Gold & Silver Compass · Gold (GC=F) Quantitative Model Historical Backtest Report

Sample Period: 2021-12-07 ~ 2026-07-02 · Horizon: 5Y · Strictly Walk-Forward Backtest (No Lookahead Bias)

🥇 Gold (GC=F) 🥈 Silver (SI=F)
🇨🇳 中文 🇺🇸 English
Effective Sample: 1149 Trading Days
Strategy Cumulative NAV
1.357x
Annual Compound Return (CAGR): +6.93%
Buy & Hold Benchmark (Gold)
2.312x
Benchmark CAGR: +20.18%
Strategy Max Drawdown
4.66%
Benchmark Max DD: 24.62% (Risk Mitigation 19.96%)
Annualized Sharpe & Calmar
1.13 / 1.49
Benchmark Sharpe: 1.06 · Calmar: 0.82
Monthly Composite Rank IC (T+20)
+0.1922
Factor IR: -0.29 · Bullish Win Rate: 73.5%
Cumulative NAV: Quant Timing Strategy vs Gold Buy & Hold Benchmark
Historical Dynamic Drawdown (Underwater Drawdown)
Monthly Rolling Rank IC Trend (T+20 Stability)
Factor Effectiveness & Information Ratio Matrix
Signal Classification Forward Return Breakdown (%)
Signal Classification & Forward Return Matrix
Signal Class Samples Ratio Avg Ret (T+5) Avg Ret (T+20) Avg Ret (T+60) T+20 Win Rate
Strong Bullish 12 1.0% +1.18% +2.86% +6.79% 75.0%
Bullish 260 22.6% +0.46% +2.48% +5.40% 73.5%
Neutral 724 63.0% +0.44% +1.49% +5.17% 54.8%
Bearish 152 13.2% +0.05% +0.14% +3.01% 52.0%
Strong Bearish 1 0.1% -4.08% +3.45% +6.89% N/A
Factor Effectiveness Matrix (T+20 Monthly)
Factor Name Weight Full Sample IC 60D Rolling IC Factor IR IC Win Rate Significance
Real Rate (10Y TIP) 25% +0.0960 -0.0268 -0.07 43.2% ** (p<0.05)
US Dollar Index (DXY) 20% +0.1824 +0.0397 +0.11 53.6% *** (p<0.01)
Volatility Index (VIX) 15% -0.0723 +0.0399 +0.15 42.8% *** (p<0.01)
ETF Flow & Momentum 15% +0.0070 -0.0944 -0.86 17.8% *** (p<0.01)
Technicals (RSI/MACD) 15% +0.1519 -0.2667 -1.17 11.7% *** (p<0.01)
Gold/Silver Ratio 10% +0.2536 +0.1926 +0.71 65.2% *** (p<0.01)
Trading Date
Gold Close ($)
Model Score
 Predicted Signal
Confidence
 Position
T+5 Return
T+20 Return
Strategy NAV