All that glitters- additions to the model and future editions

I wanted to provide some updates on changes to the precious metal timing model that I have detailed many times in previous posts. To construct the model, I had used six months worth of money supply, gold prices, and precious metal stock index data, the results of which have worked very well. In my opinion, six months worth of data is a long enough time frame to create a robust model while timely enough to trade. The historical model (using a six month calculation) and the price trend of Phily Gold/Silver Index (ticker XAU) are shown below.

That said, one of the issues with using 6-months of data is that the indicator is volatile. Volatility in the measure could have the effect of stopping you out of trades at inopportune times. On that notion, I tested the model using one year's worth of data. And what do know, the results of the one-year model are as robust as the 6-month indicator, if not more so in some instances.

I provide the performance results for the one-year timing model and the buy-and-hold results below. The one-year model tracks the performance of the XAU, over various time periods, when the model is equal to or below -1.

1-year model

Avg	1.70%	8.82%	17.35%	34.03%	59.99%	144.90%
Median	1.02%	6.38%	12.12%	27.54%	48.06%	185.46%
Max	25.37%	89.59%	88.09%	151.78%	203.74%	270.67%
Min	-30.86%	-45.27%	-22.69%	-18.36%	16.45%	-13.47%
St Dev	7.7%	19.2%	25.6%	33.7%	40.7%	90.2%
Sharpe	0.22	0.46	0.68	1.01	1.47	1.61
#>0	49	53	54	65	71	76
%>0	57.0%	68.8%	75.0%	91.5%	100.0%	88.4%

Buy-and-Hold

Avg	0.28%	3.06%	6.45%	14.10%	30.76%	57.36%
Median	0.27%	2.13%	4.76%	13.45%	29.92%	30.56%
Max	25.37%	89.59%	88.09%	151.78%	203.74%	270.67%
Min	-30.86%	-62.22%	-62.18%	-64.56%	-50.89%	-31.67%
St Dev	5.4%	15.1%	21.6%	27.4%	32.4%	75.1%
Sharpe	0.05	0.20	0.30	0.51	0.95	0.76
#>0	351	364	389	421	447	464
%>0	53.3%	56.3%	61.4%	69.2%	80.4%	70.5%

The graphical display of the one-year model is also provided below


As you would expect, the one-year model mirrors the results of the six month model, but with less volatility. I will be referencing both the 6-month and one-year models in future posts, but note that the most recent indicator for the one-year model  is about -0.5.