Regime
The regime score is 0 (Bullish) and the model is long gold
Sum of the four quadrant scores below. The model has been long gold since 08 Jul 2026.
S&P 500/gold trend and S&P 500 volatility.
Gold trend and gold/silver ratio trend.
Oil trend and real rate net of productivity.
Official gold reserves trend (30-day lag) and real rate net of productivity vs its 5-year average.
On 12 Oct 2026 the regime score is 0 on a scale from -8 to +8. Any score above -3 counts as Bullish, so the regime is Bullish.
The model has been long gold since 08 Jul 2026. It goes short only when the previous day's score is -3 or lower.
Oil and Real Rate (Debasement, +2) and Central Banks and Real Rate (Official Flow, +1) favor gold. Risk (Equity Calm, -2) and Monetary (Capitulation, -1) work against it.
Since 1970 the strategy returned 11.5% a year (Sharpe over T-bills 0.40, worst drawdown -52%) and holding gold 8.7% a year (Sharpe over T-bills 0.27, worst drawdown -70%).
Backtest
Top: gold price (log scale) colored by the regime score, red low and green high. Bottom: growth of 1 USD in the strategy (markers green when long, red when short) and in gold. Pick a start date with the range buttons, the slider under the chart or a drag: the lines restart at 1 there and the box shows the return over the window. Click "Strategy Ret (Former)" in the legend to add the former version (Monetary and Risk only).
Current state
Last 10 trading days. Overall Score is the sum of the four quadrant scores (the regime score). Overall Regime is Bearish at -3 or lower. Signal is the position taken at that day's fix (1 long, -1 short). It is set from the previous day's score, and the backtest applies it to the next day's return.
| Risk | Monetary | Oil RFI | CB RFI | Fix PM | Overall | ||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Quadrant | Score | Quadrant | Score | Quadrant | Score | Quadrant | Score | Price | Chg | Regime | Score | Signal | |
| date | |||||||||||||
| 2026-09-29 | Equity Calm | -2 | Capitulation | -1 | Debasement | 2 | Official Flow | 1 | 4,163.40 | 0.45% | Bullish | 0 | 1 |
| 2026-09-30 | Equity Calm | -2 | Capitulation | -1 | Debasement | 2 | Official Flow | 1 | 4,176.30 | 0.31% | Bullish | 0 | 1 |
| 2026-10-01 | Equity Calm | -2 | Gold Irrelevance | -2 | Debasement | 2 | Official Flow | 1 | 4,151.65 | -0.59% | Bullish | -1 | 1 |
| 2026-10-02 | Equity Calm | -2 | Capitulation | -1 | Debasement | 2 | Official Flow | 1 | 4,190.05 | 0.92% | Bullish | 0 | 1 |
| 2026-10-05 | Equity Calm | -2 | Gold Irrelevance | -2 | Debasement | 2 | Official Flow | 1 | 4,141.65 | -1.16% | Bullish | -1 | 1 |
| 2026-10-06 | Equity Calm | -2 | Gold Irrelevance | -2 | Debasement | 2 | Official Flow | 1 | 4,156.40 | 0.36% | Bullish | -1 | 1 |
| 2026-10-07 | Equity Calm | -2 | Gold Irrelevance | -2 | Debasement | 2 | Official Flow | 1 | 4,095.40 | -1.47% | Bullish | -1 | 1 |
| 2026-10-08 | Equity Calm | -2 | Capitulation | -1 | Debasement | 2 | Official Flow | 1 | 4,124.55 | 0.71% | Bullish | 0 | 1 |
| 2026-10-09 | Equity Calm | -2 | Capitulation | -1 | Debasement | 2 | Official Flow | 1 | 4,186.30 | 1.50% | Bullish | 0 | 1 |
| 2026-10-12 | Equity Calm | -2 | Capitulation | -1 | Debasement | 2 | Official Flow | 1 | 4,171.90 | -0.34% | Bullish | 0 | 1 |
Regime score, last 3 years
Green: Bullish (above -3). Red: Bearish. Dotted line: the threshold.
Performance by 5-year period
Each row is a 5-year period named by its first year (the notebook calls them decades); Total is the full sample. Risk-free rate: 3-month T-bill yield on the first day of each period (Total: their average). Green marks the best value of each metric and blue a tie. Alpha is green when positive and red when negative.
| Assumptions | Gold | Strategy | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Ann. Risk Free | Ann. Return | Sharpe | Sortino | Max DD | Ann. Return | Sharpe | Sortino | Max DD | Beta | Alpha | |
| Decade | |||||||||||
| 1970s | 7.91% | 38.80% | 1.19 | 1.94 | -29.13% | 38.80% | 1.19 | 1.94 | -29.13% | 1.00 | 0.00% |
| 1975s | 6.90% | 23.16% | 0.75 | 1.13 | -44.13% | 33.95% | 1.13 | 1.74 | -20.33% | 0.54 | 16.11% |
| 1980s | 12.17% | -10.05% | -0.49 | -0.70 | -65.09% | 4.07% | -0.06 | -0.09 | -51.64% | 0.37 | 4.17% |
| 1985s | 8.09% | 5.36% | -0.08 | -0.12 | -28.81% | 5.00% | -0.11 | -0.15 | -17.84% | 0.37 | -1.18% |
| 1990s | 7.81% | -0.94% | -0.60 | -0.79 | -23.04% | 2.47% | -0.34 | -0.47 | -24.58% | 0.31 | -1.94% |
| 1995s | 5.66% | -5.35% | -0.93 | -1.36 | -39.05% | 0.70% | -0.38 | -0.54 | -16.07% | 0.07 | -3.45% |
| 2000s | 5.45% | 8.55% | 0.27 | 0.40 | -18.15% | 7.23% | 0.19 | 0.27 | -19.82% | 0.89 | -0.79% |
| 2005s | 2.35% | 20.24% | 0.84 | 1.21 | -29.54% | 13.26% | 0.57 | 0.81 | -34.82% | 0.93 | -4.61% |
| 2010s | 0.05% | 1.67% | 0.18 | 0.24 | -39.74% | 3.83% | 0.30 | 0.40 | -47.07% | 0.89 | 2.45% |
| 2015s | 0.02% | 4.88% | 0.44 | 0.66 | -19.01% | 6.18% | 0.53 | 0.80 | -21.13% | 0.82 | 2.25% |
| 2020s | 1.53% | 11.36% | 0.68 | 0.96 | -21.21% | 11.49% | 0.68 | 0.97 | -21.21% | 1.00 | 0.15% |
| 2025s | 4.31% | 30.01% | 1.05 | 1.47 | -26.11% | 31.39% | 1.10 | 1.54 | -27.28% | 0.98 | 1.46% |
| Total | 5.19% | 8.74% | 0.27 | 0.39 | -70.26% | 11.54% | 0.40 | 0.59 | -51.64% | 0.67 | 4.27% |
Backtest of each quadrant alone
One backtest per quadrant score: long when the score is positive, zero or missing, short when it is negative. Buy & Hold is always long. Sharpe and alpha use a zero risk-free rate.
| Buy & Hold | Hegemon | Monetary | Risk | Flow | Inflation | Oil RFI | CB RFI | Currency RFI | |
|---|---|---|---|---|---|---|---|---|---|
| Ann. Return | 8.74% | 1.22% | 7.75% | 6.71% | 5.38% | 3.58% | 3.43% | -2.72% | 4.64% |
| Ann. Volatility | 19.47% | 19.48% | 19.47% | 19.48% | 19.48% | 19.48% | 19.48% | 19.48% | 19.48% |
| Sharpe Ratio | 0.53 | 0.16 | 0.48 | 0.43 | 0.37 | 0.28 | 0.27 | -0.04 | 0.33 |
| Sortino Ratio | 0.78 | 0.23 | 0.70 | 0.64 | 0.53 | 0.40 | 0.40 | -0.06 | 0.48 |
| Max Drawdown | -70.26% | -74.90% | -50.37% | -64.77% | -69.47% | -84.99% | -83.11% | -95.51% | -76.02% |
| Alpha vs Gold | 0.00% | 0.61% | 4.67% | 5.25% | 7.12% | -0.69% | 1.11% | 1.69% | 6.14% |
| Beta vs Gold | 1.00 | 0.24 | 0.47 | 0.32 | 0.03 | 0.59 | 0.41 | -0.25 | 0.05 |
Correlation between quadrant scores
Kendall rank correlation of the daily quadrant scores, by decade and for the full sample.
| hegemon | monetary | risk | flow | inflation | oil_rfi | cb_rfi | ||
|---|---|---|---|---|---|---|---|---|
| 1970s | monetary | -8.33% | ||||||
| risk | 12.27% | 37.62% | ||||||
| flow | 11.31% | 5.79% | 13.31% | |||||
| inflation | 53.58% | 16.64% | 20.16% | 8.57% | ||||
| oil_rfi | 73.47% | -32.83% | -14.30% | -7.42% | 52.15% | |||
| cb_rfi | 9.00% | 1.46% | 1.05% | 2.18% | 31.20% | 10.25% | ||
| currency_rfi | 12.66% | 29.84% | 32.58% | 20.98% | 3.25% | -27.60% | -15.99% | |
| 1980s | monetary | 33.42% | ||||||
| risk | 28.40% | 44.11% | ||||||
| flow | 22.48% | 18.93% | 18.05% | |||||
| inflation | 46.70% | 2.93% | 16.18% | 1.95% | ||||
| oil_rfi | 29.43% | 22.36% | 13.60% | 6.64% | 27.96% | |||
| cb_rfi | 42.26% | 0.77% | 2.11% | 16.42% | 4.09% | -7.51% | ||
| currency_rfi | 56.73% | 44.93% | 23.20% | 27.29% | 13.80% | 17.96% | 17.42% | |
| 1990s | monetary | -7.27% | ||||||
| risk | -6.02% | 35.69% | ||||||
| flow | 16.14% | 13.83% | 8.59% | |||||
| inflation | 58.26% | -6.78% | -1.67% | -0.23% | ||||
| oil_rfi | 50.69% | 5.95% | -3.57% | 10.72% | 57.97% | |||
| cb_rfi | 52.20% | -16.46% | -5.11% | 8.95% | 44.87% | 47.88% | ||
| currency_rfi | 29.26% | 20.87% | 15.00% | 28.01% | 6.97% | 19.44% | 7.29% | |
| 2000s | monetary | 23.09% | ||||||
| risk | 7.27% | 15.58% | ||||||
| flow | 5.16% | 13.13% | 26.95% | |||||
| inflation | 42.04% | -9.08% | -8.05% | -12.37% | ||||
| oil_rfi | 56.84% | 19.42% | -9.15% | 0.28% | 48.18% | |||
| cb_rfi | 33.85% | -9.48% | 6.68% | -2.75% | 13.21% | 25.42% | ||
| currency_rfi | 42.42% | 32.53% | 3.89% | 15.88% | -1.30% | 12.94% | -7.07% | |
| 2010s | monetary | 25.36% | ||||||
| risk | 9.33% | 41.29% | ||||||
| flow | 20.61% | 17.73% | 12.84% | |||||
| inflation | 34.38% | 15.57% | 12.09% | 4.30% | ||||
| oil_rfi | 36.30% | 17.83% | -1.28% | 5.52% | 44.36% | |||
| cb_rfi | 11.04% | 9.52% | 2.91% | 5.52% | 18.73% | 14.49% | ||
| currency_rfi | 63.33% | 28.35% | 6.91% | 22.47% | 14.31% | 24.27% | 13.55% | |
| 2020s | monetary | 13.05% | ||||||
| risk | 11.53% | 22.74% | ||||||
| flow | 6.29% | 23.38% | 22.91% | |||||
| inflation | 25.01% | -26.10% | -13.17% | -20.49% | ||||
| oil_rfi | 14.94% | -6.25% | -27.63% | -20.92% | 41.56% | |||
| cb_rfi | 24.30% | 5.65% | 0.38% | -10.13% | 41.54% | 33.09% | ||
| currency_rfi | 21.33% | 32.46% | 11.88% | 30.31% | -35.88% | -21.50% | -10.02% | |
| Total | monetary | 19.45% | ||||||
| risk | 21.52% | 41.30% | ||||||
| flow | 14.78% | 17.58% | 21.05% | |||||
| inflation | 55.45% | 8.31% | 15.41% | 0.52% | ||||
| oil_rfi | 50.53% | 16.46% | 10.88% | 6.12% | 51.43% | |||
| cb_rfi | 29.41% | 1.28% | -2.81% | 1.43% | 26.30% | 16.07% | ||
| currency_rfi | 35.88% | 32.58% | 20.72% | 25.38% | 5.96% | 15.84% | -2.21% |