Original paper
Abstract
The literature on gold is dominated by empirical studies on its diversification, hedging, and safe haven properties. In contrast, the question “When to invest in gold?” is generally not analyzed in much detail. We test more than 4,000 seasonal, technical, and fundamental timing strategies for gold and find evidence for some market timing ability and economic gains relative to a passive buy-and-hold benchmark. However, since the results are not robust to data-snooping biases and limited to specific evaluation periods, we conclude that our findings support the efficiency of the gold market.
Keywords: gold; market efficiency; investment strategies; monthly seasonalities; fundamental factors; technical indicators; superior predictive ability test
Trading rules
- Hold gold-based instruments (be it ETFs, futures, or CFDs) for the months of September and November.
- For the remaining months, keep holdings in cash.
Python code
Backtrader
import backtrader as bt
class SeasonalGoldStrategy(bt.Strategy):
def __init__(self):
self.gold = self.datas[0]
def next(self):
current_month = self.datetime.date(0).month
if current_month in (9, 11): # September and November
if self.getposition(self.gold).size == 0:
self.buy(data=self.gold)
else:
if self.getposition(self.gold).size > 0:
self.sell(data=self.gold)
cerebro = bt.Cerebro()
data = bt.feeds.YourGoldDataFeed(dataname='your_gold_data')
cerebro.adddata(data)
cerebro.addstrategy(SeasonalGoldStrategy)
cerebro.run()Replace YourGoldDataFeed with the appropriate data feed for gold (ETF, futures, or CFD) and your_gold_data with the actual data source.