Gold & SPX Switching Strategy
A two-asset timing strategy from returnstream: alternate capital between gold and the S&P 500 based on relative trailing strength, with a risk-free-rate escape hatch. A simpler, fully-disclosed sibling with the same economic idea (no cash leg) is gold-spx-rs-ratio-rotation (quantified-strategies variant).
Rules (as publicly described)
- Measure relative strength of gold vs S&P 500 from each asset’s trailing performance; hold whichever shows stronger momentum.
- Risk-free rate filter: if neither asset outperforms the 3-month T-bill yield, move to a money-market instrument.
- The full rule set is NOT disclosed — the article’s rule list is empty in the published HTML and lives in a paid ebook; the 1977+ backtest spreadsheet is also paid. Lookback lengths, rebalance frequency, and switch thresholds are unknown.
Claimed results (vendor backtest, 1977–2026, growth of $1,000)
| Metric | Gold | SPX | System |
|---|---|---|---|
| CAGR | 7.5% | 9.0% | 12.7% |
| Max DD | 62% | 53% | 31% |
Stress windows: +7.2% Mar 2000–Oct 2002 (dot-com), +5.2% Nov 2007–Mar 2009 (subprime), vs SPX −40.9% / −46.1%. Drawdowns claimed “markedly more shallow and more brief” than either asset. No costs, slippage, or engine stated — vendor marketing material.
The article also shows a gold-only 1-year trend filter (hold gold when trailing 1-yr trend positive, else cash): it trims drawdowns but “falls short of beating the simple buy-and-hold returns in the long run.”
Assessment
Classic two-asset momentum rotation; the edge claim rests entirely on an undisclosed, unreproducible vendor backtest. Plausible family (time-series + relative momentum is well documented) but the specific numbers are unverifiable as published. See gold-spx-switching-outperforms-both-assets, gold-trend-filter-underperforms-bnh, switching-positive-in-dotcom-subprime, and test plan gold-spx-switching-replication.
Open questions
- Exact lookback(s), rebalance cadence, tie-breaks, and filter comparison convention (total return vs price vs annualized?) — would need the paid ebook.
- Does gold-vs-cash momentum add anything over SPX-only trend following?
- Sensitivity of the 12.7% CAGR to the undisclosed parameters (overfitting risk).