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2019issue C1250-51

Evaluating equity-gold momentum on funds versus indexes

Before treating an equity-versus-gold momentum rotation as one procedure, check whether fund prices and the matching index series generate the same historical path.

  • A momentum procedure was tested in parallel on an equity-and-gold fund pair and on the matching equity-index and gold price series.
  • Calendar-year results were reported as identical for each year from 2006 through 2018, and the two result series had a reported correlation of 0.998 over the 2004 through 2018 evaluation window.
  • Matching average-return and volatility summaries, together with that near-identity, were used to treat the funds as a practical vehicle for the same procedure.
  • The evaluation also compared how the momentum procedure behaved during crisis periods with how it behaved in the periods that followed.
Entries in this reading3 entries
Seasonal trading8 readingsMomentum strategy16 readingsCurrent trackRank rotation51 readings

A vehicle test, not a new rule

A momentum procedure was tested in parallel on an equity-and-gold fund pair and on the matching equity-index and gold price series. The archive describes those two implementations as the same procedure, run once on fund prices and once on the matching index and gold price series.

The evaluation window cited for the momentum procedure ran from 2004 through 2018.

What the two paths showed

Calendar-year results for those two implementations were reported as identical for each year from 2006 through 2018. Over the 2004 through 2018 window, the correlation between the two result series was reported as 0.998.

Average-return and volatility summaries were reported as the same for the fund-based test and the index-based test. That near-identity was used to treat the funds as a practical vehicle for the same momentum procedure.

Crisis windows and the periods after them

The evaluation compared how the momentum procedure behaved during crisis periods with how it behaved in the periods that followed. The archive reports that comparison as part of the same historical workflow.

Equity-gold momentum annual returns on funds versus indexes

Traders should see that the fund-price series and the index-price series print the same return in every calendar year, so the 2008 collapse and the later recovery are not an artifact of using ETFs. The points are the annual returns from the article’s year-by-year comparison table for 2006 through 2018.
Traders should see that the fund-price series and the index-price series print the same return in every calendar year, so the 2008 collapse and the later recovery are not an artifact of using ETFs. The points are the annual returns from the article’s year-by-year comparison table for 2006 through 2018.SPY/GLD versus S&P 500 and gold · Annual, 2006–2018 · 2006-01-01T00:00:00.000Z to 2018-12-31T00:00:00.000Z

Both columns in the printed table are identical for every year shown. Average return 7.16% and volatility 16.69% are summary rows, not extra years. The article also reports a 0.998 correlation over 2004–2018, two years longer than the yearly list.

How to name the procedure under test

Editorial: TradersWeek treats the object under test as one procedure, not as three separate stories. A momentum strategy is a backtested signal procedure that turns rule inputs, market state, and execution constraints into one testable sequence of entries, exits, and standing aside over the system holding period.

Editorial: the equity-versus-gold choice is a rank rotation, a backtested signal procedure that orders candidates and holds the higher-ranked names for the system holding period, so rotation itself is the trade rule.

Editorial: calendar-year results and the crisis-versus-aftermath comparison keep a seasonal-trading question visible. Seasonal trading is a backtested signal procedure that conditions participation on recurring calendar or cycle windows, keeping entry, exit, and abstention rules testable as one procedure. Those labels are editorial. The archive reports the vehicle comparison.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
33 of 39 in the Rank rotation track
202014-23 pp.Next on Rank rotationHow a signed comparative-strength oscillator is built for rank rotationA conventional comparative-relative-strength reading is a price ratio, usually a stock over a broad index, and that raw ratio has no shared neutral level across names.
All readings on this track · 39 readings
  1. 1987A mechanical rank-rotation sleeve for monthly fund leaders
  2. 1989Rank rotation in a five-name no-load sleeve
  3. 1990Cycle-tested five-year fund rank rotation
  4. 1991Blue-chip rank rotation by relative-strength-index slope
  5. 1992Currency rank rotation and intermarket timing
  6. 1992Rank rotation and relative strength for portfolio construction
  7. 1994MACD crossovers then short-horizon rank rotation
  8. 1994A comparable group-trend ledger from published ranks
  9. 1997Normalized yield rank rotation as a full portfolio procedure
  10. 1997Constructing an investor preference index from two capitalization-weighted series
  11. 1998Constructing anchored momentum from a centered average
  12. 2000Rank rotation, a stop-loss order, and Relative Strength Index in fund switching
  13. 2003A one-fund daily rank is a two-sleeve construction problem
  14. 2004Evaluate rank rotation only where persistence already exists
  15. 2004Sector fund rank rotation with regression and trailing stops
  16. 2006Evaluating equal-weight annual yield-rank rotation
  17. 2007Weekly preferred-symbol reselection for mechanical trend systems
  18. 2011Portfolio capacity and entry pacing for mechanical systems
  19. 2011Rank rotation as a testable ETF construction procedure
  20. 2011The inverse-Fisher stochastic is a forecast layer until the book rules can be disabled
  21. 2012An underwater stretch is a sizing test for rank rotation
  22. 2015Rule-based ETF rotation as one testable procedure
  23. 2015MACD crossover evaluation by trend rank rotation
  24. 2015Persistence and strength as one close-to-close switch
  25. 2015Evaluating rank rotation after a persistence screen
  26. 2016Evaluating an annual valuation rank rotation
  27. 2017A two-step yield and price rank rotation for a five-name sleeve
  28. 2018Smoothed volatility and the missing rank-rotation exit
  29. 2018A five-condition scorecard that ranks stocks and can refuse the trade
  30. 2018Small-cap growth sleeve eligibility with trend and rank rotation
  31. 2018Evaluating rank-rotation momentum across fund wrappers
  32. 2019Evaluating an annual equity-gold momentum rank rotation
  33. 2019Evaluating equity-gold momentum on funds versus indexes
  34. 2020How a signed comparative-strength oscillator is built for rank rotation
  35. 2020Which calendar clock changes a gold-versus-equity rotation test
  36. 2020Four-dimension relative strength as rank rotation
  37. 2020Portfolio construction as a ranked relative-strength problem
  38. 2020Two clocks for a Nasdaq put/call sleeve
  39. 2020Rank, filter, and stop the hedge sleeve as one procedure
By fieldTrend and mean reversion10 readingsBy year201911 readings
All 51 readings tagged Rank rotation
Also on Rank rotation5 readings
2020Which calendar clock changes a gold-versus-equity rotation testSeasonal trading1987A mechanical rank-rotation sleeve for monthly fund leadersSeasonal trading1989Rank rotation in a five-name no-load sleeveSeasonal trading1990Cycle-tested five-year fund rank rotationSeasonal trading1997Dow high-yield rank rotation as a testable portfolio procedureSeasonal trading