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All hypotheses

Hypotheses

Spot Gold Variance-Risk-Premium Regime, Long/Short: trade XAUUSD.SPOTMETAL by the trailing-year rank of CBOE GVZ minus gold's 21-session realized vol (1-DAY bars, hysteresis exits, flat ~45% of the time, unlevered)

Single-instrument, long/short regime strategy on spot gold (XAUUSD.SPOTMETAL, 1-DAY bars, Dukascopy mid prices, history from 2003; the signal starts in mid-2008 when GVZ begins). Signal: the gold variance risk premium…

Hypothesis

Single-instrument, long/short regime strategy on spot gold (XAUUSD.SPOTMETAL, 1-DAY bars, Dukascopy mid prices, history from 2003; the signal starts in mid-2008 when GVZ begins). Signal: the gold variance risk premium VRP_t = GVZ_{t-1} - RV21_t, where GVZ is the CBOE Gold ETF Volatility Index (30-day implied vol of GLD options, in vol points) and RV21 is the annualized close-to-close standard deviation of the last rv_lookback daily log returns of XAUUSD.SPOTMETAL x sqrt(252) x 100. Each session the strategy……Show moreShow less

Single-instrument, long/short regime strategy on spot gold (XAUUSD.SPOTMETAL, 1-DAY bars, Dukascopy mid prices, history from 2003; the signal starts in mid-2008 when GVZ begins). Signal: the gold variance risk premium VRP_t = GVZ_{t-1} - RV21_t, where GVZ is the CBOE Gold ETF Volatility Index (30-day implied vol of GLD options, in vol points) and RV21 is the annualized close-to-close standard deviation of the last rv_lookback daily log returns of XAUUSD.SPOTMETAL x sqrt(252) x 100. Each session the strategy computes the percentile rank of VRP_t within its own trailing rank_window values. It goes LONG when the rank reaches entry_rank, meaning option buyers are paying an unusually rich premium over realized gold risk. It goes SHORT when the rank falls to 1 - entry_rank, meaning implied vol is cheap relative to realized turbulence. Each side is held with hysteresis until the rank crosses back through exit_band around the median. This is the variance-risk-premium return predictor of Bollerslev, Tauchen & Zhou (2009, RFS, 'Expected Stock Returns and Variance Risk Premia') applied to gold's own options market. It is also a deliberate CROSS-ASSET test of the one VRP mechanism that has survived in this factory: 'ETH Variance-Risk-Premium Regime Long on Deribit's Own Linear Perp' (promoted, Sharpe 0.81, avg trade +2.66%, 36 trades). Novelty vs the corpus: no prior hypothesis uses GVZ or any gold implied-vol input. All nine prior SPOTMETAL runs are intraday session-breakout/drift rules, OHLCV-only reversion, or the BTC/XAU relative-momentum rotation, so none of them is a vol-premium regime trade. SPOTMETAL is 0.2% of the corpus and BTC/Binance is over-concentrated, so this spends an unused series. Execution: SPOTMETAL is a session venue, so a decision taken on daily bar N's close (17:00 New York) fills at bar N+1's OPEN (the 18:00 session reopen), which the platform supports natively (next_open_fill). No stop orders are needed. Risk-control route (b): signal/regime exit with capped sizing. Position notional is fixed at 100% of equity (unlevered, never above 100%), and long and short do not overlap because the account is netting and a flip closes before reversing. Overnight financing is charged by the engine's funding ledger on every 17:00 roll (long pays fed funds + 2.5%/yr, short receives fed funds - 2.5%/yr, Wednesday x3), and the edge arithmetic below includes it. Report long-leg and short-leg PnL separately so the analyst can tell whether the long side alone (the side with the survivor precedent) carries the result. DATA: GVZ is NOT yet an injectable supplementary key (only VIX is mirrored from FRED). FRED publishes it as GVZCLS (daily from 2008-06-03), and the existing FRED macro collector should add it under the key US_GVZCLS with the same availability-time stamping as US_VIXCLS: a value appears at 00:00 UTC the day after its date. A daily decision at the 17:00 NY gold close therefore reads the PREVIOUS US session's GVZ close through supp_as_of('US_GVZCLS'), never a same-day value. See data_needs.

Backtest and paper results are hypothetical. Trading involves risk of loss.