Spot Gold Macro-Driver Trend: Long/Short XAUUSD.SPOTMETAL on Lagged 10y TIPS Real-Yield and EUR/USD Dollar Trends (FRED, daily, signal exit)

Single-instrument long/short trade on spot gold (XAUUSD.SPOTMETAL, 1-DAY bars, 2003-2026). It is driven ONLY by gold's two textbook macro drivers, never by gold's own price trend. (1) The US 10-year TIPS real yield (FRED DFII10, platform key US_REAL10Y): gold pays no coupon, so the real yield is its opportunity cost. (2) The US dollar, proxied by EUR/USD (FRED DEXUSEU, key US_EURUSD; EUR is ~58% of DXY): gold is priced in dollars. The bet is that trends in these drivers PERSIST (bond and FX time-series momentum, Moskowitz-Ooi-Pedersen 2012), and that gold's price response spreads over weeks through slow ETF and allocator flows. A lagged macro trend should therefore predict gold's next few weeks. Signal per decision bar: s_r = -(R_t - R_{t-N}) / sd(N-obs changes in R over the trailing 252 obs); s_d = (ln E_t - ln E_{t-N}) / sd(N-obs log changes of E over the trailing 252 obs). score = mean of the active components. signal_mode is both / real_yield_only / dollar_only; the single-driver modes are the matched controls that show which driver carries information. Both series are read ONLY via supp_as_of / supp_window. The platform keys daily FRED series at 00:00 UTC the day AFTER their date, so a decision at the gold daily close (17:00 New York) uses the previous US day's yields and FX: strictly point-in-time, one day stale. Counts are in published observations, not calendar days (FRED skips holidays). Execution: SPOTMETAL is a session venue, so a decision at a daily bar's close fills at the NEXT session's open (18:00 NY Sunday-Thursday) under next_open_fill (supported). Weekends and the 17:00-18:00 break are closed market, not data gaps. Novelty vs. the corpus: SPOTMETAL has 9 experiments, all intraday session/London-open breakouts, BTC/XAU relative momentum or a PAXG premium. The failed GLD 20/120 dual-horizon confluence used GOLD'S OWN momentum. No prior hypothesis uses real yields or the dollar as an outside signal for gold; a knowledge search for TIPS, DFII10, real yield and copper found no matching strategy. The macro feeds have full history (FRED from 2003), so this is not a short-lookback design. Overnight financing is modelled: long pays fed funds + 2.5%/yr, short receives fed funds - 2.5%/yr (Wednesday x3). Longs therefore carry a real drag in high-rate years (about 0.02%/day in 2023-24), and the edge must clear it. Trade-rate estimate: N=20 and entry_z=0.5 give roughly 12-18 entries/flips per year, about 300 round trips over 23 years, with a median hold of about 2-4 weeks. Per-trade arithmetic: gold's 15-session move has sd ~3.5-4%. A 53-55% directional hit rate with symmetric payoff captures ~0.5-0.7% gross per trade. Subtract financing on longs (~0.15-0.3% over a 15-day hold at 2023-24 rates, much less in 2009-2021) and ~0.015% round-trip spread, giving ~0.35-0.5% net, more than 20x the round-trip cost. Known risk stated upfront: from 2022 gold decoupled from real yields (central-bank buying), so the real-yield component may have pointed the wrong way in 2022-2025. The dollar_only control and the regime attribution will show it.

Long/short XAUUSD.SPOTMETAL on 1-DAY bars driven only by gold's macro drivers. At each daily close: s_r = -(R_t - R_{t-N}) / sd(N-obs changes of the 10y TIPS real yield, US_REAL10Y, over the trailing 252 obs); s_d = (ln E_t - ln E_{t-N}) / sd(N-obs log changes of EUR/USD, US_EURUSD, over the trailing 252 obs); score = mean of the components selected by signal_mode (both / real_yield_only / dollar_only). Enter long when score >= entry_z, short when score <= -entry_z; exit a long when score < exit_z, a short when score > -exit_z (a flip is exit then re-entry on the next decision bar, since the account is netting). Macro data is read only via supp_as_of/supp_window semantics (availability-stamped, one US day stale). If a selected series is stale (> stale_days since last obs) or lacks history, no new entries; an open position is closed after missing_bars_exit consecutive bars without a valid signal. Size = equity x notional_fraction x leverage x 0.97 buffer / price in 0.01 oz (<=100% equity, unlevered). Orders decided at a daily close fill at the next session open (platform next_open_fill).