SPDR Gold Trust (GLD) Signals-Daily

Posted on September 21, 2018September 21, 2018 by Andrew MacLean

The SPDR Gold Trust (GLD) signals shown above were selected for their reward/risk and parameter sensitivity characteristics. Backtests don't always generate reliable signals which can be counted on moving forward but many traders find value in knowing what buy and sell signals would have worked well in the past.

Returns for the SPDR Gold Trust (GLD) signals

For the 528 day (2.1 year) period from Aug 17 2016 to Sep 20 2018, these signals for SPDR Gold Trust (GLD) traded both long and short would have yielded $8,617 in profits from a $10,000 initial investment, an annualized return of 34.6%. Traded long only (no short selling) the signals would have returned $3,130, an annualized return of 13.9%. 41.5% of time was spent holding stock long. The return would have been $1,084 (an annualized return of 5.3%) if you had shorted the stock for the same period.

Signals and Trades

Not all signals are acted upon and signals are often reinforced in this type of strategy. If you are long in the security, buy signals are not acted on, for example. Similarly if you are short you must ignore sell signals. There were 35 buy signals and 47 sell signals for this particular GLD strategy. These led to 14 round trip long trades of which 8 were profitable, and 15 short trades of which 12 were profitable. Daily OHLC data is used to derive all signals and there is at most one buy and sell signal and one trade per day.

Drawdown and Reward/Risk

Drawdown (the worst case loss for an single entry and exit into the strategy) was 7% for long-short and 7% for long only. This compares to 17% for buy-hold. The reward/risk for the trading long and short was 3.01 compared to 0.25 for short-hold, a factor of 12.2 improvement. If traded long only, the reward/risk was 1.15. We use drawdown plus 5% as our risk metric, and annualized return as the reward metric.

The backtests assume a commission per trade of $7.

SPDR Gold Trust (GLD) Signals-Weekly

Posted on September 21, 2018September 21, 2018 by Andrew MacLean

The trading signals for SPDR Gold Trust (GLD) were selected from over a million backtest results for their reward/risk and parameter sensitivity characteristics. Backtests don't always generate reliable signals which can be counted on moving forward but many traders find value in knowing what buy and sell signals would have worked well in the past.

Returns for the SPDR Gold Trust (GLD) signals

For the 528 week (10.1 year) period from Aug 4 2008 to Sep 14 2018, these signals for SPDR Gold Trust (GLD) traded both long and short would have yielded $62,741 in profits from a $10,000 initial investment, an annualized return of 21.7%. Traded long only (no short selling) the signals would have returned $23,712, an annualized return of 12.8%. 46.2% of time was spent holding stock long. The return would have been $2,753 (an annualized return of 02.4%) if you had bought and held the stock for the same period.

Signals and Trades

Not all signals are acted upon and signals are often reinforced in this type of strategy. If you are long in the security, buy signals are not acted on, for example. Similarly if you are short you must ignore sell signals. There were 207 buy signals and 271 sell signals for this particular GLD strategy .These led to 88 round trip long trades of which 52 were profitable, and 89 short trades of which 38 were profitable. This is a weekly strategy; weekly OHLC data is used to derive all signals and there is at most one buy and sell signal and one trade per week.

Drawdown and Reward/Risk

Drawdown (the worst case loss for an single entry and exit into the strategy) was 20% for long-short and 19% for long only. This compares to 45% for buy-hold. The reward/risk for the trading long and short was 0.87 compared to 0.05 for buy-hold, a factor of 17.8 improvement. If traded long only, the reward/risk was 0.53. We use drawdown plus 5% as our risk metric, and annualized return as the reward metric.

The backtests assume a commission per trade of $7.

Two GLD Trading Strategies (Daily)

Posted on September 5, 2015September 5, 2015 by Andrew MacLean

GLD is the much traded SPDR Gold Trust ETF. I find these two GLD trading strategies interesting because they gave reasonable results (32.6% and 48% annualized return) for each of the four 6 month periods of the analysis. The strategies require daily intervention.

Strategy 1: BCS AHC

This is a buy on fall, sell on rise strategy using the close price as the buy reference and the high price as the sell reference. As you can see from the life chart and the longevity analysis, the lowest return for the last four 6 month periods was close to 30% annualized. You can easily find algorithms with over 50% annualized return for GLD, but they are not as consistent, with lowest quartus returns of around 14%.

I would prefer to see more reinforcement on the signals, but there it is. As of Sat Sept 5th, this strategy is Short with no transactions pending.

You can view the trades in spreadsheet format here: GLD.D Trades

Strategy 2: AOO AHCI

In many ways this strategy shows better results than the BCS AHC strategy, for example there was lower drawdown, higher return, better signal reinforcement and good consistency (minimum 6 month quartus return of 38.43%). On the other hand, signals were cluttered, with 67 dual signal days, 50 buy signal days and 75 sell signal days. Also, its not an trading strategy that makes intuitive sense; buy on rise, sell on rise. Maybe it is one of those serendipitous occurrences, we shall see. Notice the sell strategy is almost the same as for BCS AHC but the sell signal percentage is quite different.

As of Sat Sept 5th, the strategy is Short with no transactions pending. For a list of trades in Excel format: GLD.D2 Trades. For a more detailed explanation of the above charts, please go here.

Algorithms were discovered by SignalSolver.

Please note, the above analysis was corrected on 12/28/2015 to reflect a bug fix in SignalSolver. Original returns were $9530 and $12753 respectively.

Update Oct 21st 2016

Both algorithms peaked 12/30/2015.

GLD Trading Strategy AOO AHCI Update Oct 21st 2016

GLD Trading Strategy BCS AHC Update Oct 21st 2016