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1996issue C051-5

Constructing dual-gate bond-fund entries from gold-silver jumps

A bond-fund long or short is defined only when a gold-and-silver index percent jump and a same-market trough gate or peak gate both fire. The jump lookback and the percent gates stay named inputs so a parameter freeze can replay one date window.

  • A dual-gate defines a long or a short only when a gold-and-silver index percent jump and a bond-fund trough gate or peak gate are both true.
  • The jump lookback was a searchable input from 5 to 25 in steps of 5, with a working value of 15.
  • One encoding used the most recent peak and trough. Another stored a recursive high while not short and a recursive low while not long.
  • After the first fill, reverse-in-market flipped the book at the close of the signal bar and stayed continuously long or short.
Entries in this reading2 entries
Current trackIntermarket analysis136 readingsRule-based entry174 readings

A dual-gate issues a signal only when an intermarket jump condition and a local peak-or-trough condition are both true. The traded series is a bond fund. The external series is a gold-and-silver index. Until both tests agree, no long and no short is defined.

Fidelity Government Bond Fund, 1990–1995

FGOVX climbs from a 1990 trough near 8.75 to a peak above 10.5 in early 1994, then slumps through the 1994 bond selloff and recovers to 10.12 by 29 December 1995. A trader sees the path the dual-gate long and short rules are meant to trade. Points were read from the lower pane of the MetaStock composite; the 10.12 close is the window header print, and earlier levels are approximate readings of the plotted line.
FGOVX climbs from a 1990 trough near 8.75 to a peak above 10.5 in early 1994, then slumps through the 1994 bond selloff and recovers to 10.12 by 29 December 1995. A trader sees the path the dual-gate long and short rules are meant to trade. Points were read from the lower pane of the MetaStock composite; the 10.12 close is the window header print, and earlier levels are approximate readings of the plotted line.FGOVX · 1990–1995 · 1990-01-01T00:00:00.000Z to 1995-12-31T00:00:00.000Z

Digitized from a coarse mid-1990s MetaStock screenshot. Vertical resolution is roughly 0.05–0.10 NAV units except for the 10.12 header close. The upper XAU pane uses a different scale and is not mixed onto this axis.

Long and short definitions

A long is defined only when the gold-and-silver index percent change over a lag is below a downside threshold and the bond-fund close is above a trough scaled by an upside factor. That second test is the trough gate: the traded bond fund must have risen a stated percent from a stored low before a long is allowed.

A short is defined only when that same index percent change is above an upside threshold and the bond-fund close is below a peak scaled by a downside factor. That second test is the peak gate: the traded bond fund must have fallen a stated percent from a stored high before a short is allowed.

Named inputs and the jump lookback

The jump lookback is the bar lag used to measure percent change in the external gold-and-silver index. It was specified as a searchable input ranging from 5 to 25 in steps of 5, with a working value of 15.

A spreadsheet encoding measured the index jump as one hundred times the change versus a lagged index close, then required that jump and a bond-fund swing state to agree before a buy or sell.

Two encodings of the peak and trough

One encoding used the most recent peak and trough in the dual-gate instead of the extreme printed during the prior long or short episode.

Another encoding required both series in the signal: buy if the fund is 0.9 percent above a bottom and the index has fallen more than 4 percent; sell if the fund is 0.8 percent below a top and the index has risen more than 8 percent. That encoding stored a recursive high while not short and a recursive low while not long, then used those stored extremes in the buy and sell gates. A recursive extreme is a running high or low that updates only while the opposite position is not open.

Staying in the market after the first fill

After the first fill, that encoding stayed continuously in the market by reversing short-to-long or long-to-short at the close of the signal bar. Reverse-in-market means that after the first fill, each opposite dual-gate flips the book at the close so the procedure stays continuously long or short.

Freezing inputs for a walk-through

A walk-through is constructed by narrowing the chart date window and freezing a search variable into a constant so the rule ignores that input. Parameter freeze is replacing a searched input with a constant so a chosen date window can be replayed without re-searching that input.

Editorial reading: write every lag and percent gate as a named input so the same dual-gate procedure can be frozen and replayed on one date window.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
6 of 33 in the Intermarket analysis track
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