Testing a Gold Reopen Strategy with Corrected Costs and Real Ticks

Summary

The document describes a rules-based gold strategy that buys after the CME’s daily maintenance break, holds for a fixed period, and uses a volatility-scaled stop. It reports an eleven-year hourly-data study: the first hour after the daily reopen showed a positive return pattern while other hours were flat. A corrected transaction-cost estimate reduced the reported edge substantially, although the result remained positive in the author’s real-tick test. The revised results show a near-even win rate, making payoff size more important than trade frequency.

The author reports checks against gap effects, bar construction, outliers, spread changes, entry delays, and the weekly reopen. The post also cautions that a shorter sample was not statistically significant and that the strategy’s annual return and drawdown profile do not support treating it as a livelihood. A key limitation is that execution assumptions matter: candle spread summaries understated reopen costs, and the author says real-tick modeling is essential because alternate modeling modes can produce sharply different outcomes.

Key ideas

• The strategy buys after the daily gold market reopen, holds for a fixed period, and uses an ATR-scaled stop.
• Correcting the transaction-cost assumption cut the measured edge while leaving the reported long-sample result positive.
• The reported checks examine gaps, bar construction, outliers, spread behavior, delayed entry, and weekly reopen effects.
• The author warns that a short sample was inconclusive and that the reported return and drawdown are modest.
• Backtest conclusions depend on execution costs and tick modeling, so modeling mode should be reported.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.