[101 Trading Ideas] Gold #strategy #gold #101tradingideas

This strategy is another example of using 101 Trading Ideas to find alpha – this strategy is based on an idea triggered by ‘Trade Tomorrow’. This is the first gold strategy (of four) in the book. Strategy ideas that have been automated are listed here.

101 Trading Ideas:

#103 Trade Tomorrow

Triggered Idea:

What is the short-term relationship between gold and the 30-year bond?

From Triggered Idea to Trading Strategy:

Gold is both a commodity and a risk vehicle, so when gold and the bond move in opposite directions, the moves set up a reversion in gold on the following day.

Long Rules:

not Friday, and

the close of gold is lower than the close of gold yesterday, and

the close of bonds are higher than the close of bonds yesterday,

then buy gold

Short Rules:

Opposite long rules


On tomorrow’s close

Gold Illustration 1

Results (2007-p)

trades: 901

w/l: 54%,  491/901

avg trade: 1.46 pts

z: 2.80

profitable 9 of 10 years

Notes and Next Steps:

Test the magnitude of the moves in gold in order to separate reversion trades from momentum trades.

Add a box around gold prices to test for stability. Gold stability should enhance the reversion signal from the 30-year bond.

A rough draft, alpha hunt idea. Not a complete strategy.

There is risk in trading. Most strategies degrade when moving from in-sample backtests to out-of-sample live markets. Be careful.

101 Trading Ideas:

This strategy idea was triggered by 101 Trading Ideas, A Magical List for Fast-Paced Alpha Hunting. It turns out that ideas are like the old-fashioned game of telephone – when the List says one thing, you hear a more personal, interesting trading idea. As you scan the List while thinking of the markets, when you pause, when you find yourself thinking “What if…” that is your idea! Try it, test it, find your alpha. It’s as easy as Scan, Pause, Idea, Scan, Pause, Idea. Using the List in 101 Trading Ideas, will help you create trading ideas, too!

More info on the book here. The book is available on Amazon in print and for Kindle.

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