Courtesy of Guy Lerner of Tactical Beta

Our models are constructed with both fundamental and technical data, and a bull signal is registered when both fundamentals and technicals are positive. A bear signal is registered when both fundamentals and technicals are negative. A neutral signal means that only 1 element of our model is positive. Neutral market signals tend to be ruled by overbought and oversold conditions; the market is range bound. We can be buyers in bear markets as conditions can be ripe for a reversal, so being bullish in a bear is acceptable.

Snapshot

Last Update: 1.22.14

Current Fundamental Signal: Bullish

Current Technical Signal: Bullish

Aggregate Signal: BULLISH

Duration of current aggregate signal: 1 weeks

The Technicals

Figure 1 is a weekly chart of the SPDR GLD Trust (symbol: GLD). The current technical signal is BULLISH.

Figure 1. GLD/ weekly

1) The close below a key pivot area and the immediate recapture of that old support level at 118.56 is suggestive of a double bottom

Fundamental Model

Our fundamental gold model is based upon the direction of interest rates. If interest rate pressures are falling, then this is good for gold. Rising interest rate pressures are a headwind. The current fundamental signal is BULLISH.

Data used: cash price gold

Back testing date begins: July 30,1976

Total gold points earned (strategy): 1383.75

Total gold points earned (buy and hold): 1131.20

% of time in market: 50%

Average trade duration: 30.5 weeks

Number of outlier trades: 0

Performance Metrics

Trade Series

Individual Trades

These are the individual trades from the fundamental model.

Equity Curve/ Drawdown

This is the equity curve for the fundamental model.

Equity Curve

This is the underwater equity curve (drawdown %).

Underwater Equity Curve/ monthly

Profit by Month

Which months are the most profitable for this strategy? This graphs shows you.

Profit by Month

MAE/ MFE

This is the maximum adverse excursion (MAE) graph. This shows every trade from the strategy. Each trade’s profit or loss in percentage terms is on the y axis. Winning trades are in green; losing trades are in red. The x axis shows each trade’s individual drawdown in percentage terms.

MAE

This is the maximum favorable excursion (MFE) graph. This shows every trade from the strategy. Each trade’s profit or loss in percentage terms is on the y axis. Winning trades are in green; losing trades are in red. The x axis shows each trade’s individual run up in percentage terms.

MFE