August 2024 yen carry-trade unwind
A Bank of Japan rate hike at the end of July, together with weak US jobs data, forced an unwind of yen carry trades. Volatility spiked on the first Monday of August and US stocks and bitcoin fell hard before recovering.
Dates checked against the price data: researched window 2024-07-31 to 2024-08-05; measured 2024-07-16 to 2024-08-05 (start shifted by -15 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, 25 (40%) were already out of the market going in. 57 (92%) lost less than the market (-8.4%), 4 (6%) finished the window with a gain, and the median strategy returned -3.4%. Strategies that were in the market returned a median -4.2%; those that were already out returned 0.0%. In the following three months the median strategy returned +2.3%.
| Family | Strategies | Already out | Median return | Lost less than the market |
|---|---|---|---|---|
| Trend | 24 | 8% | -4.1% | |
| Momentum | 4 | 50% | -5.7% | |
| Mean reversion | 15 | 100% | 0.0% | |
| Volatility | 6 | 33% | -3.2% | |
| Regime & other | 13 | 31% | -5.0% |
Best five
| Strategy | Return in window |
|---|---|
| TREND-14 Linear Regression Channel | +5.1% |
| MR-16 Connors RSI | +2.2% |
| MR-15 Ultimate Oscillator | +1.2% |
| VOL-10 Volatility Risk Premium | +0.2% |
| COMBO-02 MACD + RSI Filter | 0.0% |
Worst five
| Strategy | Return in window |
|---|---|
| MACRO-03 Flight to Quality | -10.5% |
| RP-01 Volatility Target | -8.8% |
| FACTOR-05 Multi-Factor Composite | -8.8% |
| MOM-01 Time-Series Momentum | -8.4% |
| TREND-05 Dual Moving Average | -8.4% |
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 | +5.1% | In | -2.3% | -6.7% |
| MR-16 Connors RSI | Mean reversion | +2.2% | Out | 0.0% | +1.0% |
| MR-15 Ultimate Oscillator | Mean reversion | +1.2% | Out | 0.0% | +5.7% |
| VOL-10 Volatility Risk Premium | Volatility | +0.2% | Out | -1.4% | +3.6% |
| COMBO-02 MACD + RSI Filter | Momentum | 0.0% | Out | 0.0% | +3.0% |
| COMBO-03 Divergence Strategy | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| MR-01 RSI Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | +0.2% |
| MR-03 Kalman Filter Mean Reversion | Mean reversion | 0.0% | Out | 0.0% | 0.0% |
| 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% | +4.8% |
| 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% | +1.3% |
| SEAS-01 Monthly Seasonality | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| TAIL-01 Crisis Alpha | Regime & other | 0.0% | Out | 0.0% | 0.0% |
| TREND-19 Elder Triple Screen | Trend | 0.0% | Out | 0.0% | 0.0% |
| STAT-11 Cointegration Basket | Mean reversion | -0.6% | Out | -1.2% | +1.0% |
| MR-06 Z-Score Mean Reversion | Mean reversion | -0.7% | Out | -2.9% | +5.2% |
| TREND-11 Kaufman Adaptive Moving Average | Trend | -1.4% | In | -1.4% | -3.2% |
| STAT-10 Dynamic Hedge Ratio Pairs | Regime & other | -1.5% | In | -2.9% | +0.4% |
| VOL-01 Volatility Breakout | Volatility | -1.6% | Out | -1.6% | +4.1% |
| TREND-12 MACD Strategy | Trend | -2.2% | In | -2.2% | +3.0% |
| REG-10 HMM Regime Detection | Regime & other | -2.2% | In | -2.2% | +1.6% |
| COMBO-01 Bollinger-Keltner Squeeze | Volatility | -2.2% | In | -2.2% | +1.1% |
| KC-01 Keltner Channel Breakout | Trend | -2.8% | In | -2.8% | -0.9% |
| TURTLE-01 Turtle Trading | Trend | -2.8% | In | -2.8% | -3.0% |
| SUPER-01 Supertrend | Trend | -2.8% | In | -2.8% | -3.5% |
| MOM-06 Residual Momentum | Momentum | -2.9% | Out | -2.9% | +8.6% |
| MR-04 Ornstein-Uhlenbeck Mean Reversion | Mean reversion | -2.9% | Out | -2.9% | +4.8% |
| COMBO-04 Trend + Mean Reversion Hybrid | Trend | -2.9% | Out | -2.9% | +7.1% |
| MR-10 Stochastic Oscillator Reversion | Mean reversion | -3.2% | Out | -3.6% | +8.1% |
| TREND-17 Chandelier Exit | Trend | -3.4% | In | -3.4% | +1.3% |
| RISK-04 Trailing Stop Strategy | Trend | -3.4% | In | -3.4% | +2.6% |
| EVENT-01 Trend + Macro Filter | Trend | -3.9% | In | -4.7% | +11.2% |
| SAR-01 Parabolic SAR | Trend | -4.0% | In | -4.0% | +2.1% |
| TREND-16 Aroon Indicator | Trend | -4.2% | In | -4.2% | +0.7% |
| TREND-02 Donchian Breakout | Trend | -4.2% | In | -4.2% | +0.3% |
| TREND-18 Coppock Curve | Trend | -4.2% | In | -4.2% | -1.9% |
| TREND-20 Vortex Indicator | Trend | -4.2% | In | -4.2% | +5.5% |
| TREND-10 Ichimoku Cloud | Trend | -4.2% | In | -4.2% | +0.4% |
| TREND-15 Darvas Box | Trend | -4.2% | In | -4.2% | +1.9% |
| REG-14 Volatility Regime Switch | Volatility | -4.2% | In | -4.6% | -0.0% |
| MR-05 CCI Mean Reversion | Mean reversion | -4.4% | Out | -6.1% | +4.6% |
| MR-02 Bollinger Band Reversion | Mean reversion | -4.4% | Out | -6.1% | 0.0% |
| MACRO-01 Cross-Asset Momentum | Regime & other | -4.5% | In | -4.5% | +6.1% |
| CAL-01 Turn of Month | Regime & other | -5.0% | Out | -6.1% | -5.5% |
| ADX-01 ADX Trend Filter | Trend | -5.0% | In | -5.0% | +0.5% |
| RISK-03 Stop Loss Overlay | Regime & other | -5.5% | In | -5.5% | +1.5% |
| MACRO-02 Risk-On/Risk-Off Switch | Regime & other | -5.7% | In | -5.7% | +3.3% |
| VOL-13 Volatility Regime Strategy | Volatility | -5.8% | In | -5.8% | +7.6% |
| MR-11 Williams %R Reversion | Mean reversion | -6.4% | Out | -6.7% | +8.7% |
| HMA-01 HMA Crossover | Trend | -7.4% | In | -7.4% | +9.4% |
| MOM-10 Accelerating Momentum | Trend | -7.7% | In | -7.7% | +8.7% |
| MOM-03 52-Week High Momentum | Momentum | -8.4% | In | -8.4% | +10.7% |
| MOM-11 Momentum Crash Protection | Momentum | -8.4% | In | -8.4% | +10.7% |
| RISK-01 Drawdown Control | Regime & other | -8.4% | In | -8.4% | +10.7% |
| TREND-13 Triple Moving Average | Trend | -8.4% | In | -8.4% | +10.7% |
| REG-01 Regime Switch | Regime & other | -8.4% | In | -8.4% | +10.7% |
| TREND-05 Dual Moving Average | Trend | -8.4% | In | -8.4% | +10.7% |
| MOM-01 Time-Series Momentum | Trend | -8.4% | In | -8.4% | +10.7% |
| FACTOR-05 Multi-Factor Composite | Regime & other | -8.8% | In | -8.8% | +8.6% |
| RP-01 Volatility Target | Volatility | -8.8% | In | -8.8% | +6.9% |
| MACRO-03 Flight to Quality | Regime & other | -10.5% | In | -10.5% | +4.7% |
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 |
|---|---|---|---|---|---|
| EUR/USD | +0.1% | 56 | 23% | 52% | 0.0% |
| Bitcoin | -17.1% | 56 | 93% | 48% | -4.1% |
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.