Portfolio report
Gold Macro
Multi-strategy XAUUSD portfolio on FOREX combining 5 algorithms across multiple timeframes.
- Strategies
- 5
- Initial capital
- 1,00,0005 × 20,000 each
- Weight cap
- 40%
- Period
- 4th Jan, 2021 → 18th Oct, 2024
- Validation
- Walk-forward
- Updated
- 20th Oct, 2024
Risk & distribution · 980 trading days · Risk Parity · annualised 252
Sharpe (OOS)
1.89
Sortino
3.41
Vol (ann.)
10.20%
CVaR 95%
-2.10%
Skew
0.11
Diversification
1.42
Effective bets
4.20
Walk-forward validation
4th Jan, 2021 → 18th Oct, 2024In-sample
2.43
Sharpe
Out-of-sample
1.89
Sharpe
Per-strategy breakdown
5 strategies · Risk Parity| Strategy | Weight | Risk share | Sharpe | Max DD | Win rate | P&L |
|---|---|---|---|---|---|---|
Gold Momentum 45m GLD_MOM_45 | 25.0% | 22.1% | 2.00 | -9.0% | 52.3% | 58,200 |
Gold Mean Reversion 125m GLD_MR_125 | 20.0% | 19.8% | 1.79 | -8.1% | 48.7% | 42,100 |
Gold Breakout 2hr GLD_BRK_120 | 20.0% | 20.5% | 1.27 | -12.8% | 51.2% | 38,900 |
Gold Trend Daily GLD_TREND_D | 20.0% | 21.3% | 2.07 | -7.8% | 53.8% | 51,300 |
Gold Volatility 60m GLD_VOL_60 | 15.0% | 16.3% | 1.52 | -7.2% | 49.1% | 29,800 |
Day · % green
53.2%
521/980
Month · % green
72.3%
34/47
Quarter · % green
81.2%
13/16
Year · % green
100.0%
4/4
Combined equity
4th Jan, 2021 → 4th Oct, 2024 · out-of-sample, Risk ParityDrawdown
Peak to trough, % of equityMonthly returns
% return per month| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -2.6 | 1.7 | 1.2 | -2.2 | 1.8 | -2.2 | 4.3 | 0.8 | 5.2 | 3.6 | · | · | +19.1% |
| 2023 | -2.4 | 1.5 | 4.9 | -2.3 | 2.1 | 3.0 | -0.8 | 3.7 | -0.8 | -2.2 | -0.4 | 3.5 | +24.8% |
| 2022 | 4.9 | -1.7 | 4.3 | 3.2 | -1.0 | 1.9 | 1.7 | -0.1 | 2.3 | 4.8 | 0.4 | 2.4 | +18.5% |
| 2021 | 3.1 | -2.0 | 2.4 | 2.8 | -1.3 | -2.5 | -1.8 | 3.2 | -0.5 | 4.4 | -1.0 | 3.8 | +31.2% |
Strategy correlations
Do your strategies lose on the same days? Lower is betterWhat the number meansHow closely two strategies rise and fall on the same days. +1 = always together, 0 = unrelated, −1 = exact opposites.
Why it mattersIf strategies lose on the same days, one bad day hurts the whole portfolio. If they lose on different days, the losses offset each other and the ride is smoother.
What the colours sayGreen = they rarely lose together (good). Red = they tend to lose together (more risk). Hover a cell for a plain-English reading.
Best diversifier
Gold Mean Reversion 125m and Gold Breakout 2hr (-0.15). They tend to move in opposite directions, so one often cushions the other.
Most alike
Gold Momentum 45m and Gold Trend Daily (0.35). The closest pair. Their bad days overlap somewhat, but not enough to be a real concern.
Overall overlap: 0.10
Low. These strategies mostly move independently of each other, which is what you want: when one has a bad stretch the others usually do not, so the combined equity curve is smoother than any single strategy.
Monte Carlo · bootstrap of daily returns
20 paths shown- Median final P&L
- 3,10,000
- 5th pct final P&L
- 1,85,000
- Median max DD
- -9.8%
- 5th pct max DD
- -18.2%
- Worst max DD
- -24.5%
- Prob. of net loss
- 0.0%
Block bootstrap of the recommended portfolio's daily returns. The 5th-percentile max drawdown is the realistic bad case, not the single historical path.
Allocation comparison · click a row for weights
Recommended: Risk Parity| Method | OOS Sharpe | IS Sharpe | Haircut | OOS max DD | Divers. | Eff. bets |
|---|---|---|---|---|---|---|
| Risk ParityRecommended | 1.89 | 2.43 | 22% | -8.2% | 1.42 | 4.20 |
| Equal Weight | 1.52 | 1.94 | 22% | -9.5% | 1.28 | 5.00 |
Yearly returns
CAGR 22.4% · best 31.2% · worst 18.5%| Year | Return |
|---|---|
| 2021 | +31.2% |
| 2022 | +18.5% |
| 2023 | +24.8% |
| 2024 | +19.1% |
Sub-portfolio explorer
Which combination of strategies performs best, out of sampleThe best subset beats holding all 5 strategies by +0.23 Sharpe, so dropping the weaker strategies helped on out-of-sample data.
| Rank | Size | Strategies | OOS Sharpe | Monthly green |
|---|---|---|---|---|
| 1 | 3 | Gold Momentum 45mGold Trend DailyGold Mean Reversion 125m | 2.12 | 74.5% |
| 2 | 4 | Gold Momentum 45mGold Trend DailyGold Mean Reversion 125mGold Volatility 60m | 1.98 | 72.3% |
| All | 5 | Gold Momentum 45mGold Mean Reversion 125mGold Breakout 2hrGold Trend DailyGold Volatility 60m | 1.89 | 72.3% |
Every subset of 2 to 5 strategies is walk-forward tested with Equal Weight (on purpose, to avoid per-subset optimization bias) and ranked by out-of-sample Sharpe. The "All" row is highlighted so you can see whether dropping a strategy actually helps.