CLAUSE · BACKTEST REPORT · HYPOTHETICAL PERFORMANCE

Gold-bond rotation

“Hold gold while its 60-day momentum is positive, rotate into long bonds when it fades”

Tested over November 2024 to August 2026. On data sealed Aug 21, 2026. Published 23 August 2026.

The contract

1. Universe. Trade only GLD, TLT.
2. Signal. Each trading day at 09:35 ET, read GLD’s 60-day rate of change.
3. Entry. If gld_roc exceeds 0, set the target allocation of GLD to 100% and set the target allocation of TLT to 0%.
4. Entry. Otherwise, set the target allocation of GLD to 0% and set the target allocation of TLT to 100%.

Equity vs SPY buy-and-hold

STRATEGYSPY BUY-AND-HOLD▲▽ FILLSlinear scale

Tear sheet

TOTAL

+58.9%

CAGR

+30.5%

VOL

21.6%

SHARPE

1.35

SPY SHARPE

–

BUY-AND-HOLD SHARPE

–

SORTINO

1.87

MAX DD

−21.8%

LONGEST DD

–

BETA

0.02

GROSS

–

GROSS MAX

–

NET

–

LONG

–

SHORT

–

TRADES

TURNOVER

–

COST DRAG

–

CAPACITY

–

FINAL VALUE

$158,887 from $100,000

MARGIN NOTES

most of the return came from 2025-09-25 to 2026-01-29 — one stretch carries the result

Per-clause attribution

Each number re-runs the backtest with that clause removed and shows what it contributed, so they do not add up to the total.

Clause 3

+68.1%

Clause 4

−11.6%

About these numbers

Window

Tested from Nov 14, 2024 to Aug 11, 2026. On a copy of the market sealed Aug 21, 2026.

Costs

Every fill pays spread and slippage. This run predates the written cost model; run it again to see the assumptions key by key.

Attribution

Each clause's share of the result is measured by re-running the backtest without it.

Hypothetical performance on historical data. The same contract on the same data and cost model reproduces this number exactly. Backtests are not indicative of future results.