Alpha Report
Gold
Composite Signal
2022–2026

1. Executive Summary

Signal Coverage: Gold

Gold Macro Review:

• 2022: Gold futures spiked to about $2,040 on 8 March after the invasion of Ukraine, then fell to a November low near $1,620 as the Fed's hikes and a strong dollar raised the cost of holding a non-yielding asset. A Q4 rebound (+9%) left the year about flat.
• 2023: About +12%, ending at a record high above $2,080 on 28 December as the market priced in rate cuts; central-bank buying and the March bank stress supported it through a softer mid-year.
• 2024: About +27%, with repeated record highs on Fed cuts, record central-bank purchases and geopolitical demand, peaking near $2,780 on 30 October before easing after the US election.
• 2025: About +64%, its strongest year in decades, rising in every quarter to a record near $4,550 in late December on Fed easing, a weaker dollar and continued official-sector buying; prices crossed $4,000 for the first time in October, and many analysts described a new regime for the metal.
• 2026 (to 28 Sep): About −4% after a historic reversal: gold peaked near $5,550 on 29 January and crashed in the following sessions after the nomination of Kevin Warsh as Fed chair strengthened the dollar and triggered margin calls on an overextended rally. Prices fell further in Q2 (−15%) to a July low near $4,000.

Signal Performance Overview:

• 2022: +2.7% (Sharpe 0.35), entirely from longs, with a −12.8% drawdown; the signal was positioned almost every slot (95% participation) at a 50% hit rate.
• 2023: −1.8% (Sharpe −0.27): longs made +2.3% but shorts lost 1.0%, with a hit rate below 50% in a year of steady gains.
• 2024: +1.1% (Sharpe 0.15): positive but small relative to the metal's +27% move.
• 2025: +1.6% (Sharpe 0.22): it did not capture the year's +64% trend, since an intraday strategy only earns the moves inside its trading window.
• 2026 (F1, to 28 Sep): +16.1% (Sharpe 1.59), the best walk-forward year, almost entirely from shorts (+16.3%), mostly in 26Q1 (+12.6%) around the late-January crash and again in the Q2 decline; the committee held a position in every slot (100% participation).

2. Trading Strategy

In order to produce the metrics below we use the signal in combination with the trading strategy below:

• Entry positions: every 5 minutes between 09:30 and 09:45 ET (4 possible openings per day) we take a long, short or no position. Each position is split into 5 parts, executed on each minute of the 5 minutes after the decision. No sizing adjustment.
• Exit positions: each decision's position is closed between 13:25 and 13:30 ET, its five parts over the five minutes.
• Costs: 0.75 bp per side, 1.5 bp round trip (GC). Extra exchange/clearing fees not included.
• Contract series & roll: Active gold delivery months only (Feb, Apr, Jun, Aug, Dec). Switch at the open 6 trading days before First Notice (the last business day of the month preceding delivery) and start trading the next active month.

3. Model Training Data and Timeframe

Each year of Section 4 is scored by the committee of its own walk-forward fold, trained and validated only on data before that year:

4. Performance Metrics: walk-forward, 2022 – 2026

4.1 Return and Risk Metrics

Quarterly and annual return, risk-adjusted performance and drawdown for the trading strategy defined in Section 2. Sharpe is per session on fixed capital. 2026 runs to 2026-09-28.

Table 1: Quarterly and Annual Metrics

Figure 1: Cumulative equity from $1,000,000, quarterly returns compounded from 22Q1 (out-of-sample)

The curve compounds the quarterly returns from $1,000,000 for illustration. The strategy metrics in this report assume fixed capital, so the ending value is not the sum of the quarterly returns.

4.2 Participation, Recall and Effective Leverage

Quarterly and annual view of how often the signal trades, how many of the realised moves it captures, and how much of the notional capital is deployed on average.

Table 2: Quarterly and Annual Participation, Recall and Effective Leverage

5. Next Steps

Download historical predictions using the Client API and confirm performance in your own test harness:

• Sign-up: Create account
• API Documentation: https://quantumsignals.ai/documentation

6. Contact

Please reach out with any questions or comments at: info[at]quantumsignals.ai