Gold Macro
Multi-strategy XAUUSD portfolio on FOREX combining 5 algorithms across multiple timeframes.
1.89
3.41
10.20%
-2.10%
0.11
1.42
4.20
2.43
Sharpe
1.89
Sharpe
| Strategy | Weight | Risk share | Sharpe | Max DD | Win rate | P&L |
|---|---|---|---|---|---|---|
Gold Momentum 45m GLD_MOM_45 | 25.0% | 22.1% | 2.00 | -9.0% | 52.3% | 58,200 |
Gold Mean Reversion 125m GLD_MR_125 | 20.0% | 19.8% | 1.79 | -8.1% | 48.7% | 42,100 |
Gold Breakout 2hr GLD_BRK_120 | 20.0% | 20.5% | 1.27 | -12.8% | 51.2% | 38,900 |
Gold Trend Daily GLD_TREND_D | 20.0% | 21.3% | 2.07 | -7.8% | 53.8% | 51,300 |
Gold Volatility 60m GLD_VOL_60 | 15.0% | 16.3% | 1.52 | -7.2% | 49.1% | 29,800 |
53.2%
521/980
72.3%
34/47
81.2%
13/16
100.0%
4/4
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 3.5 | 2.0 | 4.7 | 0.1 | 0.4 | -2.2 | 2.1 | 1.2 | -2.4 | 0.5 | · | · | +19.1% |
| 2023 | -2.7 | 2.0 | 1.6 | 5.0 | -2.5 | 0.3 | 0.5 | 3.1 | 2.0 | 4.5 | 3.3 | -2.7 | +24.8% |
| 2022 | 1.4 | 0.9 | 1.7 | 1.3 | 0.2 | 0.4 | -1.3 | -1.7 | 0.2 | -1.3 | 2.9 | 2.2 | +18.5% |
| 2021 | 3.3 | 4.4 | 5.1 | -0.7 | 3.8 | 2.9 | 2.8 | 4.2 | 0.7 | -0.3 | 4.4 | -1.6 | +31.2% |
What the number means How closely two strategies rise and fall together. +1 = always together, 0 = unrelated, −1 = opposites.
Why it matters If strategies lose on the same days, one bad day hurts the whole portfolio. On different days, losses offset.
What the colours say Green = rarely lose together. Red = tend to lose together.
Gold Mean Reversion 125m & Gold Breakout 2hr (-0.15).
Gold Momentum 45m & Gold Trend Daily (0.35).
Low. These strategies mostly move independently, so the combined equity curve is smoother than any single one.
310,000
185,000
-9.8%
-18.2%
-24.5%
0.0%
trading days →
Block bootstrap of the recommended portfolio's daily returns. The 5th-percentile max drawdown is the realistic bad case.
| Method | OOS Sharpe | IS Sharpe | Haircut | OOS max DD | Divers. | Eff. bets |
|---|---|---|---|---|---|---|
| Risk ParityRecommended | 1.89 | 2.43 | 22% | -8.2% | 1.42 | 4.20 |
| Equal Weight | 1.52 | 1.94 | 22% | -9.5% | 1.28 | 5.00 |
| Year | Return |
|---|---|
| 2021 | +31.2% |
| 2022 | +18.5% |
| 2023 | +24.8% |
| 2024 | +19.1% |
The best subset beats holding all 5 strategies by +0.23 Sharpe out of sample.
| Rank | Size | Strategies | OOS Sharpe | Monthly green |
|---|---|---|---|---|
| 1 | 3 | Gold Momentum 45mGold Trend DailyGold Mean Reversion 125m | 2.12 | 74.5% |
| 2 | 4 | Gold Momentum 45mGold Trend DailyGold Mean Reversion 125mGold Volatility 60m | 1.98 | 72.3% |
| All | 5 | Gold Momentum 45mGold Mean Reversion 125mGold Breakout 2hrGold Trend DailyGold Volatility 60m | 1.89 | 72.3% |