy | 0.0% |
| FACTOR-05 Multi-Factor Composite | 0.0% |
Worst five
| Strategy | Return in window |
|---|---|
| MACRO-03 Flight to Quality | -13.1% |
| MOM-06 Residual Momentum | -10.1% |
| SEAS-01 Monthly Seasonality | -10.1% |
| MOM-11 Momentum Crash Protection | -10.1% |
| REG-01 Regime Switch | -10.1% |
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% | In | -2.0% | -7.4% |
| COMBO-01 Bollinger-Keltner Squeeze | Volatility | 0.0% | Out | 0.0% | -2.2% |
| COMBO-02 MACD + RSI Filter | Momentum | 0.0% | Out | 0.0% | +0.1% |
| COMBO-03 Divergence Strategy | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| FACTOR-05 Multi-Factor Composite | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| MACRO-02 Risk-On/Risk-Off Switch | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| MR-01 RSI Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | +7.2% |
| MR-03 Kalman Filter Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | +0.7% |
| MR-04 Ornstein-Uhlenbeck Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | +7.6% |
| MR-07 Hurst-Filtered Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | +3.6% |
| 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% | -2.9% |
| STAT-10 Dynamic Hedge Ratio Pairs | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| STAT-11 Cointegration Basket | Mean reversion | 0.0% | Out | 0.0% | 0.0% |
| TAIL-01 Crisis Alpha | Regime & other | 0.0% | Out | 0.0% | -0.4% |
| TREND-19 Elder Triple Screen | Trend | 0.0% | Out | 0.0% | 0.0% |
| VOL-10 Volatility Risk Premium | Volatility | 0.0% | Out | 0.0% | +0.4% |
| VOL-01 Volatility Breakout | Volatility | -1.2% | In | -1.2% | +0.4% |
| REG-14 Volatility Regime Switch | Volatility | -1.3% | In | -1.3% | +1.4% |
| TREND-12 MACD Strategy | Trend | -1.6% | In | -1.7% | +0.4% |
| TREND-11 Kaufman Adaptive Moving Average | Trend | -1.7% | In | -1.7% | -5.3% |
| HMA-01 HMA Crossover | Trend | -1.7% | In | -1.7% | +2.1% |
| SAR-01 Parabolic SAR | Trend | -1.7% | In | -1.7% | -4.5% |
| TURTLE-01 Turtle Trading | Trend | -1.7% | In | -1.7% | -2.6% |
| MR-16 Connors RSI | Mean reversion | -2.3% | Out | -4.2% | -2.2% |
| MR-06 Z-Score Mean Reversion | Mean reversion | -2.4% | Out | -4.3% | +6.8% |
| MR-15 Ultimate Oscillator | Mean reversion | -2.4% | Out | -4.3% | +5.0% |
| MR-12 Money Flow Index Reversion | Mean reversion | -2.4% | Out | -4.3% | +9.2% |
| MR-02 Bollinger Band Reversion | Mean reversion | -2.4% | Out | -4.3% | +7.3% |
| COMBO-04 Trend + Mean Reversion Hybrid | Trend | -2.4% | Out | -4.3% | +11.2% |
| VOL-13 Volatility Regime Strategy | Volatility | -2.7% | In | -4.3% | +9.2% |
| KC-01 Keltner Channel Breakout | Trend | -3.9% | In | -3.9% | 0.0% |
| ADX-01 ADX Trend Filter | Trend | -3.9% | In | -3.9% | -1.0% |
| TREND-20 Vortex Indicator | Trend | -3.9% | In | -3.9% | -0.7% |
| SUPER-01 Supertrend | Trend | -3.9% | In | -3.9% | -5.1% |
| RISK-04 Trailing Stop Strategy | Trend | -3.9% | In | -3.9% | -0.8% |
| EVENT-01 Trend + Macro Filter | Trend | -5.9% | In | -5.9% | +0.4% |
| TREND-18 Coppock Curve | Trend | -6.1% | In | -7.9% | -4.4% |
| MACRO-01 Cross-Asset Momentum | Regime & other | -6.4% | In | -6.4% | +2.7% |
| TREND-17 Chandelier Exit | Trend | -6.4% | In | -6.4% | -4.0% |
| MR-11 Williams %R Reversion | Mean reversion | -6.5% | Out | -6.5% | +12.0% |
| MR-10 Stochastic Oscillator Reversion | Mean reversion | -6.5% | Out | -6.5% | +8.4% |
| CAL-01 Turn of Month | Regime & other | -6.6% | Out | -7.9% | +0.2% |
| RP-01 Volatility Target | Volatility | -7.3% | In | -7.3% | +1.8% |
| TREND-10 Ichimoku Cloud | Trend | -7.9% | In | -7.9% | -1.4% |
| TREND-16 Aroon Indicator | Trend | -7.9% | In | -7.9% | -5.0% |
| TREND-02 Donchian Breakout | Trend | -7.9% | In | -7.9% | 0.0% |
| RISK-03 Stop Loss Overlay | Regime & other | -7.9% | In | -7.9% | -3.2% |
| TREND-15 Darvas Box | Trend | -7.9% | In | -7.9% | 0.0% |
| REG-10 HMM Regime Detection | Regime & other | -7.9% | In | -7.9% | -3.0% |
| MR-05 CCI Mean Reversion | Mean reversion | -8.3% | Out | -8.3% | +4.9% |
| MOM-10 Accelerating Momentum | Trend | -9.5% | In | -9.5% | -1.7% |
| TREND-05 Dual Moving Average | Trend | -10.1% | In | -10.1% | +6.0% |
| RISK-01 Drawdown Control | Regime & other | -10.1% | In | -10.1% | +6.0% |
| MOM-03 52-Week High Momentum | Momentum | -10.1% | In | -10.1% | +6.0% |
| MOM-01 Time-Series Momentum | Trend | -10.1% | In | -10.1% | +6.0% |
| TREND-13 Triple Moving Average | Trend | -10.1% | In | -10.1% | +6.0% |
| REG-01 Regime Switch | Regime & other | -10.1% | In | -10.1% | +6.0% |
| MOM-11 Momentum Crash Protection | Momentum | -10.1% | In | -10.1% | +6.0% |
| SEAS-01 Monthly Seasonality | Regime & other | -10.1% | In | -10.1% | +3.3% |
| MOM-06 Residual Momentum | Momentum | -10.1% | In | -10.1% | -0.7% |
| MACRO-03 Flight to Quality | Regime & other | -13.1% | In | -14.2% | +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.
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.